Study: Buy BPCL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BPCL 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 BPCL 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
1-44789.77542727504280.6113151.93-5939.49-23717.220.720.72-0.025-829.44
2-66639.8754252946.36756.522677.06-8122.49-26868.930.830.72-0.027-1234.07
341518.6454292553.79954.7349447.69-9886.74-33349.511.011.170.012768.86
481627.4154342062.9610358.1340939.3-13527.45-450000.771.30.0211511.62
517694354342062.9612984.8647496.68-13227.12-36334.950.981.670.0413276.72
619444254322259.2614011.845808.97-11542.52-35849.511.211.770.0463600.78
720023254332161.1114820.0775308.64-13753.85-33834.951.081.690.0413707.99
827208154322259.2616546.298310.59-11699.9-38753.031.412.060.055038.53
934602354342062.9617969.28112411-13246.64-40946.61.362.310.0576407.83
1035464354361866.6717602.62112346-15502.86-43852.841.142.270.0566567.46
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
BPCL Performance, X=9, Profit Factor:2.31

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Feb 2019 (4.77%)
2018518 Jan 2018 (4.27%), 22 Feb 2018 (3.45%), 20 Apr 2018 (2.37%), 11 Sep 2018 (9.05%), 05 Oct 2018 (6.88%)
2017120 Jun 2017 (-1.14%)
2016112 Feb 2016 (-1.12%)
2014115 Dec 2014 (1.69%)
2013224 Jun 2013 (7.8%), 30 Jul 2013 (-8.11%)
2012205 Jan 2012 (14.23%), 23 Nov 2012 (11.43%)
2011406 Jan 2011 (-5.57%), 20 Jan 2011 (3.49%), 09 Nov 2011 (-12.15%), 24 Nov 2011 (9.4%)
2010127 Jan 2010 (3.36%)
2008513 May 2008 (0.33%), 05 Jun 2008 (-7.72%), 19 Jun 2008 (-16.2%), 03 Jul 2008 (11.56%), 24 Oct 2008 (17.47%)
2007202 Mar 2007 (-1.6%), 24 Jul 2007 (0.35%)
2006307 Jun 2006 (-2.2%), 08 Dec 2006 (-3.87%), 26 Dec 2006 (8.6%)
2005223 Mar 2005 (-1.89%), 14 Jul 2005 (5.91%)
2004212 May 2004 (-20.47%), 26 May 2004 (-0.85%)
2003228 Jan 2003 (4.68%), 21 Jul 2003 (9.26%)
2002209 Sep 2002 (-4.72%), 24 Sep 2002 (8.01%)
2001112 Sep 2001 (8.64%)
2000522 Feb 2000 (-15.14%), 07 Mar 2000 (20.98%), 28 Apr 2000 (-10.18%), 15 May 2000 (56.21%), 11 Aug 2000 (4.29%)
1999205 Feb 1999 (4.3%), 22 Apr 1999 (14.95%)
1998528 Jan 1998 (-1.03%), 26 May 1998 (3.09%), 10 Aug 1998 (-9.37%), 02 Sep 1998 (22.73%), 16 Dec 1998 (8.3%)
1997109 Dec 1997 (3.27%)
1996218 Jul 1996 (-9.14%), 06 Aug 1996 (1.5%)
1995224 Oct 1995 (0.0%), 23 Nov 1995 (8.84%)

