Study: Buy RAYMOND when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy RAYMOND 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 RAYMOND 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
112131.1985424349.415057.4222231.45-4657.69-23497.511.091.060.0041142.72
2-54551.385374843.537671.5227557.53-7049.95-39266.391.090.84-0.013-641.78
3-13280885364942.359446.6534571.89-9650.77-79553.720.980.72-0.022-1562.45
4-14241285394645.889774.4325906.89-11382.92-73490.180.860.73-0.023-1675.43
5-98718.3385394645.8811093.432457.04-11551.32-67135.580.960.81-0.015-1161.39
6-12132485384744.7112192.4545838.08-12439.09-73781.230.980.79-0.017-1427.35
7-20459885384744.7111769.7243207.66-13869.08-71840.890.850.69-0.027-2407.03
8-21789085394645.8813072.4546558.95-15819.92-73490.180.830.7-0.027-2563.42
9-11338585414448.2413492.9545610.03-15149.92-72374.480.890.83-0.014-1333.94
10-14557285434250.5913885.9842873.43-17682.6-71840.890.790.8-0.017-1712.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. 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 49.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.071%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, 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.

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-1112131.1985424349.415057.4222231.45-4657.69-23497.511.091.060.0041142.72
atrnil25.01-29480.481665011630.1222064.5258778.23-9764.71-26294.072.260.97-0.0023-177.59
atrtrail23.67-50974.781835113227.8718987.0758778.23-7722.09-24306.382.460.95-0.004-278.55
atrnil38.18-85147.361583512322.1532508.6288167.34-9942.68-26294.073.270.93-0.0057-538.91
atrtrail34.43-1094011814913227.0718060.4856635.18-7533.06-24306.382.40.89-0.0088-604.42
atrtrail-14.77-2489471794713226.2615808.9350247.08-7514.9-24306.382.10.75-0.022-1390.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 49.41%, which is not acceptable. Avoid this strategy. Average return per trade is 0.071%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RAYMOND Performance, X=1, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019328 Jan 2019 (2.24%), 19 Jul 2019 (0.21%), 21 Aug 2019 (-3.2%)
2018406 Feb 2018 (3.75%), 27 Jun 2018 (-1.86%), 16 Jul 2018 (1.27%), 25 Sep 2018 (0.87%)
2016415 Jan 2016 (-1.94%), 12 Feb 2016 (11.12%), 10 Aug 2016 (-0.73%), 16 Nov 2016 (1.76%)
2015324 Mar 2015 (-2.04%), 24 Aug 2015 (-1.0%), 07 Sep 2015 (1.14%)
2013722 Jan 2013 (-1.08%), 05 Feb 2013 (-0.04%), 22 Feb 2013 (0.16%), 14 Mar 2013 (-3.23%), 04 Apr 2013 (-2.99%), 24 Jun 2013 (2.79%), 26 Jul 2013 (-1.82%)
2012216 May 2012 (-0.21%), 26 Jul 2012 (-0.24%)
2011304 Feb 2011 (0.39%), 19 Aug 2011 (6.23%), 28 Dec 2011 (-0.05%)
2010407 May 2010 (3.97%), 21 May 2010 (0.54%), 09 Jun 2010 (0.67%), 29 Nov 2010 (0.73%)
2009218 Feb 2009 (-2.02%), 05 Mar 2009 (-2.21%)
2008922 Jan 2008 (6.17%), 17 Mar 2008 (-1.95%), 13 May 2008 (-1.19%), 27 Jun 2008 (6.37%), 09 Sep 2008 (-0.89%), 23 Sep 2008 (0.41%), 08 Oct 2008 (-11.75%), 23 Oct 2008 (-11.29%), 12 Nov 2008 (-2.3%)
2007808 Feb 2007 (-3.25%), 23 Feb 2007 (1.03%), 01 Jun 2007 (-0.67%), 15 Jun 2007 (1.88%), 19 Jul 2007 (-0.29%), 02 Aug 2007 (0.64%), 17 Aug 2007 (0.82%), 31 Aug 2007 (1.8%)
2006306 Jun 2006 (-6.61%), 21 Jul 2006 (1.29%), 19 Dec 2006 (-1.43%)
2004222 Jan 2004 (1.25%), 22 Mar 2004 (-0.23%)
2003205 Feb 2003 (-1.09%), 25 Feb 2003 (-2.44%)
2001420 Mar 2001 (-0.08%), 18 Jun 2001 (0.53%), 02 Jul 2001 (1.46%), 12 Sep 2001 (0.51%)
2000124 Jul 2000 (-0.23%)
1998516 Jun 1998 (9.49%), 03 Jul 1998 (0.81%), 24 Jul 1998 (-6.73%), 02 Sep 1998 (-0.93%), 06 Oct 1998 (4.45%)
1997824 Feb 1997 (0.54%), 01 Apr 1997 (4.96%), 12 May 1997 (-3.52%), 26 May 1997 (-0.94%), 10 Jun 1997 (2.92%), 28 Aug 1997 (1.26%), 28 Oct 1997 (7.01%), 18 Nov 1997 (5.95%)
19961030 Apr 1996 (1.31%), 14 May 1996 (-0.87%), 22 Aug 1996 (0.55%), 05 Sep 1996 (-0.23%), 19 Sep 1996 (-0.06%), 04 Oct 1996 (-5.0%), 18 Oct 1996 (4.54%), 05 Nov 1996 (-1.57%), 19 Nov 1996 (-4.96%), 03 Dec 1996 (-4.97%)
1995122 Nov 1995 (0.41%)



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