Study: Buy GODFRYPHLP when RSI is oversold

home > technical-strategy > godfryphlp > 59

In this study, we evaluate the performance of strategy "Buy GODFRYPHLP 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 GODFRYPHLP 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
1-33995.7554213338.896889.225591.27-5414.21-34558.571.270.81-0.014-629.55
2-500.1854223240.7410151.6245239.54-6994.87-38303.791.451-0.00015-9.26
3-46447.1354203437.0412335.9350108.93-8622.52-36087.941.430.84-0.012-860.13
4-52887.3854213338.8913955.0170130.72-10483.11-47863.121.330.85-0.012-979.4
5-32547.0354213338.8916348.4891742.92-11389.85-42676.811.440.91-0.0064-602.72
613301154252946.318341.74113900-11225.24-35589.351.631.410.0232463.18
722422454233142.5924665.45139020-11067.16-36501.92.231.650.0324152.29
827726654252946.325054.89140959-12038.13-40441.062.081.790.0375134.56
923479353233043.425866.4126776-12004.47-39482.892.151.650.0344430.06
1030638153252847.1724714.11144575-11123.99-39633.32.221.980.0435780.77
Although, strategy looks good but profit factor on day 1 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
atrnil25.73194921104376735.5820898.9239457.36-8631.93-19904.372.421.340.0261874.24
atrtrail-15.08105704113367731.8618348.03131741-7205.53-18432.232.551.190.011935.43
atrnil38.43115716101267525.7430427.8557846.52-9005.44-19904.373.381.170.0131145.7
atrtrail34.36-27919113367731.8614636.2939219.29-7205.53-18432.232.030.95-0.0042-247.07
atrtrail23.81-33877.54114397534.2113173.7938564.35-7302.07-18432.231.80.94-0.0054-297.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.34. 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 35.58%, which is not acceptable. Avoid this strategy. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
GODFRYPHLP Performance, Profit Factor:1.34

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181031 Jan 2018 (6.18%), 01 Feb 2018 (-3.5%), 02 Feb 2018 (-3.99%), 06 Feb 2018 (8.71%), 07 Mar 2018 (7.48%), 18 May 2018 (-3.11%), 23 May 2018 (-3.17%), 24 May 2018 (-3.29%), 04 Jun 2018 (8.2%), 05 Oct 2018 (13.68%)
2017602 Aug 2017 (-3.83%), 03 Aug 2017 (-4.03%), 08 Aug 2017 (-4.08%), 09 Aug 2017 (-4.24%), 10 Aug 2017 (-5.06%), 11 Aug 2017 (10.82%)
2016712 Feb 2016 (19.28%), 26 Apr 2016 (-6.53%), 04 May 2016 (-6.11%), 05 May 2016 (13.03%), 15 Nov 2016 (-7.07%), 16 Nov 2016 (-9.95%), 22 Dec 2016 (8.62%)
2015509 Feb 2015 (-4.3%), 25 Feb 2015 (-3.55%), 28 Feb 2015 (-4.62%), 24 Mar 2015 (-3.54%), 27 Mar 2015 (7.65%)
2014227 Jun 2014 (6.58%), 10 Jul 2014 (7.6%)
20131015 Feb 2013 (-2.55%), 21 Feb 2013 (-3.05%), 04 Mar 2013 (-3.15%), 21 Mar 2013 (-3.26%), 22 Mar 2013 (-3.56%), 01 Apr 2013 (-4.05%), 03 Apr 2013 (-4.32%), 15 Apr 2013 (-4.4%), 18 Apr 2013 (-4.69%), 30 Apr 2013 (9.65%)
2012111 Jun 2012 (9.19%)
2011807 Feb 2011 (-4.49%), 09 Feb 2011 (9.97%), 16 Feb 2011 (11.87%), 16 Nov 2011 (-5.03%), 24 Nov 2011 (-4.87%), 16 Dec 2011 (-4.38%), 19 Dec 2011 (-4.7%), 20 Dec 2011 (11.8%)
20081327 Jun 2008 (-3.02%), 30 Jun 2008 (-3.54%), 01 Jul 2008 (-3.86%), 02 Jul 2008 (-4.18%), 04 Jul 2008 (8.72%), 03 Oct 2008 (-3.85%), 06 Oct 2008 (-4.59%), 07 Oct 2008 (-4.83%), 08 Oct 2008 (-5.7%), 10 Oct 2008 (13.21%), 24 Oct 2008 (-8.34%), 17 Nov 2008 (-9.22%), 21 Nov 2008 (19.73%)
2007702 Mar 2007 (-4.81%), 07 Mar 2007 (11.45%), 25 Jul 2007 (-3.48%), 31 Jul 2007 (-3.36%), 01 Aug 2007 (7.48%), 06 Aug 2007 (-4.29%), 19 Oct 2007 (10.41%)
2006617 Mar 2006 (-3.3%), 22 Mar 2006 (6.74%), 22 May 2006 (13.24%), 08 Jun 2006 (15.71%), 19 Sep 2006 (-3.5%), 27 Sep 2006 (6.89%)
2004216 Mar 2004 (-2.92%), 22 Mar 2004 (6.85%)
2003124 Sep 2003 (-3.23%)
2001526 Feb 2001 (-5.57%), 27 Feb 2001 (-6.24%), 28 Feb 2001 (-6.52%), 22 Jun 2001 (11.98%), 17 Sep 2001 (13.07%)
2000307 Feb 2000 (-4.91%), 14 Feb 2000 (9.96%), 23 Mar 2000 (18.49%)
1999411 Jun 1999 (-4.31%), 14 Jun 1999 (-4.37%), 25 Jun 1999 (-4.23%), 28 Jun 1999 (8.85%)
1998108 Jun 1998 (12.02%)
19961309 Jan 1996 (-3.02%), 11 Jan 1996 (-2.97%), 16 Jan 1996 (-3.11%), 18 Jan 1996 (-3.06%), 23 Jan 1996 (-2.85%), 25 Jan 1996 (-3.4%), 29 Jan 1996 (-3.52%), 31 Jan 1996 (6.97%), 08 Jul 1996 (-3.55%), 11 Jul 1996 (-3.46%), 16 Jul 1996 (6.78%), 19 Aug 1996 (-3.59%), 20 Aug 1996 (7.79%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play