Study: Buy SUZLON when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SUZLON when there is Bullish 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: 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
111357643212248.849823.858426.97-4214.7-14515.322.332.220.0612641.31
259731.3943182541.8611931.4353932.58-6201.38-18886.111.921.390.031389.1
316897043212248.8415521.8458120.53-7135.85-14588.242.182.080.0623929.54
415832643172639.5323300.2879673.14-9145.34-31773.232.551.670.0453682
564388.6943152834.8823164.6667620.02-10110.04-28852.892.291.230.0191497.41
624294.4943152834.8821168.3267415.73-10472.51-33190.562.021.080.0078564.99
797747.2743142932.5630030.59134831-11126.93-37785.222.71.30.0222273.19
816320043192444.1925022.95155056-13009.82-39459.541.921.520.0343795.36
956955.2443172639.5324211.41110112-13639.95-46515.071.781.160.0141324.54
1018132743202346.5126182.89128090-14883.95-48319.331.761.530.0384216.91

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.22. 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 48.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SUZLON Performance, X=1, Profit Factor:2.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Feb 2019 (29.21%)
2018427 Feb 2018 (-1.16%), 16 Mar 2018 (-3.85%), 25 May 2018 (6.04%), 11 Jun 2018 (-2.94%)
2017513 Feb 2017 (-5.26%), 31 Mar 2017 (0.52%), 25 Apr 2017 (0.24%), 11 May 2017 (-2.35%), 27 Nov 2017 (-2.0%)
2016123 Feb 2016 (0.38%)
2014219 May 2014 (10.86%), 22 Oct 2014 (4.44%)
2013309 Jan 2013 (3.04%), 02 Apr 2013 (0.0%), 12 Aug 2013 (4.41%)
2012404 May 2012 (-0.45%), 18 May 2012 (6.72%), 13 Jun 2012 (-0.84%), 07 Sep 2012 (0.0%)
2011405 Sep 2011 (1.13%), 11 Oct 2011 (2.15%), 02 Dec 2011 (-0.42%), 22 Dec 2011 (1.61%)
2010517 Feb 2010 (-3.42%), 11 Jun 2010 (1.58%), 03 Sep 2010 (1.0%), 22 Oct 2010 (-1.43%), 03 Dec 2010 (1.06%)
2009318 Mar 2009 (-0.66%), 29 May 2009 (16.19%), 12 Nov 2009 (-3.89%)
2008211 Jul 2008 (-2.24%), 04 Nov 2008 (5.87%)
2007616 Jan 2007 (-2.4%), 06 Feb 2007 (-1.47%), 01 Mar 2007 (-1.61%), 15 Jun 2007 (-2.41%), 14 Aug 2007 (-7.26%), 24 Oct 2007 (0.99%)
2006316 Jun 2006 (3.94%), 09 Nov 2006 (1.77%), 29 Dec 2006 (-0.3%)

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-1111357643212248.849823.858426.97-4214.7-14515.322.332.220.0612641.31
atrtrail-16.281774485020304019049.360151.37-6784.59-13366.732.811.870.0563548.97
atrtrail24.8719042953223141.5118621.135642.32-7072.11-15697.822.631.870.0663592.99
atrtrail35.8218266051203139.2220094.7951159.55-7072.11-15697.822.841.830.0573581.57
atrnil27.3812236552203238.4624182.4635642.32-11290.13-47966.712.141.340.0352353.17
atrnil310.5381330.1251143727.4535594.3651159.55-11270.02-47966.713.161.20.021594.71

In the table above, row 1 shows the best exit criterion. Profit factor is 2.22. 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 48.84%, which is not acceptable. Avoid this strategy. Average return per trade is 1.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.061, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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