Study: Buy SHREECEM when RSI is oversold

home > technical-strategy > shreecem > 59

In this study, we evaluate the performance of strategy "Buy SHREECEM 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 SHREECEM 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
1-75692.2751183335.295266.4511008.42-5166.32-32055.751.020.56-0.043-1484.16
2-37874.4551193237.258852.2520215.05-6439.6-21761.661.370.82-0.017-742.64
358791.1651232845.110886.1434838.71-6842.5-14705.881.591.310.0221152.77
4-94161.9151222943.148992.3220215.05-10068.72-27390.720.890.68-0.033-1846.31
5-12711951222943.149724.7824902.98-11760.84-32200.020.830.63-0.04-2492.53
6-12421351232845.111368.4627320.95-13774.56-34213.890.830.68-0.033-2435.55
7-15855451193237.2514267.8931386.37-13426.36-35593.221.060.63-0.04-3108.89
8-94133.2351213041.1815804.5740140.45-14200.98-40677.971.110.78-0.021-1845.75
9-5271151232845.117242.0952949.44-16045.68-42372.881.070.88-0.01-1033.55
10-46710.4951242747.0618229.6858455.06-17934.18-42372.881.020.9-0.0088-915.89
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
atrnil37.84-1555989519762035643.1466204.57-10958.12-22473.223.250.81-0.017-1637.87
atrnil25.46-17645497257225.7724007.5144946.43-10786.69-22284.452.230.77-0.023-1819.12
atrtrail24.09-182970103317230.115235.944781.48-9101.15-21881.491.670.72-0.028-1776.41
atrtrail34.6-206969102307229.4114898.0567172.23-9082.09-21881.491.640.68-0.029-2029.11
atrtrail-14.92-239294102307229.4113820.5485345.23-9082.09-21881.491.520.63-0.034-2346.02

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 20%, which is not acceptable. Avoid this strategy. Average return per trade is -0.82%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SHREECEM Performance, Profit Factor:0.813

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Aug 2019 (-3.26%), 22 Aug 2019 (-3.24%), 03 Sep 2019 (10.6%)
2018405 Feb 2018 (-3.16%), 06 Feb 2018 (-3.58%), 11 Oct 2018 (-4.62%), 23 Oct 2018 (-4.93%)
2017127 Jun 2017 (9.31%)
2016315 Jan 2016 (13.75%), 15 Nov 2016 (-6.3%), 17 Nov 2016 (20.22%)
2013506 Aug 2013 (-3.52%), 07 Aug 2013 (-3.84%), 08 Aug 2013 (-4.03%), 22 Aug 2013 (-4.02%), 28 Aug 2013 (12.1%)
2012418 May 2012 (-3.16%), 30 May 2012 (-2.75%), 31 May 2012 (-3.1%), 04 Jun 2012 (10.42%)
20111012 Jan 2011 (-3.68%), 17 Jan 2011 (-3.62%), 27 Jan 2011 (-3.17%), 28 Jan 2011 (-3.47%), 02 Feb 2011 (-3.79%), 09 Feb 2011 (13.83%), 13 Jun 2011 (-2.96%), 20 Jun 2011 (-2.77%), 27 Jun 2011 (9.05%), 12 Sep 2011 (10.75%)
20082318 Jan 2008 (-6.29%), 21 Jan 2008 (-7.23%), 22 Jan 2008 (-8.92%), 10 Mar 2008 (-6.29%), 17 Mar 2008 (-7.34%), 08 May 2008 (-6.66%), 15 May 2008 (-6.02%), 27 May 2008 (-5.08%), 30 May 2008 (-5.4%), 02 Jun 2008 (-5.84%), 09 Jun 2008 (-5.57%), 12 Jun 2008 (-5.53%), 25 Jun 2008 (-6.78%), 27 Jun 2008 (-6.98%), 01 Jul 2008 (-8.57%), 02 Jul 2008 (27.74%), 30 Sep 2008 (-5.92%), 07 Oct 2008 (-6.04%), 08 Oct 2008 (-6.21%), 16 Oct 2008 (-8.81%), 24 Oct 2008 (-10.94%), 27 Oct 2008 (-11.14%), 01 Dec 2008 (33.1%)
20071014 Feb 2007 (-4.25%), 23 Feb 2007 (-4.52%), 28 Feb 2007 (-5.28%), 01 Mar 2007 (-5.75%), 05 Mar 2007 (-5.88%), 07 Mar 2007 (-6.37%), 08 Mar 2007 (-6.62%), 09 Mar 2007 (-7.71%), 13 Mar 2007 (-8.62%), 04 Apr 2007 (21.23%)
2006207 Jun 2006 (-7.31%), 13 Jun 2006 (25.2%)
2003124 Mar 2003 (30.81%)
2001214 Sep 2001 (-7.18%), 17 Sep 2001 (28.67%)
2000113 Mar 2000 (-11.24%)
19971117 Mar 1997 (-6.6%), 12 Sep 1997 (-4.49%), 23 Sep 1997 (-3.86%), 29 Sep 1997 (-3.59%), 30 Sep 1997 (-3.83%), 01 Oct 1997 (-4.26%), 09 Oct 1997 (-4.94%), 27 Oct 1997 (-4.65%), 28 Oct 1997 (-5.02%), 06 Nov 1997 (-5.7%), 13 Nov 1997 (17.01%)
19961119 Jan 1996 (-3.21%), 23 Jan 1996 (12.05%), 01 Jul 1996 (-4.84%), 03 Jul 1996 (-5.12%), 05 Jul 1996 (-5.66%), 09 Jul 1996 (-6.02%), 16 Jul 1996 (-7.0%), 30 Jul 1996 (19.51%), 23 Sep 1996 (-6.68%), 27 Sep 1996 (-6.79%), 03 Oct 1996 (-7.4%)
1995402 May 1995 (13.26%), 17 Oct 1995 (-3.25%), 23 Oct 1995 (-3.61%), 24 Oct 1995 (-4.6%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play