Study: Sell SUZLON when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell SUZLON when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-28659.4245242153.334383.129132.42-6374.02-18264.270.690.79-0.027-636.88
2-89063.4645222348.896687.8613698.63-10269.41-40105.810.650.62-0.049-1979.19
3-94626.7445202544.448483.619791.67-10571.95-53481.890.80.64-0.043-2102.82
4-73239.7945222348.899738.3631636.52-12499.29-47019.50.780.75-0.029-1627.55
5-99632.0945222348.899784.9818421.05-13691.38-81559.890.710.68-0.034-2214.05
6-10266745222348.8911336.3125877.19-15307.23-1050700.740.71-0.03-2281.5
7-10361345222348.8911911.4933223.68-15898.53-91922.010.750.72-0.031-2302.52
8-11719845222348.8911032.5439473.68-15648.45-71420.610.710.67-0.039-2604.41
9-10002345242153.3312258.5537966.1-18772.79-79554.320.650.75-0.029-2222.74
10-17218145212446.6712931.1538644.07-18488.98-75431.750.70.61-0.049-3826.25

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 53.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, 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
atrnil25.63-846.5554183633.3320111.4537700.27-10079.24-16723.8521-0.00029-15.68
atrnil37.85-50700.2154124222.2230822.2256550.41-10013.5-16723.853.080.88-0.014-938.89
atrtrail23.76-56523.0454193535.1911855.9129743.27-8051.01-16723.851.470.8-0.026-1046.72
nilnil-11-28659.4245242153.334383.129132.42-6374.02-18264.270.690.79-0.027-636.88
atrtrail34.17-88502.3354193535.1910172.7944614.9-8051.01-16723.851.260.69-0.04-1638.93
atrtrail-14.3-90390.8654193535.1910073.431367.25-8051.01-16723.851.250.68-0.043-1673.9

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0078%, 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:0.998

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Mar 2019 (-8.17%), 22 Apr 2019 (-7.4%), 23 Apr 2019 (14.87%)
2018117 Jan 2018 (8.15%)
2017602 Feb 2017 (-3.94%), 15 Feb 2017 (-4.57%), 03 Mar 2017 (-3.86%), 29 Mar 2017 (-3.72%), 21 Apr 2017 (-2.94%), 04 May 2017 (-2.76%)
2016409 May 2016 (-4.37%), 25 May 2016 (-3.56%), 23 Jun 2016 (-3.79%), 19 Jul 2016 (-3.27%)
2015627 Jan 2015 (-8.32%), 05 Mar 2015 (-7.17%), 18 Aug 2015 (-5.2%), 19 Aug 2015 (10.27%), 28 Oct 2015 (-4.1%), 29 Oct 2015 (-4.04%)
2014515 Jan 2014 (10.43%), 14 Feb 2014 (9.5%), 30 Apr 2014 (-6.76%), 02 May 2014 (-6.65%), 17 Jun 2014 (11.63%)
2013417 Jan 2013 (-4.6%), 13 Feb 2013 (-5.74%), 14 Feb 2013 (11.93%), 07 Nov 2013 (10.88%)
2012514 Feb 2012 (-5.93%), 15 Feb 2012 (-5.71%), 16 Mar 2012 (13.07%), 09 Oct 2012 (8.37%), 18 Dec 2012 (8.02%)
2011129 Apr 2011 (9.08%)
2010414 Jan 2010 (7.31%), 27 Jul 2010 (6.01%), 20 Oct 2010 (-3.97%), 26 Oct 2010 (7.2%)
2009327 May 2009 (-8.36%), 12 Jun 2009 (18.85%), 21 Dec 2009 (-4.95%)
2008129 Apr 2008 (-5.62%)
2007513 Jun 2007 (-4.8%), 22 Jun 2007 (-4.1%), 22 Oct 2007 (-6.96%), 06 Nov 2007 (-5.3%), 21 Nov 2007 (-5.48%)
2006614 Feb 2006 (-4.73%), 29 Mar 2006 (-3.77%), 25 Aug 2006 (9.02%), 27 Oct 2006 (-3.74%), 17 Nov 2006 (-3.07%), 30 Nov 2006 (6.41%)



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