Study: Buy KOTAKBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy KOTAKBANK 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 KOTAKBANK 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
127897.2453312258.496200.439656.77-7468.87-42084.270.831.170.01526.36
23530.353302356.68913.6732003.71-11473.03-41977.930.781.010.00166.61
323658.7153262749.0612851.6326494.02-11499.4-55364.241.121.080.0057446.39
497187.0453262749.0616581.0550630.81-12367.41-36959.061.341.290.021833.72
520078053262749.0618353.253784.86-10237.17-34619.881.791.730.0433788.29
623781953272650.9419311.9980987.94-10907.87-36292.71.771.840.0464487.15
719853853282552.8318522.1287076.39-12803.24-28653.811.451.620.0383746.01
823226953282552.8320256.8999023.55-13396.97-26839.831.511.690.0414382.43
922150453282552.8319534.3899023.55-13018.34-35765.771.51.680.0394179.32
1022981553282552.8319779.5390178.06-12960.49-45033.291.531.710.044336.13
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
atrnil38.1233588485275831.7639574.28104345-12631.41-35347.763.131.460.033951.57
atrtrail-15.823629698356335.7123971.1388496.79-9566.56-33597.272.511.390.0232411.18
atrtrail24.1713734810038623819410.4869563.09-9681.45-33597.2721.230.0161373.48
atrnil25.7296716.5989325735.9625655.3869563.09-12706.24-35347.762.021.130.0111086.7
atrtrail34.7670816.0398356335.7119243.13104345-9566.56-33597.272.011.120.008722.61

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 31.76%, which is not acceptable. Avoid this strategy. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
KOTAKBANK Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018324 Sep 2018 (-2.67%), 03 Oct 2018 (-3.79%), 04 Oct 2018 (11.62%)
2017104 Jan 2017 (5.49%)
2015126 Aug 2015 (-3.65%)
2014227 Jan 2014 (-2.85%), 13 Feb 2014 (8.33%)
2012125 Jul 2012 (8.19%)
2011510 Jan 2011 (-3.72%), 14 Jan 2011 (-4.47%), 28 Jan 2011 (-4.37%), 04 Feb 2011 (-4.84%), 08 Feb 2011 (15.66%)
2009323 Jan 2009 (-11.15%), 05 Mar 2009 (23.48%), 03 Nov 2009 (14.26%)
20081321 Jan 2008 (-10.18%), 08 Feb 2008 (-11.36%), 03 Mar 2008 (-9.04%), 04 Mar 2008 (-9.85%), 07 Mar 2008 (-10.76%), 18 Mar 2008 (35.56%), 25 Jun 2008 (-7.96%), 30 Jun 2008 (-8.77%), 03 Jul 2008 (30.15%), 07 Oct 2008 (-10.84%), 23 Oct 2008 (-12.03%), 24 Oct 2008 (-16.8%), 27 Oct 2008 (52.17%)
2006108 Jun 2006 (37.82%)
2005319 Apr 2005 (19.42%), 25 Aug 2005 (-17.67%), 19 Oct 2005 (18.73%)
2004117 May 2004 (20.09%)
2003110 Mar 2003 (17.52%)
2002620 May 2002 (-9.15%), 21 May 2002 (29.97%), 24 Oct 2002 (-2.76%), 25 Oct 2002 (-3.15%), 28 Oct 2002 (-3.34%), 05 Nov 2002 (-4.38%)
2001520 Jul 2001 (-7.74%), 24 Jul 2001 (-9.19%), 12 Sep 2001 (-3.77%), 14 Sep 2001 (-5.45%), 17 Sep 2001 (22.24%)
1998327 Jan 1998 (-6.18%), 06 Feb 1998 (-6.53%), 09 Feb 1998 (22.47%)
19971416 May 1997 (-4.76%), 19 May 1997 (-5.28%), 20 May 1997 (-5.81%), 22 May 1997 (17.41%), 29 Aug 1997 (-7.1%), 03 Sep 1997 (-7.27%), 24 Oct 1997 (-4.15%), 28 Oct 1997 (-5.13%), 19 Nov 1997 (-4.51%), 21 Nov 1997 (-4.83%), 27 Nov 1997 (-5.06%), 01 Dec 1997 (-5.19%), 10 Dec 1997 (-5.56%), 19 Dec 1997 (14.31%)
19961210 Jan 1996 (-5.66%), 19 Jan 1996 (-4.79%), 24 Jan 1996 (-4.83%), 29 Jan 1996 (14.48%), 01 Jul 1996 (-5.27%), 02 Jul 1996 (-5.69%), 03 Jul 1996 (-5.8%), 16 Jul 1996 (14.11%), 08 Oct 1996 (19.75%), 28 Nov 1996 (-4.93%), 29 Nov 1996 (-5.46%), 04 Dec 1996 (16.05%)
19951003 May 1995 (-4.4%), 03 Jul 1995 (14.32%), 24 Aug 1995 (-4.05%), 05 Sep 1995 (-3.74%), 19 Sep 1995 (-3.27%), 21 Sep 1995 (10.69%), 14 Nov 1995 (-4.43%), 16 Nov 1995 (-5.03%), 17 Nov 1995 (-5.93%), 20 Nov 1995 (19.98%)



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