Study: Buy IGL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy IGL 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 IGL 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
199226.842314960.879182.3257719.16-3258.41-6484.642.824.380.0824314.21
254755.3723131056.529629.8644220.33-7043.28-17482.951.371.780.0422380.67
358084.6823131056.5211267.6745226.13-8839.5-33776.251.271.660.042525.42
477720.132317673.918445.5240536.01-10975.63-20086.790.772.180.0633379.14
51231982316769.5711821.544221.11-9420.84-23489.071.252.870.0925356.44
61317442318578.2612624.4544723.62-19099.2-47406.770.662.380.0825728.01
71969332319482.6114232.9544891.12-18373.17-40291.470.773.680.138562.32
82200172319482.6114956.0341708.54-16036.89-34290.610.934.430.159565.96
92455322318578.2616850.5150064.65-11555.38-27175.311.465.250.1610675.31
102181562318578.2615839.8745461.6-13392.42-21345.911.184.260.159485.03

From the table above, we see that best results are achieved by holding positions for 9 trading days. Profit factor is 5.25. Strategy is very good and impressively bullish. Percentage of profitable trades is 78.26%, which is excellent. Average return per trade is 5.34%, 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.
IGL Performance, X=9, Profit Factor:5.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018402 Feb 2018 (2.04%), 07 May 2018 (-0.17%), 24 May 2018 (3.93%), 05 Oct 2018 (11.68%)
2014127 Jan 2014 (9.49%)
2013124 Jun 2013 (5.31%)
2012516 Jan 2012 (6.61%), 10 Apr 2012 (-4.89%), 24 Apr 2012 (2.02%), 08 May 2012 (-1.95%), 31 May 2012 (25.03%)
2011325 Feb 2011 (5.45%), 17 Oct 2011 (5.23%), 13 Dec 2011 (5.39%)
2008322 Jan 2008 (21.7%), 10 Jun 2008 (4.81%), 01 Jul 2008 (6.89%)
2007226 Feb 2007 (-8.29%), 16 Apr 2007 (4.45%)
2006105 Jun 2006 (-13.59%)
2004318 Mar 2004 (2.79%), 17 May 2004 (14.15%), 22 Jun 2004 (14.68%)

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-192455322318578.2616850.5150064.65-11555.38-27175.311.465.250.1610675.31
atrtrail3517591536152141.6721575.8967564.43-7034.47-18189.373.072.190.0694886.52
atrnil315.120289730131743.3331228.0567564.43-11945.15-20730.042.6120.0716763.24
atrnil26.5817429831161551.6121803.2345042.95-11636.93-20730.041.8720.0765622.51
atrtrail24.2214028936152141.6719200.8645042.95-7034.47-18189.372.731.950.0613896.92
atrtrail-15.6412836636152141.6718405.9647496.65-7034.47-18189.372.621.870.0563565.71

In the table above, row 1 shows the best exit criterion. Profit factor is 5.25. Strategy is very good and impressively bullish. Percentage of profitable trades is 78.26%, which is excellent. Average return per trade is 5.34%, 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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