Study: Buy HCLTECH when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HCLTECH 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 HCLTECH 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
115351.7533191457.586768.5130805.21-8089.28-31979.370.841.140.0094465.2
282185.2133211263.64965329463.87-10043.98-29036.880.961.680.0432490.46
39784233211263.6410517.3227972.03-10251.81-31882.661.031.80.0532964.91
481635.0333191457.5813654.4652027.97-12699.98-29139.571.081.460.0312473.79
519738933211263.6415255.7960885.78-10248.54-21334.321.492.610.075981.49
620509333221166.6716331.273075.55-14017.56-30938.861.172.330.0676214.95
718704133221166.6715345.0479627.64-13686.34-54059.471.122.240.0615667.92
816510333221166.6715135.4374507.7-15261.55-35215.50.991.980.0555003.11
918489033191457.5819126.0180988.18-12750.32-31141.21.52.040.0585602.72
1019881333211263.6418751.9575689.22-16248.13-37944.21.152.020.066024.65
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
HCLTECH Performance, X=5, Profit Factor:2.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Jul 2019 (0.74%)
2018112 Oct 2018 (-0.52%)
2017130 Oct 2017 (1.04%)
2016229 Apr 2016 (-3.69%), 16 May 2016 (2.03%)
2015419 Mar 2015 (0.79%), 06 Apr 2015 (4.72%), 21 Apr 2015 (-2.26%), 06 May 2015 (5.18%)
2011320 Jun 2011 (5.43%), 05 Aug 2011 (-8.05%), 22 Aug 2011 (0.85%)
2010119 Nov 2010 (3.98%)
2009112 Mar 2009 (16.56%)
2008516 Jan 2008 (-10.67%), 15 Jul 2008 (-3.58%), 10 Oct 2008 (-7.2%), 24 Oct 2008 (27.11%), 12 Dec 2008 (30.44%)
2006219 May 2006 (1.35%), 06 Jun 2006 (-10.59%)
2005114 Jan 2005 (4.79%)
2004224 Mar 2004 (4.51%), 30 Dec 2004 (-4.23%)
2003221 Jan 2003 (-3.42%), 23 May 2003 (1.4%)
2002308 Apr 2002 (8.81%), 22 May 2002 (3.7%), 26 Jul 2002 (6.27%)
2001311 Apr 2001 (26.12%), 22 Jun 2001 (-6.71%), 17 Sep 2001 (4.38%)
2000101 Aug 2000 (-0.59%)

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
atrtrail-17.2945674655233241.8233350.89235866-9697.64-35370.393.442.470.0488304.47
atrtrail36.0937731855233241.8229897.5144428-9697.64-35370.393.082.220.056860.33
atrtrail24.2733277655233241.8227960.9196285.39-9697.64-35370.392.882.070.0556050.48
atrnil313.363528085018323645678.59144428-14668.95-35370.393.111.750.0447056.17
atrnil26.322775985021294232415.0996285.39-13900.67-35370.392.331.690.0455551.95

In the table above, row 1 shows the best exit criterion. Profit factor is 2.47. 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 41.82%, which is not acceptable. Avoid this strategy. Average return per trade is 4.15%, which is very good. Sharpe Ratio is 0.048, 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.
HCLTECH Performance, Profit Factor:2.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Jul 2019 (-0.09%)
2018112 Oct 2018 (1.2%)
2017130 Oct 2017 (2.39%)
2016329 Apr 2016 (-2.98%), 03 May 2016 (-1.73%), 11 May 2016 (4.68%)
2015319 Mar 2015 (-6.48%), 20 Apr 2015 (-5.64%), 21 Apr 2015 (8.32%)
2011820 Jun 2011 (6.92%), 05 Aug 2011 (-3.38%), 08 Aug 2011 (-3.97%), 09 Aug 2011 (-2.17%), 12 Aug 2011 (-0.47%), 18 Aug 2011 (-4.66%), 19 Aug 2011 (-3.67%), 25 Aug 2011 (4.95%)
2010119 Nov 2010 (1.51%)
2009112 Mar 2009 (10.84%)
20081016 Jan 2008 (-5.21%), 21 Jan 2008 (-5.85%), 22 Jan 2008 (-0.21%), 15 Jul 2008 (-6.46%), 18 Jul 2008 (-1.75%), 10 Oct 2008 (-11.39%), 16 Oct 2008 (5.67%), 24 Oct 2008 (-14.61%), 27 Oct 2008 (16.44%), 12 Dec 2008 (18.37%)
2006519 May 2006 (-5.69%), 22 May 2006 (-6.02%), 06 Jun 2006 (-7.64%), 08 Jun 2006 (-1.71%), 13 Jun 2006 (26.12%)
2005306 Jan 2005 (-2.15%), 10 Jan 2005 (-3.08%), 17 Jan 2005 (14.76%)
2004224 Mar 2004 (6.43%), 30 Dec 2004 (1.05%)
2003421 Jan 2003 (-2.0%), 24 Jan 2003 (-5.66%), 27 Jan 2003 (7.93%), 23 May 2003 (20.98%)
2002308 Apr 2002 (5.67%), 22 May 2002 (2.72%), 26 Jul 2002 (-6.7%)
2001711 Apr 2001 (-17.69%), 16 Apr 2001 (44.61%), 22 Jun 2001 (-8.3%), 25 Jun 2001 (-0.24%), 04 Jul 2001 (6.96%), 17 Sep 2001 (-1.24%), 26 Sep 2001 (117.93%)
2000201 Aug 2000 (-6.32%), 07 Aug 2000 (47.08%)



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