Study: Buy SUZLON when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SUZLON when RSI is oversold" 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
1-10138258263244.834597.5410636.4-6903.7-19574.470.670.54-0.066-1747.97
2-13919458253343.17360.8315182.48-9794.37-36363.640.750.57-0.06-2399.89
3-15081558233539.669806.7140086.67-10753.39-47846.890.910.6-0.05-2600.25
4-18954758253343.111095.6354171.18-14149.62-63795.850.780.59-0.049-3268.05
5-19535158253343.113139.9460671.72-15874.23-59330.140.830.63-0.045-3368.12
6-18125058263244.8314885.17105959-17758.27-60287.080.840.68-0.034-3125.01
7-27009658253343.115550.2298374.86-19965.19-1085440.780.59-0.046-4656.82
8-28915458253343.115747.5857971.01-20692.22-1089320.760.58-0.052-4985.41
9-26070858273146.5517906.34133333-24005.78-98834.950.750.65-0.04-4494.96
10-32120258223637.9321189.86127536-21871.63-1103880.970.59-0.048-5537.96
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil311.1544433.8897217621.6548390.53198781-12786.41-36344.593.781.050.0041458.08
atrnil28.2-41989.899297029.2929615.95132521-12869.32-36344.592.30.95-0.0051-424.14
atrtrail34.98-104785120378330.8320335.9163500.6-10327.88-36251.671.970.88-0.013-873.21
atrtrail24.45-154034121388331.418504.7390089.38-10327.88-36251.671.790.82-0.02-1273.01
atrtrail-15.3-174446120378330.8318453.17107170-10327.88-36251.671.790.8-0.022-1453.72

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 21.65%, which is not acceptable. Avoid this strategy. Average return per trade is 0.23%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUZLON Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019428 Jan 2019 (-3.53%), 31 Jan 2019 (-4.0%), 05 Feb 2019 (-9.21%), 11 Feb 2019 (31.75%)
20181502 Feb 2018 (-4.33%), 05 Feb 2018 (-4.62%), 06 Feb 2018 (-5.15%), 06 Mar 2018 (-3.96%), 07 Mar 2018 (-4.42%), 08 Mar 2018 (-4.74%), 09 Mar 2018 (-4.96%), 08 May 2018 (-3.51%), 11 May 2018 (-3.65%), 14 May 2018 (-4.93%), 04 Jun 2018 (-6.39%), 28 Jun 2018 (-4.97%), 16 Jul 2018 (13.8%), 27 Sep 2018 (-6.84%), 28 Sep 2018 (-7.98%)
2017728 Jun 2017 (9.35%), 08 Aug 2017 (-3.93%), 09 Aug 2017 (-4.14%), 10 Aug 2017 (-4.74%), 11 Aug 2017 (15.1%), 15 Nov 2017 (-4.43%), 16 Nov 2017 (13.89%)
2016303 Feb 2016 (-8.46%), 10 Feb 2016 (28.8%), 29 Sep 2016 (-4.14%)
2015103 Jun 2015 (18.63%)
2014523 Sep 2014 (-8.83%), 25 Sep 2014 (-9.11%), 29 Sep 2014 (-9.44%), 16 Oct 2014 (-8.84%), 22 Oct 2014 (25.58%)
20131322 Mar 2013 (-10.77%), 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%), 31 Jul 2013 (-5.84%), 07 Aug 2013 (-6.17%), 27 Aug 2013 (-5.48%), 28 Aug 2013 (18.96%)
2012625 Apr 2012 (-4.9%), 27 Apr 2012 (-5.11%), 09 May 2012 (-5.52%), 10 May 2012 (-5.96%), 31 May 2012 (-6.55%), 27 Aug 2012 (13.58%)
20111122 Jun 2011 (14.07%), 09 Aug 2011 (-6.18%), 17 Aug 2011 (-6.79%), 26 Aug 2011 (21.44%), 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 (23.78%)
20101027 Jan 2010 (-5.05%), 19 May 2010 (-4.38%), 21 May 2010 (-4.45%), 31 May 2010 (-4.89%), 02 Jun 2010 (-5.08%), 16 Aug 2010 (-3.81%), 18 Aug 2010 (-4.16%), 27 Aug 2010 (12.53%), 25 Nov 2010 (-4.65%), 26 Nov 2010 (15.31%)
2009527 Oct 2009 (-5.01%), 28 Oct 2009 (-5.23%), 29 Oct 2009 (-5.43%), 30 Oct 2009 (-6.33%), 03 Nov 2009 (24.55%)
2008903 Mar 2008 (-8.43%), 04 Mar 2008 (27.26%), 01 Jul 2008 (-8.95%), 03 Jul 2008 (31.2%), 29 Sep 2008 (-10.46%), 06 Oct 2008 (-12.54%), 08 Oct 2008 (-14.58%), 10 Oct 2008 (-18.17%), 24 Oct 2008 (99.39%)
2007219 Feb 2007 (-5.83%), 01 Aug 2007 (16.51%)
2006619 May 2006 (-8.12%), 22 May 2006 (-10.15%), 25 May 2006 (-11.11%), 08 Jun 2006 (-10.13%), 13 Jun 2006 (32.62%), 12 Dec 2006 (-4.24%)



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