Study: Buy RELINFRA when RSI is oversold

home > technical-strategy > relinfra > 59

In this study, we evaluate the performance of strategy "Buy RELINFRA 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 RELINFRA 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
1-38778.5969303943.487802.0540549.56-6995.9-52716.171.120.86-0.0096-562.01
2-84569.1469303943.489287.7132142.19-9312.83-49116.6110.77-0.018-1225.64
3-52269.7969353450.729319.0145990.54-11130.44-47703.180.840.86-0.01-757.53
4-25965.3669323746.3811895.754452.26-10989.94-48645.471.080.94-0.0048-376.31
5-52914.2569373253.6210798.3456338.71-14139.15-52061.250.760.88-0.0089-766.87
6-85381.5769323746.3813299.3442023.54-13809.74-60659.60.960.83-0.014-1237.41
7-28909.8769343549.2815074.4660234.15-15469.76-80155.340.970.95-0.004-418.98
8-10594269323746.3816414.9859265.24-17060.03-1140580.960.83-0.012-1535.39
9-12713969333647.8315221.7464513.52-17484.9-1082330.870.8-0.015-1842.59
10-10871869313844.9317172.8862140.3-16870.45-1102911.020.83-0.013-1575.62
Although, strategy looks good but profit factor on day 2 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
atrtrail23.972487.92145559037.9316956.3378837.85-9556.78-35802.581.771.080.0059499.92
atrtrail-15.1329852.99142538937.3216744.59139677-9636.07-35802.581.741.030.0022210.23
atrnil39.5226027.58130349626.1535757.4107176-12392.96-40979.662.891.020.0017200.21
atrtrail34.61934.92143548937.7615918.96107176-9648.19-35802.581.6517.7e-056.54
atrnil25.79-41096.14134429231.3425867.5778837.85-12255.81-40979.662.110.96-0.003-306.69

In the table above, row 1 shows the best exit criterion. Profit factor is 1.08. 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 37.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.25%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0059, 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.
RELINFRA Performance, Profit Factor:1.08

