Study: Buy HDFC when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HDFC 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 HDFC 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
150263.7542241857.146037.9521547.25-5258.17-14423.341.151.530.0331196.76
285896.8142261661.96680.9820191.5-5488.05-19496.861.221.980.0522045.16
399774.7642251759.528608.7327954.23-6790.79-24187.261.271.860.0452375.59
413185942241857.1410139.0830683.24-6193.29-16863.051.642.180.0613139.49
515598042271564.299467.1128184.44-6642.15-25381.021.432.570.0723713.8
621116042271564.2911928.2529919.57-7393.55-33530.071.612.90.0785027.61
720125942251759.5212499.0733121.41-6542.2-46163.691.912.810.0724791.89
822564742281466.6712226.6647920.34-8335.65-46633.011.472.930.0735372.56
920528042271564.2912384.6148732.29-8606.97-33705.471.442.590.074887.62
1016379142251759.5213719.8549544.24-10541.47-55820.241.31.910.0463899.79

From the table above, we see that best results are achieved by holding positions for 8 trading days. Profit factor is 2.93. 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 66.67%, which is good. Average return per trade is 2.69%, which is very good. Sharpe Ratio is 0.073, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
HDFC Performance, X=8, Profit Factor:2.93

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020206 Mar 2020 (-23.32%), 23 Mar 2020 (-1.39%)
2018124 Sep 2018 (-0.58%)
2017125 Oct 2017 (6.71%)
2016311 Feb 2016 (-1.46%), 17 Oct 2016 (5.88%), 15 Nov 2016 (1.49%)
2015230 Apr 2015 (4.22%), 24 Aug 2015 (0.37%)
2013207 Aug 2013 (2.41%), 28 Aug 2013 (23.96%)
2012116 May 2012 (6.96%)
2011107 Feb 2011 (10.06%)
2010121 Jan 2010 (3.23%)
2008422 Jan 2008 (19.51%), 10 Jun 2008 (3.27%), 01 Jul 2008 (8.67%), 10 Oct 2008 (10.64%)
2005123 Mar 2005 (2.48%)
2004217 Mar 2004 (5.64%), 14 May 2004 (5.29%)
2003312 Mar 2003 (-2.62%), 27 Mar 2003 (0.12%), 21 Apr 2003 (9.27%)
2002402 Jan 2002 (-0.22%), 22 Apr 2002 (5.83%), 29 May 2002 (4.66%), 26 Aug 2002 (2.62%)
2000126 Sep 2000 (0.92%)
1999115 Apr 1999 (-10.66%)
1998308 Jun 1998 (-2.53%), 25 Sep 1998 (-2.5%), 20 Oct 1998 (-2.18%)
1997215 Sep 1997 (-1.67%), 13 Nov 1997 (3.5%)
1996515 Jul 1996 (-6.39%), 29 Jul 1996 (11.92%), 17 Sep 1996 (2.76%), 04 Oct 1996 (-1.42%), 28 Nov 1996 (3.59%)
1995202 May 1995 (5.21%), 10 Nov 1995 (-1.4%)

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-1822564742281466.6712226.6647920.34-8335.65-46633.011.472.930.0735372.56
atrnil23.5825735576344244.7416479.0638314.24-7212.69-15418.862.281.850.0523386.25
atrtrail22.6218874978344443.5912999.4537272.04-5755.28-14526.592.261.750.0442419.86
atrtrail-14.1213647478344443.5911461.9444298.73-5755.28-14526.591.991.540.031749.66
atrtrail33.513442678344443.5911401.7240782.01-5755.28-14526.591.981.530.0311723.41
atrnil37.9519156473235031.5124704.4157471.37-7532.75-16263.143.281.510.0322624.16

In the table above, row 1 shows the best exit criterion. Profit factor is 2.93. 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 66.67%, which is good. Average return per trade is 2.69%, which is very good. Sharpe Ratio is 0.073, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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