Study: Buy SUZLON when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy SUZLON when below 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
1-80349.0187335437.937974.9536875-6361.52-27630.691.250.77-0.026-923.55
2-16100787365141.38847925095.06-9142.17-31160.90.930.65-0.045-1850.65
3-17848487325536.7812602.2942040.82-10577.41-46300.071.190.69-0.039-2051.55
4-26424487345339.0812516.4938367.35-13015.18-88980.550.960.62-0.044-3037.29
5-25157186365041.8613710.4435233.92-14902.94-89451.970.920.66-0.04-2925.25
6-17501286424448.8412991.6138297.87-16378.62-77195.050.790.76-0.028-2035.02
7-32742186394745.3513059.4839909.3-17803-91219.80.730.61-0.048-3807.22
8-43775786394745.3513550.2442403.63-20557.79-95344.730.660.55-0.06-5090.2
9-47381686384844.1914867.5950113.38-21641.34-92044.780.690.54-0.06-5509.49
10-47178786374943.0215248.0546712.02-21142.14-84792.940.720.54-0.062-5485.9

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.77. 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 37.93%, which is not acceptable. Avoid this strategy. Average return per trade is -0.46%, 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
atrnil26.92-1363881534410928.7625739.32132521-11641.45-36344.592.210.89-0.012-891.42
atrtrail24.08-1360781845812631.5217380.8859172.47-9080.71-36251.671.910.88-0.014-739.56
atrtrail34.58-2159891845712730.9816288.3854182.71-9011.24-36251.671.810.81-0.022-1173.86
atrnil310.61-2815061412611518.4442197.07198781-11988.09-36344.593.520.8-0.021-1996.5
nilnil-11-80349.0187335437.937974.9536875-6361.52-27630.691.250.77-0.026-923.55
atrtrail-14.88-3009281845712730.9814798.2457308.49-9011.24-36251.671.640.74-0.032-1635.48

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 28.76%, which is not acceptable. Avoid this strategy. Average return per trade is -0.45%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, Profit Factor:0.893