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191328 Jan 2019 (-0.52%), 04 Feb 2019 (-6.8%), 06 Feb 2019 (-13.47%), 07 Feb 2019 (14.48%), 30 Apr 2019 (-5.19%), 07 May 2019 (-0.9%), 06 Jun 2019 (-9.38%), 07 Jun 2019 (-11.36%), 10 Jun 2019 (-12.47%), 17 Jun 2019 (-13.95%), 18 Jun 2019 (-17.9%), 19 Jun 2019 (39.42%), 25 Jun 2019 (-0.38%)
2018602 Feb 2018 (-5.37%), 06 Feb 2018 (1.2%), 21 Sep 2018 (-7.37%), 25 Sep 2018 (-6.8%), 28 Sep 2018 (-7.6%), 08 Oct 2018 (16.26%)
2017324 May 2017 (-1.05%), 29 May 2017 (10.19%), 15 Nov 2017 (9.36%)
2016404 Nov 2016 (-2.0%), 09 Nov 2016 (0.56%), 15 Nov 2016 (-5.01%), 22 Nov 2016 (1.31%)
2015309 Feb 2015 (10.15%), 03 Jun 2015 (-4.37%), 24 Aug 2015 (12.85%)
2014829 Jan 2014 (-1.0%), 25 Sep 2014 (-4.53%), 30 Sep 2014 (-3.25%), 07 Oct 2014 (-1.33%), 16 Oct 2014 (9.7%), 15 Dec 2014 (-4.16%), 16 Dec 2014 (-4.55%), 17 Dec 2014 (3.68%)
2013628 Feb 2013 (-0.72%), 19 Mar 2013 (-4.03%), 20 Mar 2013 (-4.91%), 21 Mar 2013 (-3.16%), 26 Mar 2013 (11.47%), 04 Apr 2013 (-1.6%)
2012402 Jan 2012 (9.87%), 14 May 2012 (-3.48%), 17 May 2012 (3.19%), 30 Aug 2012 (7.7%)
20111118 Jan 2011 (0.22%), 09 Feb 2011 (15.67%), 09 May 2011 (-1.57%), 18 May 2011 (-2.58%), 23 May 2011 (1.76%), 09 Aug 2011 (0.23%), 16 Aug 2011 (-5.25%), 18 Aug 2011 (1.2%), 26 Aug 2011 (12.23%), 30 Sep 2011 (11.77%), 16 Dec 2011 (0.85%)
20101122 Feb 2010 (-3.37%), 25 Feb 2010 (6.57%), 16 Aug 2010 (-0.74%), 25 Aug 2010 (-3.07%), 27 Aug 2010 (6.25%), 19 Nov 2010 (-3.1%), 25 Nov 2010 (-3.46%), 26 Nov 2010 (-4.0%), 29 Nov 2010 (1.94%), 03 Dec 2010 (-4.3%), 09 Dec 2010 (2.33%)
2009230 Oct 2009 (-5.21%), 03 Nov 2009 (11.54%)
20081522 Jan 2008 (7.52%), 07 Mar 2008 (-11.46%), 10 Mar 2008 (-5.47%), 13 Mar 2008 (-3.65%), 03 Jun 2008 (-6.67%), 09 Jun 2008 (-0.8%), 23 Jun 2008 (-2.84%), 30 Jun 2008 (-9.79%), 01 Jul 2008 (0.13%), 03 Jul 2008 (6.78%), 06 Oct 2008 (-8.02%), 08 Oct 2008 (-10.19%), 10 Oct 2008 (27.34%), 17 Oct 2008 (-11.72%), 24 Oct 2008 (35.73%)
2007202 Mar 2007 (-3.99%), 05 Mar 2007 (0.01%)
2006718 May 2006 (-5.42%), 19 May 2006 (-6.37%), 22 May 2006 (-7.13%), 31 May 2006 (-7.62%), 01 Jun 2006 (-8.86%), 07 Jun 2006 (-10.06%), 08 Jun 2006 (21.77%)
2005318 Apr 2005 (-1.43%), 28 Apr 2005 (1.14%), 18 Oct 2005 (-1.59%)
2004914 May 2004 (-6.25%), 17 May 2004 (23.97%), 20 May 2004 (-0.61%), 24 Nov 2004 (-2.74%), 25 Nov 2004 (-3.33%), 29 Nov 2004 (1.25%), 08 Dec 2004 (-3.51%), 10 Dec 2004 (-4.05%), 13 Dec 2004 (-3.21%)
2003110 Mar 2003 (0.04%)
2002324 Jul 2002 (-3.17%), 26 Jul 2002 (7.44%), 31 Oct 2002 (1.08%)
2001813 Mar 2001 (5.51%), 30 Aug 2001 (-2.8%), 04 Sep 2001 (5.71%), 07 Sep 2001 (6.79%), 11 Sep 2001 (-3.73%), 12 Sep 2001 (-2.82%), 17 Sep 2001 (-2.37%), 19 Sep 2001 (1.1%)
2000419 Oct 2000 (-3.9%), 20 Oct 2000 (-4.53%), 23 Oct 2000 (-4.82%), 25 Oct 2000 (9.88%)
1998412 Jun 1998 (-5.76%), 15 Jun 1998 (-6.36%), 16 Jun 1998 (2.64%), 22 Jun 1998 (15.05%)
19971114 Aug 1997 (-2.34%), 22 Aug 1997 (-2.88%), 25 Aug 1997 (-2.98%), 28 Aug 1997 (-3.41%), 01 Sep 1997 (-3.58%), 02 Sep 1997 (8.04%), 28 Oct 1997 (8.72%), 13 Nov 1997 (-0.43%), 18 Nov 1997 (-4.58%), 20 Nov 1997 (-3.23%), 24 Nov 1997 (9.76%)
1996323 Jan 1996 (6.47%), 03 Oct 1996 (-3.62%), 07 Oct 1996 (-1.81%)
1995427 Apr 1995 (-4.17%), 28 Apr 1995 (-4.7%), 02 May 1995 (10.05%), 21 Nov 1995 (8.43%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play