Study: Buy HDIL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HDIL 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 HDIL 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
1-3200446242252.175559.3517228.46-7519.47-45298.70.740.81-0.022-695.74
2-10331246202643.489123.2723220.97-10991.42-51089.110.830.64-0.052-2245.91
3-11761146212545.6511104.9535580.52-14032.59-48976.90.790.66-0.049-2556.75
4-17900046242252.1710260.1544569.29-19329.24-51617.160.530.58-0.063-3891.3
5-31412246192741.312037.7150187.27-20105.15-66451.230.60.42-0.096-6828.75
6-25461746222447.8312636.2135205.99-22192.22-91656.870.570.52-0.075-5535.15
7-27526246212545.6512895.7731460.67-21842.92-64864.860.590.5-0.087-5983.95
8-20039146222447.8313818.8841198.5-21016.91-42701.30.660.6-0.064-4356.32
9-25339646202643.4812732.4633333.33-19540.2-58460.630.650.5-0.078-5508.61
10-17958846202643.4816349.9863873.37-19484.12-52128.580.840.65-0.05-3904.08

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.81. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, we advise you not to use this strategy.

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
atrtrail24.1794523.3698356335.7124506.3995014.23-12114.29-38236.282.021.120.013964.52
atrnil25.5674117.4587276031.0335556.0995014.23-14764.95-38236.282.411.080.01851.92
atrnil39.234674.7183176620.4859365.66142521-14765.78-38236.284.021.040.0038417.77
atrtrail-15.07-16201.397346335.0521690.52163548-11963.16-38236.281.810.98-0.0021-167.02
atrtrail34.79-71501.2297346335.0520064.05120101-11963.16-38236.281.680.91-0.011-737.13
nilnil-11-3200446242252.175559.3517228.46-7519.47-45298.70.740.81-0.022-695.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.12. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 35.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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.
HDIL Performance, Profit Factor:1.12

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018802 Feb 2018 (-5.72%), 06 Feb 2018 (2.45%), 05 Mar 2018 (-5.12%), 07 Mar 2018 (-5.46%), 08 Mar 2018 (-5.82%), 12 Mar 2018 (12.07%), 19 Mar 2018 (-5.64%), 23 Mar 2018 (2.58%)
2017504 Aug 2017 (-4.38%), 07 Aug 2017 (-5.19%), 08 Aug 2017 (-7.93%), 09 Aug 2017 (18.19%), 27 Sep 2017 (1.11%)
2016429 Sep 2016 (4.2%), 09 Nov 2016 (-1.64%), 15 Nov 2016 (-6.81%), 21 Nov 2016 (13.71%)
2015612 Jun 2015 (1.59%), 28 Jul 2015 (10.46%), 24 Aug 2015 (-1.74%), 01 Sep 2015 (-2.95%), 07 Sep 2015 (8.3%), 10 Nov 2015 (10.47%)
2014427 Jan 2014 (-0.1%), 11 Dec 2014 (-5.67%), 15 Dec 2014 (-5.81%), 16 Dec 2014 (12.72%)
20131623 Jan 2013 (-5.91%), 24 Jan 2013 (2.15%), 30 Jan 2013 (-6.48%), 08 Feb 2013 (-6.48%), 12 Feb 2013 (-5.1%), 25 Feb 2013 (-6.6%), 27 Feb 2013 (-6.95%), 01 Mar 2013 (16.3%), 20 Mar 2013 (-9.72%), 26 Mar 2013 (19.37%), 31 May 2013 (-7.21%), 10 Jun 2013 (-8.22%), 17 Jun 2013 (-5.26%), 20 Jun 2013 (-7.48%), 24 Jun 2013 (16.36%), 06 Aug 2013 (20.73%)
2012409 May 2012 (-7.54%), 14 May 2012 (-3.81%), 18 May 2012 (2.47%), 30 Aug 2012 (-0.57%)
20112111 Jan 2011 (-1.06%), 17 Jan 2011 (-0.63%), 28 Jan 2011 (-6.23%), 31 Jan 2011 (2.15%), 05 May 2011 (12.18%), 02 Aug 2011 (-4.68%), 04 Aug 2011 (-5.07%), 05 Aug 2011 (-5.51%), 08 Aug 2011 (-6.04%), 09 Aug 2011 (-1.26%), 16 Aug 2011 (-2.64%), 24 Aug 2011 (-0.47%), 15 Nov 2011 (-6.45%), 16 Nov 2011 (-6.87%), 21 Nov 2011 (-6.96%), 23 Nov 2011 (14.77%), 28 Nov 2011 (-7.38%), 30 Nov 2011 (16.88%), 09 Dec 2011 (-8.5%), 19 Dec 2011 (-3.61%), 29 Dec 2011 (14.09%)
20101227 Jan 2010 (10.97%), 04 May 2010 (-4.13%), 05 May 2010 (-4.06%), 07 May 2010 (2.71%), 20 May 2010 (-5.44%), 21 May 2010 (-5.58%), 25 May 2010 (11.45%), 19 Nov 2010 (-4.41%), 23 Nov 2010 (-4.93%), 24 Nov 2010 (-5.47%), 25 Nov 2010 (-6.75%), 26 Nov 2010 (15.4%)
2009205 Mar 2009 (-8.83%), 09 Mar 2009 (18.29%)
20081607 Mar 2008 (1.58%), 17 Mar 2008 (30.49%), 10 Jun 2008 (0.89%), 23 Jun 2008 (-9.64%), 27 Jun 2008 (-10.42%), 30 Jun 2008 (-11.82%), 01 Jul 2008 (4.13%), 03 Jul 2008 (10.08%), 16 Sep 2008 (-10.17%), 18 Sep 2008 (-3.19%), 26 Sep 2008 (-10.79%), 29 Sep 2008 (-10.9%), 06 Oct 2008 (-15.32%), 08 Oct 2008 (-19.12%), 10 Oct 2008 (47.51%), 21 Nov 2008 (40.03%)



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