Study: Sell SUZLON when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell SUZLON when there is Bearish Crossover in MACD and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell SUZLON at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
132876.2640251562.54492.1412295.08-5295.15-21459.890.851.410.037821.91
215098.62402218557748.2915121.95-8631.32-20759.950.91.10.011377.47
3-25631.9440231757.58773.7819791.67-13378.17-53481.890.660.89-0.012-640.8
4-94521.4940172342.511793.3731636.52-12826.47-47019.50.920.68-0.04-2363.04
5-1478304016244011140.3918421.05-13586.49-81559.890.820.55-0.056-3695.74
6-1492904016244012533.7525974.03-14576.26-1050700.860.57-0.047-3732.26
7-11470340172342.513362.8633223.68-14863.97-91922.010.90.66-0.037-2867.57
8-1135124018224512053.6839473.68-15021.72-71420.610.80.66-0.04-2837.79
9-99622.594020205012612.6737966.1-17593.8-79554.320.720.72-0.032-2490.56
10-1352484018224512347.4838644.07-16250.14-75431.750.760.62-0.045-3381.21

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.41. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1132876.2640251562.54492.1412295.08-5295.15-21459.890.851.410.037821.91
atrnil25.294733.8748173135.4218951.9337700.27-10240.29-16723.851.851.010.001998.62
atrtrail23.58-24387.1148173135.4212054.0623856.38-7396.97-16723.851.630.89-0.013-508.06
atrnil37.98-70379.6148113722.9227829.1556550.41-10175.68-16723.852.730.81-0.024-1466.24
atrtrail34.02-49731.0548173135.4210563.2427933.05-7396.97-16723.851.430.78-0.027-1036.06
atrtrail-14.23-67586.7648173135.429512.931367.25-7396.97-16723.851.290.71-0.039-1408.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.5%, which is good. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, X=1, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Mar 2019 (2.9%)
2018316 Jan 2018 (-0.66%), 06 Mar 2018 (6.15%), 04 Jun 2018 (1.88%)
2017402 Feb 2017 (1.24%), 16 Feb 2017 (0.88%), 21 Apr 2017 (-1.01%), 15 May 2017 (-0.51%)
2016123 Jun 2016 (1.76%)
2015105 Mar 2015 (-1.89%)
2014315 Jan 2014 (2.26%), 30 Apr 2014 (-2.68%), 17 Jun 2014 (4.41%)
2013313 Feb 2013 (-3.71%), 25 Jul 2013 (1.95%), 07 Nov 2013 (4.17%)
2012414 Feb 2012 (-5.08%), 09 May 2012 (5.12%), 09 Oct 2012 (3.5%), 18 Dec 2012 (-1.08%)
2011229 Apr 2011 (0.19%), 03 Oct 2011 (1.66%)
2010414 Jan 2010 (2.3%), 19 Feb 2010 (1.06%), 27 Jul 2010 (0.93%), 20 Oct 2010 (-2.7%)
2009227 May 2009 (-1.11%), 12 Jun 2009 (1.94%)
2007610 Jan 2007 (-3.2%), 31 Jan 2007 (-2.84%), 13 Jun 2007 (-1.36%), 17 Aug 2007 (-10.73%), 19 Oct 2007 (-1.14%), 06 Nov 2007 (1.54%)
2006614 Feb 2006 (2.22%), 29 Mar 2006 (2.22%), 18 Jul 2006 (4.55%), 25 Aug 2006 (0.0%), 17 Nov 2006 (0.47%), 01 Dec 2006 (0.86%)



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