Study: Sell SUZLON when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell SUZLON when RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-102772381919505209.8913298.45-10618.94-32608.70.490.49-0.069-2704.52
2-50661.45381919508052.7119077.9-10719.1-40160.640.750.75-0.029-1333.2
3-14069238221657.898578.1424801.27-20588.22-50857.140.420.57-0.056-3702.43
4-200900381919509703.4625185.19-20277.14-75428.570.480.48-0.065-5286.84
5-18359038201852.639285.222592.59-20516.34-71487.60.450.5-0.061-4831.32
6-2179773819195010389.0425182.02-21861.53-84710.740.480.48-0.065-5736.25
7-32570438182047.379054.6426088.3-24434.39-98760.330.370.33-0.087-8571.16
8-3312193819195012708.4133096.5-30141.01-1013510.420.42-0.081-8716.3
9-25111238231560.5312226.1638960.87-35487.57-86486.490.340.53-0.064-6608.21
10-25872938221657.8914417.3748727.48-35994.46-76571.430.40.55-0.061-6808.66
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
atrtrail33.6110171.0889315834.8315546.9441881.25-8134.21-15445.431.911.020.0023114.28
atrnil35.85-21426.0484226226.1927513.5445007.26-10108.45-15697.822.720.97-0.0041-255.07
atrtrail23.09-19400.3491335836.2613996.1427920.84-8297.81-15445.431.690.96-0.0049-213.19
atrnil23.97-55436.886295733.7218244.0730004.84-10254.65-15697.821.780.91-0.013-644.61
atrtrail-14.22-94900.8388305834.0912562.7737103.5-8134.21-15445.431.540.8-0.025-1078.42

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 34.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.057%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0023, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019322 Feb 2019 (-1.47%), 05 Mar 2019 (-7.59%), 06 Mar 2019 (4.7%)
2018302 Jan 2018 (-1.39%), 09 Jan 2018 (-3.29%), 10 Jan 2018 (10.28%)
2017519 Jan 2017 (-3.07%), 20 Jan 2017 (-3.23%), 23 Jan 2017 (-0.52%), 27 Jan 2017 (5.38%), 13 Feb 2017 (3.83%)
2016214 Jun 2016 (2.63%), 12 Jul 2016 (1.14%)
2015516 Feb 2015 (-6.71%), 18 Feb 2015 (-0.32%), 24 Feb 2015 (-4.66%), 27 Feb 2015 (2.38%), 05 Aug 2015 (14.24%)
20141504 Apr 2014 (-4.73%), 07 Apr 2014 (-4.87%), 09 Apr 2014 (7.0%), 19 May 2014 (-5.6%), 20 May 2014 (-4.32%), 22 May 2014 (-5.88%), 23 May 2014 (-5.61%), 26 May 2014 (1.54%), 29 May 2014 (-6.42%), 02 Jun 2014 (-6.88%), 03 Jun 2014 (-6.54%), 04 Jun 2014 (-6.17%), 06 Jun 2014 (-5.46%), 10 Jun 2014 (-4.91%), 11 Jun 2014 (14.03%)
20131231 Jan 2013 (-5.23%), 01 Feb 2013 (-3.31%), 06 Feb 2013 (15.28%), 15 Oct 2013 (-4.59%), 18 Oct 2013 (-4.34%), 21 Oct 2013 (-4.31%), 22 Oct 2013 (-4.27%), 23 Oct 2013 (-4.11%), 24 Oct 2013 (-4.11%), 25 Oct 2013 (-3.97%), 28 Oct 2013 (-3.84%), 29 Oct 2013 (13.48%)
2012823 Jan 2012 (-4.85%), 25 Jan 2012 (-4.59%), 27 Jan 2012 (3.05%), 01 Feb 2012 (-3.48%), 09 Feb 2012 (7.21%), 24 Sep 2012 (11.6%), 29 Nov 2012 (-3.72%), 30 Nov 2012 (2.55%)
2011307 Apr 2011 (-4.15%), 08 Apr 2011 (-2.79%), 20 Apr 2011 (12.98%)
20091006 Apr 2009 (-6.07%), 09 Apr 2009 (-6.48%), 13 Apr 2009 (-6.3%), 15 Apr 2009 (19.07%), 06 May 2009 (-7.72%), 12 May 2009 (-1.1%), 18 May 2009 (-1.22%), 01 Jun 2009 (-4.61%), 03 Jun 2009 (-6.95%), 04 Jun 2009 (20.94%)
2008108 Jan 2008 (12.29%)
20071216 Apr 2007 (-1.1%), 25 May 2007 (1.88%), 27 Jun 2007 (1.8%), 20 Sep 2007 (1.05%), 03 Oct 2007 (-3.42%), 04 Oct 2007 (-3.45%), 08 Oct 2007 (-3.71%), 10 Oct 2007 (-0.16%), 16 Oct 2007 (12.86%), 17 Oct 2007 (14.98%), 25 Oct 2007 (-3.32%), 16 Nov 2007 (6.0%)
20061025 Jan 2006 (-3.9%), 27 Jan 2006 (-0.21%), 31 Jan 2006 (4.15%), 03 Mar 2006 (-3.91%), 07 Mar 2006 (-2.16%), 10 Mar 2006 (-4.04%), 23 Mar 2006 (1.67%), 05 Apr 2006 (10.87%), 11 Aug 2006 (-0.79%), 23 Nov 2006 (0.11%)



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