Study: Buy ANDHRABANK when RSI is oversold

home > technical-strategy > andhrabank > 59

In this study, we evaluate the performance of strategy "Buy ANDHRABANK 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 ANDHRABANK 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
1-15666.1948183037.58028.1733769.32-5339.11-20283.021.50.9-0.0084-326.38
2-37461.4248192939.588322.3255172.41-6744.33-22171.951.230.81-0.016-780.45
3-99056.5648173135.4210888.4952794.29-9166.48-33146.071.190.65-0.036-2063.68
4-39833.4948262254.179006.345659.93-12454.42-38764.040.720.85-0.014-829.86
5-38138.44824245011373.4644233.06-12962.56-37330.320.880.88-0.012-794.55
6-18089.6948222645.8313122.6242568.37-11799.51-40308.991.110.94-0.0055-376.87
715965.1348262254.1711205.2145278.45-12516.84-35533.710.91.060.005332.61
89778.9548252352.0811627.9140920.1-12213.86-43137.250.951.030.0031203.73
973577.0748252352.0813873.5546731.23-11880.94-40422.321.171.270.0221532.86
1058752.4648262254.1714200.4253026.63-14111.75-46757.161.011.190.0161224.01
Although, strategy looks good but profit factor on day 3 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
atrnil25.1513904788315735.2321458.2555075.47-9230.86-17454.042.321.260.0241580.08
atrnil38.0914298987256228.7429802.764626.93-9710.95-27537.743.071.240.0211643.55
atrtrail34.5172233.0397356236.0816227.8864626.93-7995.85-17454.042.031.150.012744.67
atrtrail23.8727667.3697356236.0814954.5855075.47-7995.85-17454.041.871.060.005285.23
atrtrail-15.18-16498.5197356236.0813692.753795.42-7995.85-17454.041.710.97-0.003-170.09

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 35.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.024, 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.
ANDHRABANK Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018916 Jan 2018 (5.76%), 01 Feb 2018 (-3.8%), 02 Feb 2018 (-4.02%), 06 Feb 2018 (-4.48%), 19 Feb 2018 (-4.63%), 06 Mar 2018 (-4.45%), 07 Mar 2018 (-5.15%), 12 Mar 2018 (12.74%), 18 May 2018 (9.56%)
2017227 Jun 2017 (7.11%), 10 Aug 2017 (6.99%)
2016913 Jan 2016 (-3.06%), 14 Jan 2016 (-3.28%), 15 Jan 2016 (-3.77%), 18 Jan 2016 (-4.01%), 10 Feb 2016 (-4.67%), 11 Feb 2016 (-5.17%), 12 Feb 2016 (11.08%), 24 May 2016 (7.77%), 26 Dec 2016 (5.51%)
2014329 Jan 2014 (-3.63%), 08 Aug 2014 (-4.8%), 13 Aug 2014 (10.01%)
20131107 Feb 2013 (-3.97%), 25 Feb 2013 (-3.51%), 28 Feb 2013 (8.29%), 24 Jun 2013 (6.04%), 29 Jul 2013 (-4.15%), 31 Jul 2013 (-5.06%), 01 Aug 2013 (-5.87%), 05 Aug 2013 (-6.0%), 19 Aug 2013 (-5.96%), 27 Aug 2013 (-5.74%), 03 Sep 2013 (11.61%)
2012626 Jul 2012 (-3.05%), 27 Jul 2012 (-3.54%), 09 Aug 2012 (-3.51%), 14 Aug 2012 (-3.91%), 27 Aug 2012 (-3.44%), 30 Aug 2012 (6.45%)
20111310 Jan 2011 (-3.85%), 14 Jan 2011 (-4.22%), 18 Jan 2011 (8.52%), 20 Jun 2011 (-3.01%), 18 Aug 2011 (-3.29%), 19 Aug 2011 (6.99%), 15 Nov 2011 (-3.85%), 18 Nov 2011 (-3.96%), 23 Nov 2011 (-4.34%), 13 Dec 2011 (-3.81%), 16 Dec 2011 (-4.01%), 19 Dec 2011 (-4.3%), 20 Dec 2011 (9.85%)
2010208 Dec 2010 (-4.93%), 09 Dec 2010 (10.5%)
2009424 Feb 2009 (-4.86%), 26 Feb 2009 (-5.16%), 02 Mar 2009 (-5.27%), 06 Mar 2009 (12.03%)
20081522 Jan 2008 (20.9%), 17 Mar 2008 (-6.91%), 19 Mar 2008 (15.77%), 05 Jun 2008 (-3.89%), 09 Jun 2008 (-4.11%), 12 Jun 2008 (-4.09%), 20 Jun 2008 (-4.27%), 23 Jun 2008 (-4.76%), 25 Jun 2008 (-5.06%), 27 Jun 2008 (-5.19%), 30 Jun 2008 (-6.61%), 02 Jul 2008 (-6.85%), 15 Jul 2008 (11.56%), 24 Oct 2008 (-8.73%), 27 Oct 2008 (21.54%)
2007221 Feb 2007 (-4.35%), 05 Mar 2007 (8.63%)
2006721 Mar 2006 (-3.04%), 30 Mar 2006 (6.81%), 22 May 2006 (-8.57%), 08 Jun 2006 (-7.79%), 13 Jun 2006 (17.75%), 11 Dec 2006 (-3.37%), 12 Dec 2006 (9.12%)
2005225 Aug 2005 (8.4%), 28 Oct 2005 (10.96%)
2004222 Mar 2004 (10.3%), 17 May 2004 (27.54%)
2002103 Sep 2002 (6.52%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play