Study: Buy RCOM when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy RCOM 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 RCOM 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
1-74887.6154233142.595206.919664.47-6278.91-27046.260.830.62-0.049-1386.81
2-25981.2954292553.76724.6221251.48-8839.81-34875.440.760.88-0.013-481.14
3-30129.1954302455.568925.7325120.77-12412.54-56227.760.720.9-0.011-557.95
4-14116.6654302455.5611167.6138647.34-14547.71-35215.950.770.96-0.0047-261.42
5-62156.7454243044.4414662.0372463.77-13801.51-60465.121.060.85-0.017-1151.05
6-62073.4654262848.1516094.8772463.77-17162.15-65793.780.940.87-0.015-1149.51
7-22315754233142.5916407.2672463.77-19371.75-69067.10.850.63-0.049-4132.54
8-16412654223240.7418814.0766666.67-18063.6-69721.771.040.72-0.036-3039.36
9-14942054193535.1923636.7167632.85-17100.5-64157.121.380.75-0.032-2767.04
10-83813.7154213338.8925663.0474396.14-18870.83-64811.781.360.87-0.017-1552.11
Although, strategy looks good but profit factor on day 1 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
atrtrail-15.07-68383.67107327529.9121646.65162038-10147.69-34335.342.130.91-0.008-639.1
atrnil38.15-14226395217422.1138457.983142.56-12836.21-34335.3430.85-0.019-1497.51
atrtrail24.02-145283107327529.9119243.5455428.37-10147.69-34335.341.90.81-0.024-1357.79
atrtrail34.43-156990107327529.9118877.6983142.56-10147.69-34335.341.860.79-0.024-1467.2
atrnil26.26-23710696257126.0426926.8255428.37-12820.79-34335.342.10.74-0.037-2469.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 29.91%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:0.91

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20181124 Apr 2018 (-8.18%), 26 Apr 2018 (-8.71%), 30 Apr 2018 (-5.21%), 04 May 2018 (-8.18%), 10 May 2018 (-9.62%), 15 May 2018 (-11.05%), 16 May 2018 (38.09%), 21 Sep 2018 (-10.18%), 24 Sep 2018 (-5.96%), 05 Oct 2018 (-6.04%), 25 Oct 2018 (27.83%)
20171313 Jan 2017 (-0.38%), 04 May 2017 (-0.76%), 19 May 2017 (-3.63%), 23 May 2017 (-4.34%), 24 May 2017 (-4.98%), 29 May 2017 (-8.05%), 31 May 2017 (-4.16%), 08 Jun 2017 (10.94%), 03 Oct 2017 (-6.0%), 11 Oct 2017 (2.73%), 10 Nov 2017 (-6.96%), 13 Nov 2017 (-8.65%), 15 Nov 2017 (26.54%)
20161021 Jan 2016 (-6.61%), 28 Jan 2016 (-6.79%), 03 Feb 2016 (-4.42%), 11 Feb 2016 (-7.53%), 17 Feb 2016 (2.58%), 24 May 2016 (-0.12%), 29 Sep 2016 (8.81%), 15 Nov 2016 (-4.5%), 21 Nov 2016 (-4.76%), 22 Nov 2016 (2.9%)
2015609 Jan 2015 (2.72%), 06 Feb 2015 (-4.58%), 09 Feb 2015 (6.25%), 27 Mar 2015 (19.6%), 24 Aug 2015 (-7.57%), 25 Aug 2015 (11.3%)
20141208 May 2014 (6.17%), 10 Jul 2014 (2.57%), 27 Aug 2014 (-0.87%), 04 Sep 2014 (-4.04%), 05 Sep 2014 (-1.74%), 16 Sep 2014 (-3.95%), 17 Sep 2014 (-1.74%), 24 Sep 2014 (-4.2%), 25 Sep 2014 (-0.72%), 15 Dec 2014 (-5.17%), 17 Dec 2014 (-2.13%), 23 Dec 2014 (0.59%)
2013221 Mar 2013 (-6.77%), 26 Mar 2013 (81.02%)
2012609 May 2012 (-5.4%), 17 May 2012 (-1.06%), 26 Jul 2012 (-4.54%), 27 Jul 2012 (2.7%), 28 Aug 2012 (-4.51%), 29 Aug 2012 (0.51%)
20111201 Feb 2011 (-4.78%), 08 Feb 2011 (-5.11%), 09 Feb 2011 (-5.13%), 11 Feb 2011 (-2.71%), 18 Feb 2011 (-3.3%), 25 Feb 2011 (22.95%), 05 May 2011 (-1.66%), 18 May 2011 (-4.33%), 20 May 2011 (-4.49%), 24 May 2011 (8.86%), 17 Aug 2011 (1.58%), 20 Dec 2011 (10.9%)
20101506 May 2010 (-2.83%), 07 May 2010 (-2.5%), 11 May 2010 (-3.51%), 17 May 2010 (-1.34%), 19 May 2010 (3.5%), 31 Aug 2010 (2.28%), 16 Nov 2010 (-3.75%), 18 Nov 2010 (-4.41%), 19 Nov 2010 (-3.7%), 24 Nov 2010 (-4.6%), 25 Nov 2010 (-4.98%), 26 Nov 2010 (-5.34%), 30 Nov 2010 (2.21%), 08 Dec 2010 (-5.15%), 09 Dec 2010 (16.4%)
2009614 Oct 2009 (-3.63%), 27 Oct 2009 (-6.74%), 29 Oct 2009 (-7.25%), 30 Oct 2009 (-6.28%), 11 Nov 2009 (-1.89%), 26 Nov 2009 (5.53%)
20081421 Jan 2008 (-6.69%), 22 Jan 2008 (7.12%), 04 Mar 2008 (1.27%), 20 Jun 2008 (-5.06%), 24 Jun 2008 (1.59%), 30 Jun 2008 (-6.54%), 01 Jul 2008 (-2.57%), 03 Jul 2008 (3.33%), 29 Sep 2008 (-6.04%), 06 Oct 2008 (-8.43%), 08 Oct 2008 (-9.13%), 10 Oct 2008 (5.01%), 15 Oct 2008 (-4.76%), 24 Oct 2008 (-17.17%)



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