Study: Buy PVR when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy PVR 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 PVR 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
151725.8235231265.715423.5818574.39-6084.7-16382.250.891.710.0561477.88
221482.5735161945.719123.7319757.47-6552.48-25255.971.391.170.017613.79
330063.0735181751.4310808.622899.04-9675.99-32627.991.121.180.019858.94
45941.1835161945.7112478.328426.4-10195.35-32406.091.221.030.0033169.75
564798.7335181751.4314669.537337.85-11720.73-28160.481.251.330.0321851.39
666646.3835191654.2916149.1838054.36-15011.75-46174.681.081.280.0271904.18
710532635181751.4320001.543719.6-14982.39-58361.541.341.410.0383009.33
887704.3835201557.1419656.4651273.25-20361.66-54301.080.971.290.0282505.84
912095335201557.1419723.3251273.25-18234.22-47401.431.081.440.0413455.8
101021773521146019502.0352417.74-21954.66-48882.870.891.330.0332919.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.71. 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 65.71%, which is good. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. 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-1151725.8235231265.715423.5818574.39-6084.7-16382.250.891.710.0561477.88
atrtrail24.215248669274239.1322282.5767311.07-10693.89-30605.652.081.340.0312209.94
atrtrail35.314350669264337.6823019.46100967-10581.39-30605.652.181.320.0272079.8
atrnil26.81327476024364024619.6867311.07-12725.7-30605.651.931.290.0292212.45
atrtrail-16.3211924969254436.2323068.4121215-10396.83-30605.652.221.260.0221728.25
atrnil312.8987408.8353173632.083320599875.41-13252.11-31562.872.511.180.0181649.22

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 65.71%, which is good. Average return per trade is 0.74%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study. 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.
PVR Performance, X=1, Profit Factor:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019312 Feb 2019 (1.46%), 31 Jul 2019 (-1.73%), 16 Aug 2019 (4.26%)
2018405 Mar 2018 (1.36%), 21 Mar 2018 (0.09%), 13 Jul 2018 (-4.71%), 27 Jul 2018 (1.16%)
2017306 Jun 2017 (0.56%), 27 Jul 2017 (0.73%), 27 Sep 2017 (1.71%)
2016225 Feb 2016 (4.49%), 26 Dec 2016 (2.77%)
2015221 Apr 2015 (0.56%), 10 Dec 2015 (5.12%)
2014203 Feb 2014 (8.64%), 21 Mar 2014 (0.38%)
2011301 Feb 2011 (-2.31%), 21 Feb 2011 (-1.57%), 08 Mar 2011 (0.46%)
2010217 May 2010 (3.11%), 19 Nov 2010 (2.99%)
2009204 Mar 2009 (-4.37%), 13 Jul 2009 (5.19%)
2008618 Mar 2008 (1.29%), 04 Jun 2008 (9.29%), 29 Sep 2008 (0.03%), 15 Oct 2008 (-5.15%), 29 Oct 2008 (5.53%), 26 Nov 2008 (-8.19%)
2007412 Feb 2007 (-0.61%), 27 Feb 2007 (-0.63%), 13 Mar 2007 (-1.36%), 21 Aug 2007 (1.17%)
2006219 May 2006 (-2.07%), 02 Jun 2006 (-3.8%)



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