Study: Buy JINDALSTEL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy JINDALSTEL 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 JINDALSTEL 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
12759954302455.56780630729.38-8607.54-30757.720.911.130.01511.09
212862.5654282651.8510738.0164867.57-11069.3-33795.010.971.040.0033238.2
36082.3654262848.1512178.5269897.23-11091.4-377771.11.020.0015112.64
4-16748.4554262848.1514337.9978435.96-13912-33917.681.030.96-0.0035-310.16
5-9634.8854252946.315960.455209.29-14091.2-48753.911.130.98-0.002-178.42
6-62997.3254243044.4416665.4648901.37-15432.28-50865.031.080.86-0.012-1166.62
7-12750554223240.7419113.6945947.27-17125.21-60287.611.120.77-0.022-2361.21
8-84193.354233142.5919910.9182730.39-17488.52-64263.391.140.84-0.014-1559.14
9-15898154233142.5919033.5264650.35-19250.06-72452.310.990.73-0.025-2944.09
10-14307454262848.1516748.9660138.69-20662.4-66953.740.810.75-0.023-2649.52

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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
nilnil-112759954302455.56780630729.38-8607.54-30757.720.911.130.01511.09
atrnil38.86-22635.9596227422.9246317.63117994-14076-35376.213.290.98-0.0018-235.79
atrnil25.97-15368898296929.5928831.2978662.6-14344.86-35376.212.010.84-0.015-1568.24
atrtrail23.29-227283114357930.719305.878662.6-11430.21-35376.211.690.75-0.023-1993.71
atrtrail-14.21-320419114357930.716644.7762129.51-11430.21-35376.211.460.65-0.036-2810.7
atrtrail33.75-323691114357930.716551.3162129.51-11430.21-35376.211.450.64-0.037-2839.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 55.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.26%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JINDALSTEL Performance, X=1, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020309 Mar 2020 (-3.28%), 24 Mar 2020 (1.99%), 22 Sep 2020 (3.47%)
2019329 Jan 2019 (0.15%), 05 Aug 2019 (1.82%), 22 Aug 2019 (5.16%)
2018108 Oct 2018 (0.2%)
2016214 Jan 2016 (-11.36%), 02 Feb 2016 (-7.74%)
2015628 May 2015 (1.27%), 11 Jun 2015 (-1.35%), 25 Jun 2015 (0.28%), 09 Jul 2015 (3.67%), 23 Jul 2015 (-3.99%), 13 Aug 2015 (3.73%)
2014613 Feb 2014 (0.6%), 01 Aug 2014 (2.96%), 26 Aug 2014 (3.08%), 17 Sep 2014 (3.56%), 01 Oct 2014 (-4.51%), 21 Oct 2014 (10.11%)
2013618 Feb 2013 (-0.7%), 04 Mar 2013 (2.81%), 29 Apr 2013 (1.08%), 10 Jun 2013 (-15.38%), 24 Jun 2013 (0.1%), 25 Jul 2013 (-3.36%)
2012204 Jun 2012 (-0.8%), 28 Aug 2012 (0.13%)
2011329 Jul 2011 (-2.56%), 12 Aug 2011 (-2.14%), 04 Oct 2011 (-2.44%)
2010329 Jan 2010 (4.12%), 06 May 2010 (-1.46%), 19 Nov 2010 (1.52%)
2008621 Jan 2008 (-3.57%), 01 Jul 2008 (13.07%), 12 Sep 2008 (-5.37%), 26 Sep 2008 (-4.51%), 14 Oct 2008 (-10.92%), 28 Oct 2008 (15.36%)
2006108 Jun 2006 (6.84%)
2005128 Oct 2005 (3.31%)
2004223 Mar 2004 (-5.75%), 17 May 2004 (10.21%)
2003107 Mar 2003 (-5.21%)
2001514 Mar 2001 (6.25%), 21 Jun 2001 (-3.72%), 06 Jul 2001 (-1.03%), 25 Jul 2001 (4.52%), 12 Sep 2001 (-0.39%)
2000316 May 2000 (1.26%), 10 Aug 2000 (-1.73%), 29 Aug 2000 (4.47%)



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