Study: Buy GSFC when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy GSFC 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 GSFC 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
164432.6375354046.675837.8817388.54-3497.33-14848.921.671.460.029859.1
255473.9975324342.679687.739053.25-5919.36-18071.941.641.220.015739.65
320725.5675354046.679787.839718.31-8046.19-21236.731.221.060.0048276.34
416201.2575344145.3310072.0343076.92-7957.26-26865.671.271.050.0035216.02
564682.575403553.3310394.954437.87-10031.82-32153.521.041.180.012862.43
668760.47536394812131.3466035.5-9435.08-41620.471.291.190.012916.81
74361.8875383750.6712136.0666272.19-12346.17-70703.620.981.010.0006858.16
850470.4775354046.6714817.7866508.88-11703.8-68997.871.271.110.0075672.94
960331.7275373849.3314067.3661971.83-12109.49-66183.371.161.130.0094804.42
10-29021.467536394813961.0959154.93-13631.3-73859.281.020.95-0.0044-386.95

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.46. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, which is low, don't trade solely on the basis of this study.

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
nilnil-1164432.6375354046.675837.8817388.54-3497.33-14848.921.671.460.029859.1
atrnil310.78-39368.46121299223.9734719.8678474.28-11372.22-25910.723.050.96-0.0031-325.36
atrnil26.98-72973.75127408731.522892.3652316.19-11364-25910.722.010.93-0.0068-574.6
atrtrail24.4-123616143449930.7715712.4252316.19-8231.95-23283.531.910.85-0.013-864.45
atrtrail35.07-175345143449930.7714536.7871976.69-8231.95-23283.531.770.78-0.018-1226.19
atrtrail-15.56-195300143449930.7714083.24114883-8231.95-23283.531.710.76-0.019-1365.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 46.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
GSFC Performance, X=1, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019225 Jan 2019 (-3.22%), 08 Feb 2019 (-0.93%)
2018602 Feb 2018 (-3.45%), 21 May 2018 (-2.0%), 05 Jun 2018 (3.73%), 28 Jun 2018 (3.26%), 25 Sep 2018 (-0.56%), 11 Oct 2018 (4.78%)
2016209 Feb 2016 (-0.54%), 03 Aug 2016 (0.59%)
2015320 Mar 2015 (1.44%), 02 Jun 2015 (-3.4%), 04 Sep 2015 (-3.2%)
2014224 Jan 2014 (-3.31%), 07 Feb 2014 (0.32%)
2013426 Feb 2013 (0.25%), 22 Jul 2013 (-0.56%), 07 Aug 2013 (-1.26%), 23 Aug 2013 (-1.36%)
2012312 Jul 2012 (-2.67%), 26 Jul 2012 (0.15%), 26 Dec 2012 (-0.3%)
2011212 Dec 2011 (-0.68%), 26 Dec 2011 (-1.78%)
2010131 May 2010 (5.36%)
2009110 Aug 2009 (0.89%)
2008623 Jan 2008 (-4.81%), 17 Mar 2008 (-7.42%), 15 Sep 2008 (-3.78%), 29 Sep 2008 (0.04%), 15 Oct 2008 (3.31%), 02 Dec 2008 (-0.39%)
2007215 Mar 2007 (-0.24%), 11 May 2007 (1.49%)
2006214 Jun 2006 (8.69%), 19 Jul 2006 (1.82%)
2005124 Mar 2005 (2.32%)
2004117 May 2004 (8.28%)
2003206 Mar 2003 (-1.88%), 22 Mar 2003 (-1.5%)
2002329 Jul 2002 (-1.49%), 29 Aug 2002 (-0.5%), 19 Sep 2002 (4.42%)
2001513 Mar 2001 (6.81%), 25 Jun 2001 (1.48%), 20 Jul 2001 (3.1%), 06 Aug 2001 (-1.89%), 11 Sep 2001 (-1.79%)
2000721 Mar 2000 (4.83%), 30 Jun 2000 (2.5%), 26 Jul 2000 (2.17%), 09 Aug 2000 (0.0%), 29 Aug 2000 (-0.82%), 26 Sep 2000 (-0.65%), 12 Oct 2000 (-2.61%)
1999322 Jan 1999 (-2.13%), 08 Feb 1999 (-0.37%), 08 Mar 1999 (7.95%)
1998308 Jun 1998 (4.01%), 22 Jun 1998 (-1.01%), 01 Sep 1998 (-0.24%)
1997504 Sep 1997 (2.27%), 18 Sep 1997 (0.87%), 09 Oct 1997 (-0.48%), 23 Oct 1997 (-2.31%), 13 Nov 1997 (-0.21%)
1996819 Mar 1996 (1.53%), 26 Jun 1996 (1.57%), 15 Jul 1996 (-1.67%), 06 Aug 1996 (1.18%), 21 Aug 1996 (2.07%), 16 Sep 1996 (0.49%), 03 Dec 1996 (-2.56%), 17 Dec 1996 (6.34%)
1995103 May 1995 (1.85%)



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