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
atrnil39.7352410294355937.2332480.0277407.8-10384.73-22464.33.131.860.0485575.55
atrtrail34.47262578101425941.5819180.3756654.28-9203.35-21575.632.081.480.0312599.78
atrnil25.3627553795415443.1620756.7951605.2-10657.26-22464.31.951.480.0342900.38
atrtrail23.77153675101425941.5816587.4349160.43-9203.35-21575.631.81.280.021521.53
atrtrail-15.28150776101416040.5916995.2155445.37-9100.47-21575.631.871.280.0191492.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.86. 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 37.23%, which is not acceptable. Avoid this strategy. Average return per trade is 2.79%, which is very good. Sharpe Ratio is 0.048, 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.
BPCL Performance, Profit Factor:1.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Feb 2019 (9.25%)
2018618 Jan 2018 (-2.34%), 22 Feb 2018 (-3.39%), 20 Apr 2018 (12.44%), 11 Sep 2018 (-2.9%), 12 Sep 2018 (9.07%), 05 Oct 2018 (26.25%)
2017320 Jun 2017 (-2.54%), 22 Jun 2017 (-2.63%), 27 Jun 2017 (8.81%)
2016212 Feb 2016 (-3.68%), 16 Feb 2016 (12.22%)
2014115 Dec 2014 (11.28%)
2013424 Jun 2013 (10.22%), 30 Jul 2013 (-4.53%), 02 Aug 2013 (-5.89%), 06 Aug 2013 (20.64%)
2012205 Jan 2012 (12.85%), 23 Nov 2012 (6.32%)
20111006 Jan 2011 (-3.36%), 11 Jan 2011 (-3.37%), 14 Jan 2011 (-3.59%), 20 Jan 2011 (10.67%), 09 Nov 2011 (-3.57%), 11 Nov 2011 (-3.7%), 15 Nov 2011 (-3.76%), 16 Nov 2011 (-4.1%), 22 Nov 2011 (-4.32%), 23 Nov 2011 (-4.59%)
2010227 Jan 2010 (-3.69%), 28 Jan 2010 (11.85%)
2008813 May 2008 (-5.39%), 05 Jun 2008 (-7.02%), 09 Jun 2008 (-7.73%), 20 Jun 2008 (-6.96%), 27 Jun 2008 (-7.49%), 30 Jun 2008 (27.02%), 24 Oct 2008 (-10.65%), 27 Oct 2008 (38.7%)
2007302 Mar 2007 (-4.66%), 05 Mar 2007 (14.6%), 24 Jul 2007 (-3.65%)
2006407 Jun 2006 (-8.54%), 08 Jun 2006 (27.31%), 08 Dec 2006 (-3.31%), 12 Dec 2006 (10.65%)
2005423 Mar 2005 (-3.49%), 28 Mar 2005 (-3.65%), 29 Mar 2005 (11.5%), 14 Jul 2005 (9.65%)
2004512 May 2004 (-5.75%), 13 May 2004 (-6.83%), 14 May 2004 (-8.86%), 17 May 2004 (-11.23%), 28 May 2004 (-10.5%)
2003328 Jan 2003 (-4.88%), 31 Jan 2003 (14.27%), 21 Jul 2003 (-3.92%)
2002309 Sep 2002 (-6.82%), 18 Sep 2002 (-6.45%), 30 Sep 2002 (18.41%)
2001412 Sep 2001 (-5.19%), 13 Sep 2001 (-5.99%), 14 Sep 2001 (-6.6%), 17 Sep 2001 (22.17%)
2000622 Feb 2000 (-9.39%), 06 Mar 2000 (-10.79%), 08 Mar 2000 (36.87%), 28 Apr 2000 (-9.88%), 02 May 2000 (34.51%), 11 Aug 2000 (18.84%)
1999305 Feb 1999 (-5.16%), 22 Apr 1999 (-6.58%), 26 Apr 1999 (23.51%)
1998928 Jan 1998 (-3.32%), 26 May 1998 (11.2%), 10 Aug 1998 (-4.7%), 11 Aug 1998 (-4.91%), 18 Aug 1998 (-4.91%), 19 Aug 1998 (16.19%), 02 Sep 1998 (19.52%), 16 Dec 1998 (-3.5%), 17 Dec 1998 (11.99%)
1997309 Dec 1997 (-2.8%), 11 Dec 1997 (-2.93%), 16 Dec 1997 (8.7%)
1996518 Jul 1996 (7.81%), 25 Jul 1996 (-3.07%), 26 Jul 1996 (-3.19%), 29 Jul 1996 (-3.75%), 30 Jul 1996 (13.28%)
1995324 Oct 1995 (-2.82%), 30 Oct 1995 (-3.12%), 23 Nov 1995 (9.82%)



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