Study: Buy RELIANCE when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy RELIANCE 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 RELIANCE 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
164284.4247281959.575717.4116394.83-5042.26-19979.331.131.670.0391367.75
232211.3447272057.457746.4623295.17-8847.16-45154.920.881.180.012685.35
381194.2147272057.4510285.5738675.96-9825.81-36421.631.051.410.0261727.54
452955.2547252253.1911285.5246070.92-10417.4-35063.741.081.230.0151126.71
566791.1147252253.1911939.5850439.72-10531.74-38442.911.131.290.0181421.09
615872647291861.713275.1462524.82-12569.62-50740.611.061.70.0373377.15
722411047321568.0913200.275517.73-13219.76-47640.3712.130.0514768.3
820647547301763.8314334.5871432.62-13150.73-57664.491.091.920.0454393.09
920376847291861.715423.7373758.87-13528.9-43506.721.141.840.0424335.49
1022915547272057.4517674.7376084.41-12403.12-33883.131.431.920.0494875.64
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
RELIANCE Performance, X=7, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Jul 2019 (-2.42%)
2018105 Oct 2018 (10.96%)
2016220 May 2016 (2.53%), 15 Nov 2016 (0.2%)
2015206 Jan 2015 (3.37%), 24 Aug 2015 (2.41%)
2014225 Sep 2014 (2.67%), 11 Dec 2014 (-0.14%)
2013126 Mar 2013 (0.77%)
2012209 May 2012 (-0.94%), 20 Nov 2012 (3.7%)
2011527 Jan 2011 (-1.45%), 18 May 2011 (4.83%), 17 Jun 2011 (0.27%), 05 Aug 2011 (-4.67%), 26 Aug 2011 (18.49%)
2010311 Aug 2010 (0.55%), 27 Aug 2010 (1.34%), 26 Nov 2010 (7.11%)
2009103 Nov 2009 (15.55%)
2008522 Jan 2008 (5.15%), 09 Jun 2008 (5.75%), 23 Jun 2008 (5.84%), 06 Oct 2008 (-15.21%), 22 Oct 2008 (9.49%)
2007105 Mar 2007 (2.06%)
2004111 May 2004 (-9.6%)
2002321 May 2002 (-0.31%), 08 Aug 2002 (6.76%), 25 Oct 2002 (17.1%)
2001310 Apr 2001 (9.21%), 26 Jul 2001 (6.02%), 13 Sep 2001 (-23.82%)
2000203 Mar 2000 (-18.35%), 16 Oct 2000 (-1.69%)
1998502 Jun 1998 (-2.48%), 16 Jun 1998 (1.59%), 27 Jul 1998 (1.22%), 11 Aug 1998 (-4.83%), 28 Aug 1998 (8.26%)
1997124 Nov 1997 (6.98%)
1996319 Jan 1996 (3.6%), 26 Jun 1996 (-11.83%), 10 Jul 1996 (37.76%)
1995302 May 1995 (5.09%), 24 Oct 1995 (-1.43%), 28 Nov 1995 (4.58%)

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-14.5330059894425244.6816692.8688771.15-7701.97-19165.472.171.750.0363197.85
atrnil37.6630945890325835.5625482.0973336.12-8723.61-19165.472.921.610.0373438.42
atrtrail33.7922458294425244.6814882.9773336.12-7701.97-19165.471.931.560.032389.17
atrnil24.7517932491385341.7616966.4148890.74-8781.12-19165.471.931.390.0281970.6
atrtrail23.1213783294425244.6812817.4848890.74-7701.97-19165.471.661.340.0231466.29

In the table above, row 1 shows the best exit criterion. Profit factor is 1.75. 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 44.68%, which is not acceptable. Avoid this strategy. Average return per trade is 1.6%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.036, 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.
RELIANCE Performance, Profit Factor:1.75

