Study: Buy ADANIPORTS when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ADANIPORTS 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 ADANIPORTS 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
1-44713.44251114443530.1814198.1-5967.53-15401.620.590.46-0.084-1788.54
21123251213485461.039722.55-4954.57-19537.931.11.020.00244.92
330202.222512134811704.5549099.87-8480.95-20211.021.381.270.0261208.09
4-620.82512134814465.9732827.11-13400.96-38184.551.081-0.00042-24.83
510980.172512134814165.638237.96-12231.31-24886.31.161.070.008439.21
6-1218.032514115611014.644734.99-14129.31-38693.830.780.99-0.00085-48.72
7-34908.982514115611574.0142301.12-17904.1-36128.80.650.82-0.023-1396.36
8-7535.722514115611137.8538640.25-14860.51-36736.370.750.95-0.0054-301.43
9-26233.672513125211287.3838720.71-14414.14-46100.860.780.85-0.018-1049.35
10-13698.992512134812409.7437212.11-12508.92-36933.170.990.92-0.01-547.96
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
atrtrail34.2735127.5151173433.3322435.9265527.47-10184.8-20080.332.21.10.01688.77
atrtrail-15.0831623.4151173433.3322229.889349.74-10184.8-20080.332.181.090.0084620.07
atrnil37.3823929.1447123525.5336057.0965527.47-11678.74-20475.793.091.060.0066509.13
atrnil24.79-30468.6847143329.7924881.743684.98-11479.16-20475.792.170.92-0.011-648.27
atrtrail23.55-48980.9651173433.3317488.3643684.98-10184.8-20080.331.720.86-0.018-960.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
ADANIPORTS Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (2.31%), 29 Jul 2019 (-1.91%), 21 Aug 2019 (-3.04%)
2018425 Sep 2018 (-4.59%), 01 Oct 2018 (-4.78%), 04 Oct 2018 (-4.9%), 05 Oct 2018 (5.31%)
2016911 Jan 2016 (-1.95%), 13 Jan 2016 (-3.39%), 15 Jan 2016 (-3.76%), 18 Jan 2016 (1.97%), 28 Jan 2016 (0.4%), 11 Feb 2016 (-5.31%), 12 Feb 2016 (18.11%), 13 May 2016 (-5.1%), 19 May 2016 (16.28%)
2015705 Nov 2015 (-2.89%), 09 Nov 2015 (-3.36%), 10 Nov 2015 (0.99%), 02 Dec 2015 (-2.85%), 08 Dec 2015 (-2.71%), 09 Dec 2015 (-1.64%), 11 Dec 2015 (9.01%)
2013230 Jul 2013 (-3.37%), 31 Jul 2013 (13.45%)
2012226 Mar 2012 (5.88%), 16 May 2012 (8.64%)
2011209 Aug 2011 (-0.3%), 23 Nov 2011 (-6.67%)
2010306 May 2010 (-3.02%), 07 May 2010 (10.04%), 25 Nov 2010 (-4.33%)
20081912 Feb 2008 (2.69%), 07 Mar 2008 (-8.93%), 10 Mar 2008 (-5.9%), 13 Mar 2008 (-10.04%), 17 Mar 2008 (31.91%), 09 Jun 2008 (-1.47%), 25 Jun 2008 (-7.96%), 27 Jun 2008 (-9.0%), 02 Jul 2008 (-9.92%), 03 Jul 2008 (32.76%), 18 Sep 2008 (-6.66%), 23 Sep 2008 (-6.04%), 29 Sep 2008 (-6.89%), 30 Sep 2008 (-6.15%), 07 Oct 2008 (-7.41%), 08 Oct 2008 (-7.82%), 10 Oct 2008 (4.36%), 20 Nov 2008 (-9.09%), 28 Nov 2008 (26.58%)



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