Study: Buy HDFCBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HDFCBANK 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 HDFCBANK 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
116624446311567.397255.7151634.8-3912.18-14705.881.853.830.0763614
219072746311567.398233.952385.21-4301.55-14417.181.913.960.0814146.25
325391546321469.579394.253278.54-3335.64-12269.942.826.440.15519.9
422744346301665.2210119.7258924.42-4759.26-15505.672.133.990.0814944.42
531325346351176.0910569.8963641.24-5153.95-13803.682.056.530.116809.84
627310746301665.2211965.3263927.1-5365.77-14417.182.234.180.0975937.12
731093346311567.3913285.277470.36-6727.23-16564.421.974.080.0826759.41
834598046311567.3914374.2872727.27-6641.48-19631.92.164.470.097521.31
940273846331371.7415712.8193280.63-8906.49-20552.151.764.480.0928755.18
1042478046281860.8720015.1891304.35-7535.83-21201.412.664.130.0969234.35

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 6.53. Strategy is very good and impressively bullish. Percentage of profitable trades is 76.09%, which is excellent. Average return per trade is 3.4%, which is very good.
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.
HDFCBANK Performance, X=5, Profit Factor:6.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019223 Jul 2019 (-0.5%), 06 Aug 2019 (1.84%)
2018111 Sep 2018 (-1.95%)
2016311 Feb 2016 (1.45%), 25 Feb 2016 (7.77%), 23 Nov 2016 (1.25%)
2015307 May 2015 (4.18%), 24 Aug 2015 (0.82%), 07 Sep 2015 (3.58%)
2014103 Feb 2014 (2.78%)
2013228 Feb 2013 (2.63%), 24 Jun 2013 (6.94%)
2012123 May 2012 (2.76%)
2011123 Nov 2011 (3.85%)
2008422 Jan 2008 (7.78%), 07 Mar 2008 (2.59%), 10 Jun 2008 (7.18%), 27 Jun 2008 (-2.08%)
2007126 Feb 2007 (-2.49%)
2006108 Jun 2006 (0.73%)
2005224 Mar 2005 (6.18%), 28 Oct 2005 (4.43%)
2004222 Mar 2004 (11.57%), 17 May 2004 (31.82%)
2002327 Jun 2002 (5.23%), 18 Oct 2002 (-1.89%), 01 Nov 2002 (3.19%)
2001215 Jun 2001 (2.17%), 14 Sep 2001 (4.39%)
2000306 Apr 2000 (20.2%), 18 Sep 2000 (6.9%), 23 Nov 2000 (1.98%)
1998410 Feb 1998 (4.02%), 02 Jun 1998 (1.54%), 16 Jun 1998 (-0.59%), 20 Oct 1998 (1.46%)
1997122 Aug 1997 (4.97%)
1996409 Jan 1996 (-3.18%), 23 Jan 1996 (2.37%), 20 Aug 1996 (7.46%), 08 Oct 1996 (3.67%)
1995512 Sep 1995 (-3.4%), 26 Sep 1995 (3.29%), 18 Oct 1995 (-5.03%), 10 Nov 1995 (-6.9%), 27 Nov 1995 (-0.33%)

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-1531325346351176.0910569.8963641.24-5153.95-13803.682.056.530.116809.84
atrtrail23.7127356869333647.8313592.338815.65-4860.5-12467.682.82.560.0723964.75
atrtrail34.5423258969333647.8312350.5146204.07-4860.5-12467.682.542.330.0573370.85
atrtrail-15.0421739469333647.8311890.0771512.47-4860.5-12467.682.452.240.0483150.64
atrnil24.5622718164293545.3116068.0638815.65-6822.66-12909.012.361.950.0573549.7
atrnil37.5524978164234135.9423529.1458223.48-7107.07-13890.193.311.860.0493902.82

In the table above, row 1 shows the best exit criterion. Profit factor is 6.53. Strategy is very good and impressively bullish. Percentage of profitable trades is 76.09%, which is excellent. Average return per trade is 3.4%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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