Study: Buy FORTIS when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy FORTIS 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 FORTIS 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
1-7999.4927111640.744379.7617902.47-3511.05-13041.031.250.86-0.016-296.28
2-43263.4527121544.444538.3718973.36-6514.92-16271.190.70.56-0.066-1602.35
3-33493.4127121544.447471.8919363.22-8210.41-33728.810.910.73-0.035-1240.5
432387.5327131448.1512284.7650907.56-9093.88-27932.961.351.250.0231199.54
58871.9527131448.1511576.8737037.04-10116.24-31005.591.141.060.007328.59
660066.2227131448.1513808.6242495.13-8531.85-31564.251.621.50.0442224.67
788148.6527121544.4415502.1342127.48-6525.12-29515.832.381.90.0683264.76
884288.9427141351.8514192.8443404.81-8800.84-30074.491.611.740.0633121.81
910783827141351.8517558.9547192.91-10614.43-32216.011.651.780.0663993.99
1017995227151255.5620948.6567966.21-11189.8-34357.541.872.340.0926664.89
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
FORTIS Performance, X=10, Profit Factor:2.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018105 Feb 2018 (29.67%)
2017204 Jul 2017 (-3.56%), 10 Nov 2017 (3.2%)
2014321 Nov 2014 (-3.89%), 05 Dec 2014 (-2.05%), 19 Dec 2014 (7.44%)
2013407 Feb 2013 (-3.39%), 26 Feb 2013 (0.35%), 24 May 2013 (-0.93%), 26 Jun 2013 (12.12%)
2012130 Aug 2012 (7.76%)
2011811 Jan 2011 (-4.07%), 25 Jan 2011 (11.07%), 20 Sep 2011 (-14.36%), 04 Oct 2011 (1.78%), 21 Oct 2011 (8.49%), 17 Nov 2011 (-2.57%), 12 Dec 2011 (-17.18%), 26 Dec 2011 (5.9%)
2010219 May 2010 (-4.61%), 19 Nov 2010 (1.59%)
2009213 Jul 2009 (33.98%), 03 Nov 2009 (11.9%)
2008222 Jan 2008 (14.23%), 06 Oct 2008 (-7.2%)
2007218 Oct 2007 (-3.32%), 01 Nov 2007 (7.61%)

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
atrtrail35.6116979351203139.2218542.1752136.88-6485.49-14202.222.861.840.0683329.28
atrnil25.715670944182640.9120587.846447.35-8225.82-14202.222.51.730.073561.57
atrtrail-16.6714669551193237.2518623.3459803-6473.38-14202.222.881.710.0572876.38
atrtrail24.6513813051203139.2216959.0134757.92-6485.49-14202.222.611.690.0642708.44
atrnil38.5170306.0243123127.912869352136.88-8839.03-23223.673.251.260.0271635.02

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 39.22%, which is not acceptable. Avoid this strategy. Average return per trade is 1.66%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.068, 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.
FORTIS Performance, Profit Factor:1.84

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Feb 2018 (-7.1%), 06 Feb 2018 (22.65%)
2017404 Jul 2017 (0.26%), 17 Jul 2017 (8.38%), 10 Nov 2017 (-2.98%), 14 Nov 2017 (9.34%)
2014521 Nov 2014 (-2.87%), 24 Nov 2014 (-1.76%), 09 Dec 2014 (-2.54%), 12 Dec 2014 (-1.77%), 16 Dec 2014 (7.81%)
2013707 Feb 2013 (-2.61%), 11 Feb 2013 (8.34%), 14 Feb 2013 (-1.44%), 28 Feb 2013 (1.65%), 24 May 2013 (-2.78%), 31 May 2013 (1.31%), 26 Jun 2013 (-0.72%)
2012130 Aug 2012 (9.79%)
20111711 Jan 2011 (-1.74%), 14 Jan 2011 (-2.71%), 18 Jan 2011 (-0.95%), 27 Jan 2011 (8.78%), 20 Sep 2011 (-3.72%), 22 Sep 2011 (-3.75%), 26 Sep 2011 (-4.03%), 03 Oct 2011 (-1.38%), 24 Oct 2011 (8.42%), 17 Nov 2011 (-2.65%), 22 Nov 2011 (-2.61%), 12 Dec 2011 (-3.76%), 14 Dec 2011 (-4.18%), 15 Dec 2011 (-4.86%), 21 Dec 2011 (-4.85%), 27 Dec 2011 (-5.24%), 28 Dec 2011 (16.66%)
2010619 May 2010 (-4.16%), 21 May 2010 (-4.28%), 25 May 2010 (3.21%), 01 Jun 2010 (15.57%), 19 Nov 2010 (-2.01%), 26 Nov 2010 (3.93%)
2009213 Jul 2009 (26.07%), 03 Nov 2009 (6.95%)
2008422 Jan 2008 (4.14%), 06 Oct 2008 (-5.44%), 08 Oct 2008 (-6.61%), 10 Oct 2008 (8.59%)
2007318 Oct 2007 (-0.29%), 01 Nov 2007 (-4.74%), 06 Nov 2007 (13.57%)



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