Study: Buy JISLJALEQS when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy JISLJALEQS 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 JISLJALEQS 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
145310.5947252253.197320.8921544.68-6259.62-26107.231.171.330.026964.06
218487847301763.8311598.1926441.54-9592.21-31141.671.212.130.0763933.58
319388247331470.2112445.0745938.2-15486.12-49333.910.81.890.0584125.14
421465247311665.9614377.1646320.48-14440.02-43954.9211.930.0624567.06
529354547321568.0914845.2565478.42-12100.17-33196.721.232.620.0796245.65
631492946291763.0416900.8287992.5-10305.6-29050.281.642.80.0826846.28
727197746271958.719787.44100563-13804.42-37473.141.432.040.0595912.54
832373646271958.722130.2997748.59-14409.59-39564.531.542.180.0667037.73
935749546311567.3919927.9983302.06-17351.55-39936.971.152.370.0777771.62
1039982346281860.8722348.2779924.95-12551.58-29755.181.782.770.098691.81
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
JISLJALEQS Performance, X=6, Profit Factor:2.8

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (-9.47%), 13 Feb 2019 (12.05%), 07 May 2019 (-2.78%)
2018418 May 2018 (4.19%), 26 Jun 2018 (-13.76%), 28 Sep 2018 (3.52%), 10 Dec 2018 (8.77%)
2017223 May 2017 (15.69%), 10 Aug 2017 (4.07%)
2016220 Jan 2016 (13.4%), 12 Feb 2016 (4.17%)
2015230 Apr 2015 (2.89%), 13 Aug 2015 (-0.16%)
2014414 Feb 2014 (0.59%), 13 Aug 2014 (-0.84%), 08 Oct 2014 (3.59%), 16 Dec 2014 (-1.04%)
2013208 Feb 2013 (0.69%), 27 Feb 2013 (8.64%)
2012526 Apr 2012 (-4.74%), 10 May 2012 (1.27%), 24 May 2012 (1.07%), 31 Aug 2012 (-5.62%), 13 Sep 2012 (16.33%)
2011601 Feb 2011 (11.66%), 20 May 2011 (0.24%), 15 Jun 2011 (4.17%), 23 Sep 2011 (-5.63%), 21 Oct 2011 (-0.53%), 14 Dec 2011 (-12.91%)
2010329 Jan 2010 (2.75%), 14 Oct 2010 (2.99%), 18 Nov 2010 (6.96%)
2008619 Mar 2008 (8.73%), 09 Jun 2008 (-2.37%), 23 Jun 2008 (-4.8%), 28 Aug 2008 (7.32%), 06 Oct 2008 (-14.53%), 05 Dec 2008 (23.49%)
2006108 Jun 2006 (-1.44%)
2005120 Oct 2005 (-1.34%)
2004321 Jan 2004 (-5.65%), 23 Mar 2004 (19.24%), 17 May 2004 (44.0%)
2003113 Mar 2003 (8.82%)
2002119 Sep 2002 (3.75%)

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
atrtrail34.9830996784384645.2418866.3267793.03-8846.82-21548.852.131.760.0483690.08
atrtrail-1625690484384645.2417469.9475336.36-8846.82-21548.851.971.630.0413058.38
atrtrail24.0224330284384645.2417111.9951229.62-8846.82-21548.851.931.60.0432896.45
atrnil310.6528619974245032.4337586.8567793.03-12317.7-25883.423.051.460.0383867.56
atrnil27.1822617079314839.2426078.0451229.62-12130.19-25883.422.151.390.0352862.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 45.24%, which is not acceptable. Avoid this strategy. Average return per trade is 1.85%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.048, 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.
JISLJALEQS Performance, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019728 Jan 2019 (0.98%), 04 Feb 2019 (-5.27%), 13 Feb 2019 (18.22%), 07 May 2019 (-4.19%), 13 May 2019 (15.51%), 07 Jun 2019 (-6.91%), 10 Jun 2019 (0.17%)
2018918 May 2018 (-2.99%), 26 Jun 2018 (-3.66%), 27 Jun 2018 (-4.12%), 28 Jun 2018 (-4.96%), 29 Jun 2018 (4.43%), 28 Sep 2018 (-7.7%), 01 Oct 2018 (-4.01%), 08 Oct 2018 (24.91%), 10 Dec 2018 (-4.62%)
2017423 May 2017 (-4.92%), 24 May 2017 (15.44%), 10 Aug 2017 (-4.13%), 11 Aug 2017 (2.3%)
2016320 Jan 2016 (10.29%), 12 Feb 2016 (-5.07%), 17 Feb 2016 (21.55%)
2015330 Apr 2015 (2.56%), 13 Aug 2015 (-0.84%), 24 Aug 2015 (3.87%)
2014614 Feb 2014 (-2.51%), 13 Aug 2014 (-0.41%), 26 Aug 2014 (6.3%), 08 Oct 2014 (-1.65%), 16 Dec 2014 (-5.78%), 17 Dec 2014 (-1.17%)
2013308 Feb 2013 (-5.36%), 12 Feb 2013 (1.53%), 27 Feb 2013 (-1.33%)
2012526 Apr 2012 (0.87%), 07 May 2012 (-0.58%), 23 May 2012 (-0.34%), 31 Aug 2012 (-6.66%), 07 Sep 2012 (21.57%)
20111701 Feb 2011 (24.7%), 20 May 2011 (-3.43%), 24 May 2011 (-3.63%), 25 May 2011 (3.18%), 15 Jun 2011 (-3.64%), 17 Jun 2011 (-3.99%), 20 Jun 2011 (14.01%), 23 Sep 2011 (-4.85%), 26 Sep 2011 (2.21%), 05 Oct 2011 (1.86%), 21 Oct 2011 (-5.4%), 24 Oct 2011 (1.83%), 04 Nov 2011 (2.49%), 14 Dec 2011 (-6.45%), 16 Dec 2011 (-7.2%), 19 Dec 2011 (-7.96%), 20 Dec 2011 (13.83%)
2010429 Jan 2010 (13.97%), 14 Oct 2010 (-3.28%), 15 Oct 2010 (6.33%), 18 Nov 2010 (13.64%)
20081419 Mar 2008 (16.69%), 09 Jun 2008 (-4.53%), 10 Jun 2008 (-2.4%), 13 Jun 2008 (-0.11%), 19 Jun 2008 (-4.85%), 23 Jun 2008 (-6.45%), 25 Jun 2008 (0.87%), 02 Jul 2008 (4.95%), 28 Aug 2008 (1.62%), 06 Oct 2008 (-8.22%), 08 Oct 2008 (-10.77%), 10 Oct 2008 (6.36%), 16 Oct 2008 (-1.88%), 05 Dec 2008 (-8.82%)
2006208 Jun 2006 (-6.34%), 13 Jun 2006 (6.0%)
2005120 Oct 2005 (-1.34%)
2004421 Jan 2004 (-8.71%), 03 Feb 2004 (1.93%), 23 Mar 2004 (25.27%), 17 May 2004 (33.9%)
2003113 Mar 2003 (10.86%)
2002119 Sep 2002 (1.48%)



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