Study: Buy SUZLON when near 200 SMA and above 200 SMA

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In this study, we evaluate the performance of strategy "Buy SUZLON when near 200 SMA and above 200 SMA" 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
1-11343.1321101147.623649.649463.72-4349.04-10794.230.840.76-0.03-540.15
251002.342113861.96635.2119871.79-4406.92-10091.741.512.450.0932428.68
365778.222113861.99894.6522435.9-7856.53-17889.911.262.050.083132.3
456641.222113861.910788.9427760.25-10451.87-25573.391.031.680.0582697.2
567150.342112957.1411170.2420668.69-7432.51-32110.091.520.0753197.64
655084.262115671.438197.6620512.82-11313.45-29357.80.721.810.0632623.06
760184.842113861.911333.2624561.4-10893.44-22821.11.041.690.0592865.94
815131.2921111052.3812815.0824561.4-12583.46-26782.271.021.120.013720.54
99516.0721111052.3815984.1469005.85-16630.95-42773.440.961.060.0055453.15
1053995.3121101147.6221647.03112865-14770.46-35937.51.471.330.0242571.21
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SUZLON Performance, X=2, Profit Factor:2.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017317 Jan 2017 (9.94%), 07 Feb 2017 (7.89%), 16 Aug 2017 (-3.14%)
2016115 Jul 2016 (-1.1%)
2015403 Feb 2015 (-0.29%), 24 Aug 2015 (1.41%), 10 Sep 2015 (2.53%), 06 Oct 2015 (-0.45%)
2013107 Jan 2013 (5.33%)
2011406 Apr 2011 (4.25%), 10 Jun 2011 (2.02%), 06 Jul 2011 (0.39%), 27 Jul 2011 (2.34%)
2010119 Jan 2010 (-5.05%)
2009203 Dec 2009 (3.1%), 18 Dec 2009 (2.43%)
2008106 Feb 2008 (-1.87%)
2007429 Jan 2007 (-2.53%), 03 May 2007 (0.29%), 31 Jul 2007 (-3.2%), 23 Aug 2007 (1.2%)

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
atrtrail35.1745363.3523101343.4814504.931510.1-7668.13-13488.141.891.460.041972.32
atrnil25.6747594.252191242.8618578.3828341.49-9967.6-18425.311.861.40.0422266.39
atrnil37.6236060.522161528.5729909.342512.23-9559.68-18425.313.131.250.0251717.17
atrtrail24.2621434.5823101343.4812112.0221006.73-7668.13-13488.141.581.220.023931.94
atrtrail-15.5721025.8523101343.4812071.1531267.92-7668.13-13488.141.571.210.021914.17
200nil31.8-4429.625619248687.611885.96-2976.59-3928.842.920.92-0.0096-177.18
200trail31.63-5561.762772025.937542.311885.96-2917.89-3928.842.580.9-0.012-205.99
200nil21.59-7621.332781929.636135.767923.98-2984.6-3928.842.060.87-0.018-282.27
200trail21.5-9271.82882028.576135.767923.98-2917.89-3928.842.10.84-0.022-331.14
200trail-12.11-12137.332762122.228229.7422984.23-2929.32-3928.842.810.8-0.019-449.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 43.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.99%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017317 Jan 2017 (8.46%), 07 Feb 2017 (11.61%), 16 Aug 2017 (-5.0%)
2016115 Jul 2016 (-2.89%)
2015403 Feb 2015 (-4.76%), 24 Aug 2015 (-6.74%), 10 Sep 2015 (-3.03%), 06 Oct 2015 (13.03%)
2013107 Jan 2013 (4.02%)
2011406 Apr 2011 (1.8%), 10 Jun 2011 (-1.55%), 06 Jul 2011 (-2.97%), 27 Jul 2011 (2.33%)
2010119 Jan 2010 (-3.84%)
2009203 Dec 2009 (0.22%), 18 Dec 2009 (14.9%)
2008106 Feb 2008 (-0.92%)
2007629 Jan 2007 (-3.74%), 03 May 2007 (0.41%), 31 Jul 2007 (-5.06%), 09 Aug 2007 (-4.95%), 23 Aug 2007 (-4.38%), 30 Aug 2007 (15.76%)



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