Study: Buy SUZLON when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SUZLON when RSI is above 50 and there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
190970.4964303446.888195.2658426.97-4555.51-13298.451.81.590.0371421.41
2-14548.2664253939.069906.0353932.58-6723.05-29258.521.470.94-0.0053-227.32
3-32500.9864253939.0613203.1758120.53-9296.93-25224.921.420.91-0.009-507.83
431505.1264234135.9418628.0579673.14-9681.46-31773.231.921.080.0068492.27
567840.3964224234.3821499.3767620.02-9646.33-28852.892.231.170.0151060.01
652679.7564224234.3822989.2569369.37-10787.71-33190.562.131.120.011823.12
713379864244037.525832.04134831-12154.28-37785.222.131.280.0222090.59
813023464253939.0625463.7155056-12983.55-39459.541.961.260.022034.9
910129264263840.6224444.53110112-14059.63-46515.071.741.190.0171582.68
1012927164263840.6227330.08128090-15297.66-40705.551.791.220.0182019.86

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, 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.

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-1190970.4964303446.888195.2658426.97-4555.51-13298.451.81.590.0371421.41
atrnil36.3817330869214830.4329515.8149455.89-9302.58-15697.823.171.390.0372511.72
atrnil25.3710668576284836.8419801.6832970.6-9328.37-15697.822.121.240.0261403.75
atrtrail-14.8961272.1871234832.3918633.9660151.37-7652.27-14699.362.441.170.014862.99
atrtrail23.885589.4777265133.7715747.8732970.6-7918.73-15697.821.991.010.001672.59
atrtrail34.36-8293.772234931.9416291.8749455.89-7816.46-15697.822.080.98-0.0022-115.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.59. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, X=1, Profit Factor:1.59

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019221 Feb 2019 (29.21%), 15 Apr 2019 (0.0%)
2018116 Oct 2018 (-6.2%)
2017803 Jan 2017 (4.91%), 13 Feb 2017 (-5.26%), 17 Mar 2017 (-0.79%), 31 Mar 2017 (0.52%), 25 Apr 2017 (0.24%), 11 May 2017 (-2.35%), 03 Jul 2017 (-1.32%), 27 Nov 2017 (-2.0%)
2016602 May 2016 (-3.23%), 17 May 2016 (2.97%), 07 Jun 2016 (3.16%), 11 Jul 2016 (1.08%), 08 Sep 2016 (2.58%), 28 Nov 2016 (-0.34%)
2015803 Feb 2015 (2.34%), 15 May 2015 (2.35%), 03 Aug 2015 (0.0%), 20 Aug 2015 (-2.0%), 14 Sep 2015 (-4.27%), 05 Oct 2015 (2.53%), 30 Oct 2015 (-1.22%), 01 Dec 2015 (-1.98%)
2014704 Feb 2014 (-0.43%), 06 Mar 2014 (-0.47%), 31 Mar 2014 (1.8%), 19 May 2014 (10.86%), 02 Sep 2014 (-1.05%), 04 Dec 2014 (-4.73%), 30 Dec 2014 (7.3%)
2013309 Jan 2013 (3.04%), 28 Jan 2013 (-2.09%), 24 Dec 2013 (8.96%)
2012214 Mar 2012 (-3.83%), 31 Jul 2012 (0.81%)
2011518 Jan 2011 (-2.45%), 17 Feb 2011 (-5.45%), 01 Apr 2011 (2.16%), 31 May 2011 (-1.3%), 04 Jul 2011 (1.21%)
2010206 Apr 2010 (0.27%), 22 Oct 2010 (-1.43%)
2009429 May 2009 (16.19%), 24 Jul 2009 (2.95%), 25 Aug 2009 (1.63%), 23 Dec 2009 (-0.11%)
2008302 Jan 2008 (2.44%), 16 May 2008 (3.41%), 08 Sep 2008 (2.14%)
2007716 Jan 2007 (-2.4%), 06 Feb 2007 (-1.47%), 25 May 2007 (-6.65%), 15 Jun 2007 (-2.41%), 24 Oct 2007 (0.99%), 19 Nov 2007 (-2.83%), 11 Dec 2007 (-1.66%)
2006603 Mar 2006 (2.07%), 04 May 2006 (-2.3%), 27 Jul 2006 (-0.84%), 22 Sep 2006 (-2.56%), 08 Nov 2006 (0.76%), 22 Nov 2006 (2.04%)



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