Study: Buy SUZLON when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy SUZLON when there is bullish divergence in RSI 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
1-16377.7123111247.836410.8514953.27-7241.42-15163.750.890.81-0.024-712.07
2-40055.4723101343.488528.0616170.21-9641.23-32391.210.880.68-0.041-1741.54
3-80041.982391439.138015.8125531.91-10870.31-45222.070.740.47-0.069-3480.09
4-85558.172381534.7811685.9931775.7-11936.41-47734.410.980.52-0.062-3719.92
5-84546.212381534.7816766.9841121.5-14578.8-350831.150.61-0.054-3675.92
6-61230.7523101343.4814313.6738297.87-15720.57-46388.520.910.7-0.038-2662.21
7-1025142381534.7818442.0438297.87-16670-60206.371.110.59-0.055-4457.12
8-16389323101343.4814874.8649361.7-24049.36-1154780.620.48-0.064-7125.78
9-1675472371630.4323918.2749361.7-20935.93-1158371.140.5-0.063-7284.65
10-1075722381534.7825598.2740640-20823.9-1065051.230.66-0.042-4677.06

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.81. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 47.83%, which is not acceptable. Avoid this strategy. Average return per trade is -0.36%, we advise you not to use 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
atrtrail35.5759239.283592625.7138513.5463500.6-11053.18-34331.393.481.210.0191692.55
atrtrail-15.8330716.363592625.7135344.33107170-11053.18-34331.393.21.110.0093877.61
atrtrail25.0328674.363592625.7135117.4483542.27-11053.18-34331.393.181.10.0095819.27
atrnil39.94-64432.813382524.2441545.763500.6-15871.94-44591.062.620.84-0.02-1952.51
atrnil26.24-59752.1433112233.3327141.542333.73-16286.76-44591.061.670.83-0.022-1810.67
nilnil-11-16377.7123111247.836410.8514953.27-7241.42-15163.750.890.81-0.024-712.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019307 Feb 2019 (-8.78%), 08 Feb 2019 (-9.38%), 11 Feb 2019 (31.75%)
2018706 Mar 2018 (-3.96%), 12 Mar 2018 (-1.36%), 21 May 2018 (5.49%), 21 Jun 2018 (-2.57%), 02 Jul 2018 (-1.02%), 16 Jul 2018 (-2.4%), 09 Oct 2018 (12.29%)
2014307 Oct 2014 (-8.69%), 09 Oct 2014 (-7.42%), 23 Oct 2014 (23.74%)
2013711 Jun 2013 (-5.53%), 17 Jun 2013 (-4.61%), 28 Jun 2013 (-1.65%), 03 Jul 2013 (-3.23%), 05 Aug 2013 (-2.23%), 16 Aug 2013 (-5.8%), 30 Aug 2013 (17.18%)
2012104 Sep 2012 (12.81%)
2011519 Aug 2011 (-1.64%), 26 Aug 2011 (21.44%), 24 Nov 2011 (-4.88%), 22 Dec 2011 (-2.17%), 29 Dec 2011 (-0.05%)
2010331 May 2010 (-4.89%), 02 Jun 2010 (-1.89%), 25 Aug 2010 (-4.08%)
2009105 Nov 2009 (24.98%)
2008414 Oct 2008 (-14.82%), 16 Oct 2008 (-17.17%), 19 Nov 2008 (-16.66%), 28 Nov 2008 (23.63%)
2006101 Jun 2006 (-6.82%)



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