Study: Buy KAJARIACER when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy KAJARIACER 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 KAJARIACER 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
1-89233.5157243342.113556.589836.07-5290.65-16568.740.670.49-0.057-1565.5
2-14413057223538.65610.0318058.58-7644.31-28599.220.730.46-0.061-2528.6
3-10069657243342.118652.1827076.41-9343.88-31322.960.930.67-0.031-1766.59
4-85003.8557263145.619847.7343853.82-11001.45-44163.420.90.75-0.021-1491.3
5-10924757243342.1110845.0634028.03-11197.84-42622.950.970.7-0.026-1916.62
6-10476657253243.8611341.9641362.13-12134.83-48249.030.930.73-0.024-1837.99
7-24720.5157273047.3711216.6450332.23-10918.99-33657.591.030.92-0.0059-433.69
818094.8357273047.3713025.0739975.62-11119.4-29578.751.171.050.0042317.45
938293.8257273047.371438284415.58-11667.34-34685.61.231.110.0076671.82
1085051.5457243342.1117672.43100866-10275.36-29614.61.721.250.0161492.13
Although, strategy looks good but profit factor on day 2 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
atrnil314.6898596.6781225927.1633793.3378445.97-10929.77-1046163.091.150.011217.24
atrnil211.3884700.6881295235.822461.3152297.31-10897.64-1046162.061.150.0111045.69
atrtrail-15.77-101062108317728.717921.9385013.13-8527.82-24753.172.10.85-0.012-935.76
atrtrail35.1-123563108317728.717196.0879496.76-8527.82-24753.172.020.81-0.015-1144.1
atrtrail24.61-128900109347531.1915244.952997.84-8629.69-24753.171.770.8-0.018-1182.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.15. 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 27.16%, which is not acceptable. Avoid this strategy. Average return per trade is 0.61%, 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. 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.
KAJARIACER Performance, Profit Factor:1.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019223 Jul 2019 (-3.84%), 24 Jul 2019 (-4.67%)
20181830 Jan 2018 (-2.66%), 31 Jan 2018 (-3.21%), 02 Feb 2018 (-3.43%), 06 Feb 2018 (-3.73%), 28 Feb 2018 (-3.03%), 06 Mar 2018 (-3.0%), 08 Mar 2018 (-3.19%), 04 May 2018 (-2.67%), 28 Jun 2018 (-3.24%), 03 Jul 2018 (-3.12%), 13 Jul 2018 (-3.11%), 16 Jul 2018 (-3.42%), 19 Jul 2018 (-3.5%), 20 Jul 2018 (11.4%), 16 Aug 2018 (10.39%), 27 Sep 2018 (-5.26%), 04 Oct 2018 (-5.92%), 08 Oct 2018 (-6.34%)
2016621 Oct 2016 (-4.2%), 26 Oct 2016 (-4.21%), 09 Nov 2016 (-5.03%), 11 Nov 2016 (-5.8%), 15 Nov 2016 (-6.65%), 21 Dec 2016 (13.91%)
2015324 Aug 2015 (-3.67%), 25 Aug 2015 (-4.0%), 26 Aug 2015 (12.34%)
2014215 Dec 2014 (-2.51%), 17 Dec 2014 (8.88%)
2013521 Jan 2013 (-5.09%), 27 Feb 2013 (-3.46%), 14 Mar 2013 (-3.46%), 22 Mar 2013 (11.98%), 28 Aug 2013 (14.71%)
2012130 Aug 2012 (10.23%)
2011609 Feb 2011 (13.28%), 15 Nov 2011 (-3.42%), 16 Nov 2011 (-3.97%), 18 Nov 2011 (-4.87%), 21 Nov 2011 (-5.21%), 23 Nov 2011 (16.74%)
2009116 Feb 2009 (-5.98%)
2008307 Oct 2008 (-9.58%), 08 Oct 2008 (-10.19%), 10 Oct 2008 (35.17%)
2007105 Nov 2007 (22.25%)
2005119 Oct 2005 (-52.31%)
2004117 Jun 2004 (18.68%)
2002124 Sep 2002 (-10.63%)
2001223 Feb 2001 (-8.05%), 24 Apr 2001 (19.6%)
2000523 Mar 2000 (30.44%), 25 Apr 2000 (-11.61%), 02 May 2000 (39.22%), 24 Jul 2000 (-5.18%), 26 Jul 2000 (18.14%)
1999121 Jan 1999 (13.06%)
1998503 Feb 1998 (-5.87%), 04 Feb 1998 (-6.64%), 05 Feb 1998 (-7.81%), 06 Feb 1998 (-8.67%), 11 Feb 1998 (28.77%)
19971127 May 1997 (-2.67%), 04 Jun 1997 (-3.1%), 06 Jun 1997 (-3.04%), 11 Jun 1997 (-3.37%), 12 Jun 1997 (10.84%), 18 Sep 1997 (-2.89%), 19 Sep 1997 (-3.25%), 24 Sep 1997 (-3.57%), 28 Oct 1997 (-3.53%), 17 Nov 1997 (-4.95%), 19 Nov 1997 (-5.3%)
1996427 Sep 1996 (-1.63%), 30 Sep 1996 (-1.71%), 08 Oct 1996 (6.11%), 05 Dec 1996 (5.59%)
1995215 Jun 1995 (-3.92%), 16 Jun 1995 (-4.08%)



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