Study: Buy CANFINHOME when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CANFINHOME 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 CANFINHOME 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
1-68477.9832171553.124103.7816921.27-9216.15-39997.460.450.5-0.047-2139.94
2-70875.8432112134.388654.831257.34-7908.51-23672.11.090.57-0.043-2214.87
3-3463.18321616509264.6331496.06-9481.07-30752.050.980.98-0.0017-108.22
412355232181456.2513127.6748031.5-8053.26-28571.431.632.10.0543861.01
512528832181456.2514501.7445669.29-9695.96-43877.551.51.920.0473915.25
699334.9732171553.1214239.8842303.17-9516.2-35306.121.51.70.043104.22
71019213216165015525.5745358.4-9155.49-21632.651.71.70.0423185.04
880171.7532181456.2513617.4344418.33-11781.56-240001.161.490.0322505.37
983547.6332181456.2514582.742538.19-12781.5-32241.251.141.470.0312610.86
1098644.813216165016818.3844094.49-10653.08-25577.071.581.580.0383082.65
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
CANFINHOME Performance, X=4, Profit Factor:2.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Jan 2019 (6.1%)
2018404 Apr 2018 (5.33%), 03 May 2018 (-0.55%), 17 May 2018 (-6.16%), 24 Sep 2018 (-11.54%)
2017409 Aug 2017 (3.81%), 25 Sep 2017 (2.58%), 31 Oct 2017 (-5.0%), 14 Nov 2017 (4.27%)
2016218 Jan 2016 (13.58%), 11 Nov 2016 (-4.52%)
2013130 Jul 2013 (1.28%)
2012127 Jul 2012 (5.02%)
2011409 Feb 2011 (11.87%), 05 Aug 2011 (-0.78%), 22 Aug 2011 (-2.44%), 21 Nov 2011 (-0.28%)
2010224 Nov 2010 (-1.85%), 08 Dec 2010 (0.26%)
2008207 Oct 2008 (-1.45%), 22 Oct 2008 (-14.29%)
2007305 Mar 2007 (-2.08%), 11 Jun 2007 (-0.82%), 21 Aug 2007 (12.0%)
2006108 Jun 2006 (16.1%)
2005124 Mar 2005 (1.61%)
2004114 Jun 2004 (1.39%)
2003122 Sep 2003 (4.43%)
2002121 May 2002 (3.7%)
2001105 Jul 2001 (0.8%)
1996222 Jul 1996 (-4.62%), 23 Dec 1996 (24.02%)

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
atrtrail24.5324206264303446.8817688.3746382.79-8487.93-19145.912.081.840.0513782.21
atrtrail35.4723478462283445.1618601.6150832.95-8413.56-19145.912.211.820.0473786.84
atrnil26.8824484658263244.8322367.2546382.79-10521.94-19145.912.131.730.0514221.49
atrtrail-16.8919991662283445.1617356.3456267.64-8413.56-19145.912.061.70.0413224.46
atrnil310.6924799954183633.3334549.5369574.18-10385.91-19145.913.331.660.0434592.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.84. 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 46.88%, which is not acceptable. Avoid this strategy. Average return per trade is 1.89%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.051, 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.
CANFINHOME Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Jan 2019 (1.69%)
2018904 Apr 2018 (0.56%), 03 May 2018 (-3.23%), 10 May 2018 (-3.57%), 16 May 2018 (-1.61%), 21 May 2018 (7.98%), 24 Sep 2018 (-5.48%), 25 Sep 2018 (-6.39%), 27 Sep 2018 (14.78%), 08 Oct 2018 (3.37%)
2017709 Aug 2017 (-3.0%), 10 Aug 2017 (6.32%), 22 Aug 2017 (-0.64%), 25 Sep 2017 (0.01%), 31 Oct 2017 (-3.9%), 06 Nov 2017 (-2.44%), 15 Nov 2017 (7.73%)
2016518 Jan 2016 (-4.66%), 20 Jan 2016 (9.9%), 11 Nov 2016 (-4.85%), 15 Nov 2016 (14.83%), 16 Nov 2016 (14.55%)
2013230 Jul 2013 (0.35%), 06 Aug 2013 (-0.06%)
2012127 Jul 2012 (7.84%)
2011909 Feb 2011 (-7.52%), 10 Feb 2011 (16.94%), 05 Aug 2011 (-3.64%), 08 Aug 2011 (7.95%), 10 Aug 2011 (-3.48%), 16 Aug 2011 (-4.48%), 19 Aug 2011 (-1.82%), 26 Aug 2011 (8.64%), 21 Nov 2011 (2.75%)
2010424 Nov 2010 (-5.62%), 26 Nov 2010 (0.62%), 08 Dec 2010 (-6.49%), 09 Dec 2010 (14.16%)
2008807 Oct 2008 (-3.26%), 10 Oct 2008 (-7.07%), 13 Oct 2008 (-6.32%), 16 Oct 2008 (-7.21%), 20 Oct 2008 (-3.93%), 23 Oct 2008 (-8.09%), 27 Oct 2008 (-9.57%), 29 Oct 2008 (23.19%)
2007605 Mar 2007 (-4.35%), 07 Mar 2007 (1.3%), 11 Jun 2007 (-3.03%), 18 Jun 2007 (6.83%), 21 Aug 2007 (-3.45%), 22 Aug 2007 (7.72%)
2006108 Jun 2006 (19.16%)
2005124 Mar 2005 (10.04%)
2004214 Jun 2004 (-3.43%), 23 Jun 2004 (-1.21%)
2003122 Sep 2003 (8.62%)
2002221 May 2002 (-2.66%), 23 May 2002 (10.94%)
2001205 Jul 2001 (-1.6%), 09 Jul 2001 (11.82%)
1996322 Jul 1996 (-6.23%), 24 Jul 1996 (14.53%), 23 Dec 1996 (10.2%)



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