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019330 Jul 2019 (-2.43%), 05 Aug 2019 (-2.74%), 07 Aug 2019 (13.18%)
2018105 Oct 2018 (1.51%)
2016220 May 2016 (2.49%), 15 Nov 2016 (0.34%)
2015206 Jan 2015 (0.57%), 24 Aug 2015 (1.81%)
2014425 Sep 2014 (-0.51%), 11 Dec 2014 (-2.12%), 12 Dec 2014 (-2.28%), 16 Dec 2014 (2.41%)
2013126 Mar 2013 (-1.26%)
2012309 May 2012 (-2.02%), 14 May 2012 (1.53%), 20 Nov 2012 (8.09%)
20111127 Jan 2011 (-2.78%), 28 Jan 2011 (-2.31%), 01 Feb 2011 (2.19%), 18 May 2011 (0.1%), 17 Jun 2011 (-2.37%), 20 Jun 2011 (5.25%), 05 Aug 2011 (-2.58%), 08 Aug 2011 (-2.7%), 09 Aug 2011 (-1.87%), 18 Aug 2011 (0.18%), 26 Aug 2011 (8.32%)
2010511 Aug 2010 (-1.81%), 18 Aug 2010 (0.61%), 27 Aug 2010 (-1.81%), 31 Aug 2010 (10.99%), 26 Nov 2010 (4.27%)
2009103 Nov 2009 (14.44%)
20081022 Jan 2008 (3.32%), 09 Jun 2008 (-0.26%), 23 Jun 2008 (-3.32%), 06 Oct 2008 (-4.64%), 08 Oct 2008 (-6.87%), 10 Oct 2008 (-1.25%), 15 Oct 2008 (-7.41%), 16 Oct 2008 (-8.29%), 23 Oct 2008 (-9.58%), 24 Oct 2008 (30.6%)
2007105 Mar 2007 (2.22%)
2004211 May 2004 (-1.03%), 17 May 2004 (6.42%)
2002421 May 2002 (-3.84%), 23 May 2002 (2.36%), 08 Aug 2002 (5.07%), 25 Oct 2002 (15.24%)
20011110 Apr 2001 (-5.41%), 11 Apr 2001 (-5.78%), 12 Apr 2001 (16.82%), 26 Jul 2001 (7.73%), 13 Sep 2001 (-3.55%), 14 Sep 2001 (-4.49%), 17 Sep 2001 (-4.81%), 18 Sep 2001 (-5.44%), 20 Sep 2001 (-5.91%), 21 Sep 2001 (-4.7%), 25 Sep 2001 (19.56%)
2000803 Mar 2000 (-6.68%), 06 Mar 2000 (-7.6%), 08 Mar 2000 (-8.31%), 13 Mar 2000 (29.41%), 16 Oct 2000 (-3.87%), 17 Oct 2000 (-4.03%), 19 Oct 2000 (-4.15%), 23 Oct 2000 (8.08%)
19981102 Jun 1998 (1.7%), 10 Jun 1998 (-3.36%), 16 Jun 1998 (0.79%), 22 Jun 1998 (0.47%), 27 Jul 1998 (1.78%), 11 Aug 1998 (-3.53%), 17 Aug 1998 (-3.51%), 18 Aug 1998 (-3.78%), 19 Aug 1998 (3.32%), 28 Aug 1998 (-4.99%), 01 Sep 1998 (18.86%)
1997124 Nov 1997 (7.34%)
1996819 Jan 1996 (-2.9%), 23 Jan 1996 (-5.15%), 25 Jan 1996 (44.39%), 26 Jun 1996 (-1.72%), 01 Jul 1996 (-3.79%), 03 Jul 1996 (-4.44%), 09 Jul 1996 (-6.34%), 15 Jul 1996 (27.62%)
1995502 May 1995 (3.38%), 24 Oct 1995 (-1.39%), 26 Oct 1995 (-2.53%), 27 Oct 1995 (2.66%), 28 Nov 1995 (13.14%)



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