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019631 Jan 2019 (-4.0%), 05 Feb 2019 (-9.21%), 08 May 2019 (-7.9%), 09 May 2019 (-8.55%), 15 May 2019 (-10.93%), 10 Jun 2019 (-11.42%)
20182102 Feb 2018 (-4.33%), 05 Feb 2018 (-4.62%), 22 Feb 2018 (-4.29%), 07 Mar 2018 (-4.42%), 09 Mar 2018 (9.91%), 23 Mar 2018 (8.59%), 03 May 2018 (-3.41%), 08 May 2018 (-3.51%), 11 May 2018 (-3.65%), 14 May 2018 (9.87%), 01 Jun 2018 (-6.01%), 05 Jun 2018 (-6.55%), 28 Jun 2018 (-4.97%), 16 Jul 2018 (9.2%), 30 Aug 2018 (-4.0%), 21 Sep 2018 (-5.88%), 25 Sep 2018 (-6.58%), 28 Sep 2018 (15.96%), 14 Nov 2018 (-5.46%), 19 Nov 2018 (-5.68%), 29 Nov 2018 (-6.1%)
20171107 Aug 2017 (-3.65%), 08 Aug 2017 (-3.93%), 09 Aug 2017 (-4.14%), 10 Aug 2017 (-4.74%), 27 Sep 2017 (-3.38%), 28 Sep 2017 (-3.55%), 05 Oct 2017 (6.95%), 13 Nov 2017 (-3.97%), 15 Nov 2017 (-4.43%), 16 Nov 2017 (9.26%), 14 Dec 2017 (7.1%)
20161314 Jan 2016 (-4.14%), 18 Jan 2016 (-4.99%), 02 Feb 2016 (-6.58%), 03 Feb 2016 (-8.46%), 10 Feb 2016 (19.2%), 02 Aug 2016 (-3.11%), 03 Aug 2016 (6.55%), 26 Aug 2016 (-2.62%), 01 Sep 2016 (5.19%), 27 Sep 2016 (-3.52%), 29 Sep 2016 (-4.14%), 09 Nov 2016 (9.19%), 26 Dec 2016 (5.85%)
2015307 Sep 2015 (12.98%), 05 Nov 2015 (-4.9%), 10 Nov 2015 (-4.86%)
2014525 Sep 2014 (-9.11%), 29 Sep 2014 (-9.44%), 16 Oct 2014 (-8.84%), 02 Dec 2014 (11.84%), 16 Dec 2014 (14.2%)
20131328 Feb 2013 (29.59%), 23 May 2013 (-3.95%), 31 May 2013 (-4.44%), 03 Jun 2013 (-5.38%), 11 Jun 2013 (-5.53%), 13 Jun 2013 (-5.68%), 17 Jul 2013 (-4.76%), 22 Jul 2013 (-4.63%), 24 Jul 2013 (-4.67%), 29 Jul 2013 (-5.07%), 02 Aug 2013 (-6.6%), 27 Aug 2013 (-5.48%), 28 Aug 2013 (12.64%)
20121227 Feb 2012 (16.04%), 29 Mar 2012 (-6.07%), 09 Apr 2012 (-6.0%), 23 Apr 2012 (-4.96%), 27 Apr 2012 (-5.11%), 09 May 2012 (-5.52%), 10 May 2012 (11.91%), 31 May 2012 (13.1%), 23 Jul 2012 (7.41%), 14 Aug 2012 (-4.39%), 27 Aug 2012 (9.05%), 16 Oct 2012 (8.96%)
20111911 Jan 2011 (10.79%), 09 Feb 2011 (12.51%), 28 Mar 2011 (8.24%), 06 May 2011 (9.93%), 20 Jun 2011 (-4.02%), 21 Jun 2011 (-4.46%), 08 Aug 2011 (-4.99%), 09 Aug 2011 (-6.18%), 17 Aug 2011 (-6.79%), 26 Aug 2011 (14.29%), 04 Oct 2011 (-5.37%), 14 Nov 2011 (-4.43%), 15 Nov 2011 (-4.84%), 16 Nov 2011 (-5.52%), 17 Nov 2011 (-6.97%), 18 Nov 2011 (-7.89%), 21 Nov 2011 (-9.32%), 16 Dec 2011 (-7.52%), 20 Dec 2011 (15.85%)
20102022 Jan 2010 (-4.35%), 25 Jan 2010 (-4.64%), 27 Jan 2010 (-5.05%), 05 Feb 2010 (10.78%), 16 Apr 2010 (-2.89%), 28 Apr 2010 (-2.86%), 12 May 2010 (-3.64%), 17 May 2010 (-3.83%), 19 May 2010 (-4.38%), 21 May 2010 (-4.45%), 31 May 2010 (-4.89%), 02 Jun 2010 (10.16%), 16 Aug 2010 (-3.81%), 18 Aug 2010 (-4.16%), 27 Aug 2010 (8.35%), 15 Nov 2010 (-3.54%), 16 Nov 2010 (-3.84%), 23 Nov 2010 (-4.04%), 25 Nov 2010 (-4.65%), 26 Nov 2010 (10.21%)
2009527 Oct 2009 (-5.01%), 28 Oct 2009 (-5.23%), 29 Oct 2009 (-5.43%), 30 Oct 2009 (-6.33%), 03 Nov 2009 (16.37%)
20081811 Feb 2008 (-8.89%), 03 Mar 2008 (-8.43%), 04 Mar 2008 (18.17%), 09 May 2008 (10.43%), 03 Jun 2008 (-6.07%), 04 Jun 2008 (13.2%), 23 Jun 2008 (-7.12%), 30 Jun 2008 (-7.65%), 01 Jul 2008 (-8.95%), 03 Jul 2008 (20.8%), 16 Sep 2008 (-7.09%), 23 Sep 2008 (-8.05%), 26 Sep 2008 (-8.61%), 29 Sep 2008 (-10.46%), 06 Oct 2008 (-12.54%), 08 Oct 2008 (-14.58%), 10 Oct 2008 (-18.17%), 24 Oct 2008 (66.26%)
2007710 Jan 2007 (7.36%), 31 Jan 2007 (8.61%), 12 Feb 2007 (-5.2%), 15 Feb 2007 (-5.92%), 16 Mar 2007 (12.6%), 30 Jul 2007 (-5.25%), 17 Aug 2007 (10.79%)



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