Study: Buy MARICO when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MARICO 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 MARICO 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
1-56875.292381534.785404.1716003.51-6673.91-31394.210.810.43-0.058-2472.84
267835.812315865.226389.7522084.17-3501.3-9730.771.823.420.0882949.38
379827.9223131056.529131.2722891.75-3887.86-12386.562.353.050.0913470.78
439452.3123121152.179001.9418636.63-6233.72-12532.691.441.580.041715.32
557850.623121152.1711213.6326586.62-6973.91-16175.751.611.750.0492515.24
695466.292315865.229408.329321.32-5707.28-18391.051.653.090.0864150.71
782190.172315865.2210084.5424975.02-8634.74-30860.971.172.190.0653573.49
81187792318578.269576.6438761.24-10720.06-36384.560.893.220.0865164.31
983114.042316769.5710198.0127172.83-11436.3-44209.650.892.040.0563613.65
1052819.012314960.879896.4225557.46-9525.66-31823.411.041.620.042296.48
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
MARICO Performance, X=2, Profit Factor:3.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 Feb 2019 (-1.87%)
2018104 Oct 2018 (-1.37%)
2017114 Nov 2017 (2.2%)
2016207 Nov 2016 (1.66%), 26 Dec 2016 (4.66%)
2014110 Mar 2014 (0.66%)
2013124 Jun 2013 (1.31%)
2010109 Dec 2010 (1.0%)
2008421 Jan 2008 (1.37%), 27 Jun 2008 (-1.45%), 11 Jul 2008 (-1.5%), 10 Oct 2008 (-0.29%)
2006107 Jun 2006 (-1.91%)
2004102 Jul 2004 (-0.75%)
2003131 Mar 2003 (4.7%)
1999507 Sep 1999 (0.89%), 22 Sep 1999 (0.22%), 06 Oct 1999 (3.38%), 22 Nov 1999 (11.03%), 14 Dec 1999 (11.04%)
1998229 Jan 1998 (2.8%), 02 Jun 1998 (0.99%)
1997121 Nov 1997 (-4.87%)

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
atrnil310.6823450137152240.5429202.5472101.61-9251.67-18836.533.162.150.0636337.87
atrnil24.6316576638182047.3719280.4448067.74-9064.08-18836.532.131.910.0594362.27
atrtrail34.8313993840172342.517719.6472101.61-7012.85-18836.532.531.870.0453498.45
atrtrail23.551262264018224515964.3848067.74-7324.2-18836.532.181.780.0473155.66
atrtrail-15.2579873.0140172342.514186.3974793.37-7012.85-18836.532.021.50.0281996.83

In the table above, row 1 shows the best exit criterion. Profit factor is 2.15. 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 40.54%, which is not acceptable. Avoid this strategy. Average return per trade is 3.17%, which is very good. Sharpe Ratio is 0.063, which is low, don't trade solely on the basis of this study. 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.
MARICO Performance, Profit Factor:2.15

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Feb 2019 (-2.75%), 15 Feb 2019 (-2.9%), 18 Feb 2019 (9.06%)
2018204 Oct 2018 (-3.8%), 09 Oct 2018 (12.82%)
2017214 Nov 2017 (-2.16%), 15 Nov 2017 (6.87%)
2016307 Nov 2016 (-2.72%), 11 Nov 2016 (-3.84%), 15 Nov 2016 (12.18%)
2014110 Mar 2014 (5.73%)
2013224 Jun 2013 (-3.58%), 25 Jun 2013 (12.41%)
2010109 Dec 2010 (11.84%)
2008721 Jan 2008 (-9.41%), 22 Jan 2008 (33.1%), 27 Jun 2008 (-4.96%), 30 Jun 2008 (-5.5%), 10 Jul 2008 (18.44%), 10 Oct 2008 (-5.28%), 16 Oct 2008 (-5.77%)
2006207 Jun 2006 (-9.42%), 08 Jun 2006 (36.05%)
2004102 Jul 2004 (-3.73%)
2003131 Mar 2003 (10.38%)
1999707 Sep 1999 (-3.79%), 22 Sep 1999 (-3.4%), 28 Sep 1999 (-3.69%), 01 Oct 1999 (-4.29%), 05 Oct 1999 (13.95%), 22 Nov 1999 (-5.36%), 14 Dec 1999 (15.3%)
1998329 Jan 1998 (10.62%), 02 Jun 1998 (-5.84%), 08 Jun 1998 (-6.49%)
1997221 Nov 1997 (-3.09%), 24 Nov 1997 (10.28%)



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