Study: Buy SUZLON when above 200 SMA and RSI is oversold

home > technical-strategy > suzlon > 60

In this study, we evaluate the performance of strategy "Buy SUZLON when above 200 SMA and 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
110864.04431756843.910636.4-9667.67-9667.670.712.120.0992716.01
211541.394317510090.8413011.76-18731.12-18731.120.541.620.0612885.35
3-5605.324225012773.2814164.31-15575.94-27794.560.820.82-0.023-1401.33
4-17749.944225011170.3811331.44-20045.35-36253.780.560.56-0.063-4437.48
5-26120.4422509953.4112464.59-23013.61-44108.760.430.43-0.08-6530.1
6-20198.86431755553.0511898.02-36858.01-36858.010.150.45-0.074-5049.71
7-13580.61422509655.5110198.3-16445.81-32024.170.590.59-0.055-3395.15
8-10008.8431759755.3713597.73-39274.92-39274.920.250.75-0.032-2502.2
9-7363.664317512449.7819263.46-44712.99-44712.990.280.84-0.02-1840.92
10-4310.324317513064.7416430.59-43504.53-43504.530.30.9-0.012-1077.58

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.12. Number of signals (total trades) generated is small and can't conculde anything from 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:2.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017128 Jun 2017 (2.55%)
2015103 Jun 2015 (2.4%)
2014123 Sep 2014 (-4.83%)
2006112 Dec 2006 (5.32%)

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
atrtrail35.833367.635326019389.0435551.87-12399.75-17664.941.562.350.0976673.53
atrnil321.2529828.64225027982.7937261.98-13068.49-17664.942.142.140.0947457.15
nilnil-1110864.04431756843.910636.4-9667.67-9667.670.712.120.0992716.01
atrtrail-17.416759.995326013853.1625846.99-12399.75-17664.941.121.680.0613352
atrtrail24.215282.485326013360.6623701.24-12399.75-17664.941.081.620.0583056.5
atrnil212.2511173.414225018655.1924841.32-13068.49-17664.941.431.430.0462793.35

In the table above, row 1 shows the best exit criterion. Profit factor is 2.35. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.34%, which is very good. Sharpe Ratio is 0.097, 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:2.35

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017128 Jun 2017 (9.35%)
2015203 Jun 2015 (-3.57%), 09 Jun 2015 (17.78%)
2014123 Sep 2014 (-8.83%)
2006112 Dec 2006 (1.96%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play