Study: Buy SUZLON when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy SUZLON when RSI is below 50 and there is Bullish Crossover in MACD" 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
144575.0253223141.516880.9914769.23-3445.38-14515.3221.420.036841.04
27291.3453223141.518778.1820746.89-5994.47-18886.111.461.040.0041137.57
347114.0453233043.410794.754873.65-6705.47-14058.961.611.230.02888.94
4-33150.0953203337.7412018.2348555.96-8288.32-23582.771.450.88-0.013-625.47
5-11405953193435.8511240.0535386.63-9635.88-28117.911.170.65-0.046-2152.05
6-14211653173632.0812393.1239111.11-9799.99-28850.861.260.6-0.055-2681.44
7-17481853153828.314911.1138532.11-10486.43-30115.831.420.56-0.061-3298.45
8-14936453203337.7412559.748888.89-12138.11-37163.811.030.63-0.047-2818.18
9-14653053203337.7413355.8860444.44-12534.78-39915.971.070.65-0.044-2764.72
10-94963.8753213239.6216543.960444.44-13824.56-48319.331.20.79-0.025-1791.77

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. 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 41.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.42%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, which is low, don't trade solely on the basis of this study.

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
atrtrail25.212113559233638.9817576.1835642.32-7864.36-16045.812.231.430.042053.14
nilnil-1144575.0253223141.516880.9914769.23-3445.38-14515.3221.420.036841.04
atrtrail36.1711138359233638.9817152.1751159.55-7864.36-16045.812.181.390.0341887.85
atrtrail-16.6156419.5659233638.9814762.4646091.87-7864.36-16045.811.881.20.019956.26
atrnil27.42-68863.2659194032.221291.9635642.32-11835.26-47966.711.80.85-0.019-1167.17
atrnil310.73-11141859134622.0332553.8351159.55-11622.12-47966.712.80.79-0.026-1888.44

In the table above, row 1 shows the best exit criterion. Profit factor is 1.43. 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 38.98%, which is not acceptable. Avoid this strategy. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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:1.43

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-5.69%)
2018827 Feb 2018 (-3.96%), 16 Mar 2018 (-4.31%), 25 May 2018 (0.85%), 11 Jun 2018 (-5.87%), 29 Aug 2018 (-3.85%), 10 Sep 2018 (-3.91%), 15 Oct 2018 (-3.1%), 12 Dec 2018 (-0.69%)
2017404 Jul 2017 (6.48%), 29 Aug 2017 (1.46%), 12 Oct 2017 (7.45%), 28 Nov 2017 (-3.91%)
2016423 Feb 2016 (15.27%), 07 Sep 2016 (5.09%), 20 Oct 2016 (-3.64%), 11 Nov 2016 (9.34%)
2015517 Jun 2015 (9.5%), 15 Sep 2015 (-3.63%), 01 Oct 2015 (9.22%), 02 Dec 2015 (-3.53%), 21 Dec 2015 (-3.38%)
2014203 Sep 2014 (-5.47%), 22 Oct 2014 (17.05%)
2013202 Apr 2013 (-0.46%), 12 Aug 2013 (-1.51%)
2012704 May 2012 (-4.95%), 07 May 2012 (-5.02%), 18 May 2012 (1.21%), 13 Jun 2012 (10.62%), 07 Sep 2012 (7.66%), 07 Nov 2012 (-3.75%), 15 Nov 2012 (7.17%)
2011518 Feb 2011 (-5.81%), 05 Sep 2011 (-0.35%), 11 Oct 2011 (-2.59%), 02 Dec 2011 (-6.68%), 22 Dec 2011 (-2.17%)
2010617 Feb 2010 (-4.51%), 26 Feb 2010 (8.52%), 10 May 2010 (-3.41%), 11 Jun 2010 (8.98%), 03 Sep 2010 (9.25%), 03 Dec 2010 (-3.94%)
2009526 Feb 2009 (-8.02%), 18 Mar 2009 (14.29%), 23 Jul 2009 (3.44%), 24 Aug 2009 (12.68%), 12 Nov 2009 (14.43%)
2008314 Feb 2008 (-7.5%), 11 Jul 2008 (17.82%), 04 Nov 2008 (4.34%)
2007517 Jan 2007 (-3.15%), 01 Mar 2007 (-5.38%), 14 Aug 2007 (-4.73%), 20 Aug 2007 (-5.28%), 21 Aug 2007 (-1.24%)
2006216 Jun 2006 (-2.4%), 29 Dec 2006 (-3.77%)



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