Study: Buy HINDUNILVR when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy HINDUNILVR 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 HINDUNILVR 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
129023.1848282058.334401.1616693.25-4710.46-9589.040.931.310.02604.65
241807.24482424506584.7625093.04-4842.79-12079.081.361.360.023870.98
375044.5348252352.088245.6727703.83-5699.88-20295.271.451.570.0351563.43
481771.2648272156.258282.1929367.72-6754.67-20968.041.231.580.0361703.57
590795.81482424509027.2430282.86-5244.08-20033.641.721.720.0381891.58
686100.4948291960.427926.535690.52-7566.73-23883.71.051.60.0331793.76
796080.2548252352.0810966.1732687.45-7742.34-24755.971.421.540.0322001.67
898120.4648252352.0811515.8347851.73-8251.1-22845.281.41.520.0312044.18
911130248272156.2511786.9760849.01-9854.6-33520.251.21.540.032318.78
1011185748272156.2511838.852934.57-9894.77-34188.441.21.540.0322330.36
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrnil2409.7848082698188.8960828.08409056-5798.74-5798.7410.4983.920.08653425.1
atrtrail24.4349650.6476364047.379323.731357.48-7150.06-35053.461.31.170.013653.3
atrtrail35.33-9630.4376354146.058040.6430941.24-7098.85-35053.461.130.97-0.0025-126.72
atrtrail-15.83-28915.0576354146.057489.6530236.96-7098.85-35053.461.060.9-0.008-380.46
atrnil3856.268254155010013650861358400000.12136508

In the table above, row 1 shows the best exit criterion. Profit factor is 83.92. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. Strategy is very good and impressively bullish. Percentage of profitable trades is 88.89%, which is excellent. Average return per trade is 26.71%, which is very good. Sharpe Ratio is 0.086, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDUNILVR Performance, Profit Factor:83.9

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016222 Jan 2016 (5.18%), 11 Nov 2016 (4.72%)
2015208 Sep 2015 (-2.9%), 10 Sep 2015 (5.89%)
2000105 Jul 2000 (204.53%)
1999222 Oct 1999 (6.89%), 30 Dec 1999 (7.27%)
1996107 Oct 1996 (4.13%)
1995122 Nov 1995 (4.69%)



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