Study: Buy DRREDDY when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy DRREDDY 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 DRREDDY 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
139100.5562352756.454186.2128011.1-3978.4-10398.481.051.360.02630.65
246703.5862372559.684945.328462.68-5450.9-23095.240.911.340.021753.28
362242.1662422067.745634.1424308.11-8719.58-23015.870.651.360.0231003.91
476974.0462392362.96955.0923404.94-8446.71-24603.170.821.40.0261241.52
510788062412166.138833.3635326.73-12108.93-29677.960.731.420.0271740
612038362392362.99983.5342461.89-11694.57-36329.190.851.450.0281941.65
782161.9562422067.749737.9645120.89-16341.61-42714.180.61.250.0171325.19
874706.562382461.2911320.6359011.34-14811.56-48279.230.761.210.0141204.94
98508662392362.910641.8242975.21-14345.43-43934.590.741.260.0161372.35
1010505662402264.521114860674.5-15493.83-44129.850.721.310.0191694.45
Although, strategy looks good but profit factor on day 2 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
atrnil25.6286663.81110397135.4517224.7237518.69-8240.85-17011.922.091.150.012787.85
atrtrail24.2160676.38120467438.3311684.5932292.37-6443.44-16224.31.811.130.0098505.64
atrnil39.3545465.14108288025.9325410.9754243.75-8325.52-18759.343.051.070.0053420.97
atrtrail-15.5522016.24119457437.8211045.6759757.6-6419.45-16224.31.721.050.0031185.01
atrtrail34.884268120467438.3310458.3248438.55-6443.44-16224.31.621.010.0006735.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 35.45%, which is not acceptable. Avoid this strategy. Average return per trade is 0.39%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
DRREDDY Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 May 2019 (-3.01%)
2018301 Feb 2018 (-3.41%), 06 Feb 2018 (7.34%), 21 May 2018 (5.09%)
20171009 Mar 2017 (-2.2%), 21 Mar 2017 (-2.08%), 22 Mar 2017 (4.41%), 25 May 2017 (5.1%), 28 Jul 2017 (-2.64%), 31 Jul 2017 (-2.8%), 03 Aug 2017 (-2.98%), 04 Aug 2017 (-3.17%), 08 Aug 2017 (-3.52%), 10 Aug 2017 (8.25%)
2016321 Jan 2016 (5.64%), 06 May 2016 (4.36%), 27 Jul 2016 (7.16%)
2015606 Nov 2015 (-3.86%), 09 Nov 2015 (-4.09%), 10 Nov 2015 (-4.42%), 19 Nov 2015 (-4.41%), 26 Nov 2015 (-4.62%), 09 Dec 2015 (-3.75%)
2014216 May 2014 (-2.59%), 19 May 2014 (6.16%)
2013127 Feb 2013 (4.24%)
2012212 Jun 2012 (-2.32%), 14 Jun 2012 (4.62%)
2011327 Jan 2011 (-3.04%), 09 Feb 2011 (6.48%), 19 Aug 2011 (6.81%)
2010127 Jul 2010 (6.48%)
2008821 Jan 2008 (-4.63%), 22 Jan 2008 (-5.98%), 24 Jan 2008 (-7.47%), 31 Jan 2008 (-8.51%), 31 Jul 2008 (10.92%), 29 Sep 2008 (-5.5%), 07 Oct 2008 (-8.11%), 10 Oct 2008 (18.76%)
2007712 Feb 2007 (-2.81%), 22 Feb 2007 (-3.21%), 23 Feb 2007 (-3.66%), 28 Feb 2007 (-4.31%), 05 Mar 2007 (10.13%), 14 May 2007 (-3.53%), 11 Jun 2007 (-3.02%)
2006301 Jun 2006 (-6.88%), 07 Jun 2006 (-6.93%), 08 Jun 2006 (14.87%)
2005512 Jan 2005 (-4.05%), 18 Apr 2005 (-3.26%), 25 Apr 2005 (6.39%), 26 Apr 2005 (-3.9%), 28 Apr 2005 (7.76%)
2004901 Mar 2004 (-6.02%), 07 Apr 2004 (-3.69%), 15 Apr 2004 (-3.8%), 29 Apr 2004 (-3.52%), 17 May 2004 (10.59%), 21 Jun 2004 (-4.48%), 23 Jun 2004 (-4.52%), 20 Aug 2004 (-3.39%), 24 Aug 2004 (7.34%)
2002721 May 2002 (6.77%), 26 Jul 2002 (8.2%), 18 Sep 2002 (6.65%), 16 Oct 2002 (-3.97%), 24 Oct 2002 (-3.69%), 25 Oct 2002 (-4.09%), 05 Nov 2002 (8.4%)
2001306 Apr 2001 (-7.53%), 09 Apr 2001 (-7.93%), 12 Apr 2001 (16.15%)
2000224 Jul 2000 (-5.97%), 25 Jul 2000 (12.97%)
1999101 Nov 1999 (18.08%)
1998311 Jun 1998 (-6.12%), 16 Jun 1998 (12.64%), 01 Sep 1998 (13.4%)
19961709 Jan 1996 (6.68%), 29 Jul 1996 (-3.75%), 30 Jul 1996 (8.41%), 26 Sep 1996 (-3.38%), 27 Sep 1996 (-3.63%), 30 Sep 1996 (-3.92%), 03 Oct 1996 (-4.27%), 07 Oct 1996 (9.27%), 25 Nov 1996 (-2.78%), 26 Nov 1996 (-3.19%), 27 Nov 1996 (-3.48%), 02 Dec 1996 (-3.72%), 03 Dec 1996 (-3.9%), 04 Dec 1996 (-4.19%), 05 Dec 1996 (8.8%), 12 Dec 1996 (-4.45%), 26 Dec 1996 (8.56%)
19951302 May 1995 (-3.11%), 03 May 1995 (6.7%), 20 Jun 1995 (-2.6%), 26 Jun 1995 (-2.77%), 27 Jun 1995 (-2.87%), 30 Jun 1995 (-3.03%), 05 Jul 1995 (5.91%), 13 Nov 1995 (-3.34%), 14 Nov 1995 (-3.47%), 15 Nov 1995 (-4.48%), 21 Nov 1995 (-4.31%), 22 Nov 1995 (-4.52%), 23 Nov 1995 (9.39%)



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