Study: Buy SYNDIBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SYNDIBANK 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 SYNDIBANK 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
1-20961.6155272849.097054.225292.4-7550.9-28815.980.930.9-0.0087-381.12
217346055391670.918214.5130065.36-9181.61-24832.210.892.180.0693153.82
318397655361965.4510503.5840784.31-10218.57-27490.041.031.950.0553345.02
416383055302554.5514617.7646643.52-10988.12-38660.291.331.60.0412978.72
576993.1355302554.5514039.3441830.07-13767.49-43827.751.021.220.0181399.88
687165.155292652.7314859.6838954.25-13221.76-42105.261.121.250.0211584.82
797474.5155322358.1814148.3151241.83-15446.59-42296.650.921.270.0211772.26
814747355312456.3615901.7653333.33-14395.08-45358.851.11.430.032681.32
993599.925533226014847.3853856.21-18016.53-47234.040.821.240.0181701.82
1010690655282750.9117281.3260392.16-13961.87-53588.521.241.280.021943.75
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
SYNDIBANK Performance, X=2, Profit Factor:2.18

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Feb 2019 (0.0%), 16 May 2019 (7.69%)
2018705 Feb 2018 (-3.25%), 09 Mar 2018 (6.26%), 15 May 2018 (-10.76%), 27 Jun 2018 (-0.12%), 16 Jul 2018 (2.91%), 27 Sep 2018 (-1.25%), 10 Dec 2018 (9.39%)
2017203 Aug 2017 (2.95%), 21 Aug 2017 (2.54%)
2016512 Jan 2016 (-2.82%), 29 Jan 2016 (-7.43%), 12 Feb 2016 (-0.96%), 04 Nov 2016 (2.13%), 23 Dec 2016 (-1.22%)
2015509 Feb 2015 (6.34%), 26 Mar 2015 (1.34%), 28 Jul 2015 (2.33%), 26 Aug 2015 (0.84%), 10 Sep 2015 (4.54%)
2014230 Jan 2014 (4.09%), 13 Aug 2014 (6.1%)
2013526 Mar 2013 (6.0%), 24 Jun 2013 (-4.04%), 26 Jul 2013 (-8.24%), 12 Aug 2013 (0.65%), 27 Aug 2013 (1.42%)
2012216 May 2012 (1.31%), 27 Jul 2012 (6.4%)
2011410 Jan 2011 (0.62%), 18 Aug 2011 (-6.27%), 16 Dec 2011 (-12.42%), 30 Dec 2011 (7.97%)
2010127 Jan 2010 (3.37%)
2009224 Feb 2009 (-6.51%), 12 Mar 2009 (15.03%)
2008622 Jan 2008 (6.83%), 07 Mar 2008 (1.51%), 02 Jun 2008 (-4.84%), 16 Jun 2008 (7.68%), 30 Jun 2008 (0.49%), 27 Oct 2008 (3.4%)
2006322 May 2006 (11.48%), 07 Jun 2006 (6.04%), 11 Dec 2006 (-3.34%)
2005129 Apr 2005 (0.62%)
2004214 May 2004 (4.14%), 28 Oct 2004 (2.29%)
2002120 May 2002 (0.48%)
2001213 Mar 2001 (3.93%), 17 Sep 2001 (2.45%)
2000313 Mar 2000 (4.52%), 19 Sep 2000 (1.56%), 10 Oct 2000 (0.55%)

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
atrnil310.9227001589286131.4634299.2898322.35-11317.46-24964.623.031.390.033033.88
atrtrail-15.79200498105436240.9517077.04133523-8609.91-24964.621.981.380.0231909.51
atrtrail34.96140825105436240.9515689.2945731.32-8609.91-24964.621.821.260.021341.19
atrtrail24.394855.61105436240.9514620.2365548.23-8609.91-24964.621.71.180.014903.39
atrnil27.0710027991335836.2622817.0665548.23-11253.18-24964.622.031.150.0141101.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 31.46%, which is not acceptable. Avoid this strategy. Average return per trade is 1.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SYNDIBANK Performance, Profit Factor:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019212 Feb 2019 (-4.63%), 18 Feb 2019 (14.28%)
20181305 Feb 2018 (-5.11%), 06 Feb 2018 (-5.54%), 16 Feb 2018 (-5.37%), 19 Feb 2018 (-6.05%), 12 Mar 2018 (16.54%), 15 May 2018 (-3.68%), 16 May 2018 (14.89%), 27 Jun 2018 (-4.96%), 28 Jun 2018 (16.11%), 27 Sep 2018 (-6.19%), 01 Oct 2018 (-6.25%), 08 Oct 2018 (19.47%), 10 Dec 2018 (11.68%)
2017203 Aug 2017 (-3.16%), 10 Aug 2017 (12.26%)
20161112 Jan 2016 (-3.29%), 14 Jan 2016 (-3.5%), 15 Jan 2016 (-4.23%), 29 Jan 2016 (-5.03%), 01 Feb 2016 (-5.5%), 03 Feb 2016 (-5.93%), 10 Feb 2016 (-6.19%), 12 Feb 2016 (19.82%), 04 Nov 2016 (-3.75%), 23 Dec 2016 (-2.9%), 26 Dec 2016 (9.09%)
2015609 Feb 2015 (-4.7%), 26 Mar 2015 (-3.99%), 27 Mar 2015 (12.74%), 28 Jul 2015 (12.68%), 26 Aug 2015 (-6.18%), 04 Sep 2015 (18.15%)
2014230 Jan 2014 (13.72%), 13 Aug 2014 (-5.7%)
20131026 Mar 2013 (13.88%), 24 Jun 2013 (-3.99%), 25 Jun 2013 (-4.14%), 26 Jul 2013 (-5.5%), 29 Jul 2013 (-6.02%), 31 Jul 2013 (-6.06%), 01 Aug 2013 (-6.66%), 02 Aug 2013 (-7.98%), 13 Aug 2013 (-7.66%), 19 Aug 2013 (23.77%)
2012216 May 2012 (14.61%), 27 Jul 2012 (10.46%)
2011910 Jan 2011 (-5.35%), 17 Jan 2011 (16.78%), 18 Aug 2011 (-4.43%), 19 Aug 2011 (14.53%), 16 Dec 2011 (-4.09%), 19 Dec 2011 (-4.58%), 20 Dec 2011 (-5.33%), 23 Dec 2011 (-5.87%), 29 Dec 2011 (17.51%)
2010227 Jan 2010 (-3.82%), 05 Feb 2010 (13.33%)
2009424 Feb 2009 (-5.39%), 26 Feb 2009 (-6.16%), 02 Mar 2009 (-7.76%), 12 Mar 2009 (22.87%)
20081022 Jan 2008 (-11.52%), 12 Mar 2008 (-7.85%), 17 Mar 2008 (-8.08%), 02 Jun 2008 (-4.35%), 04 Jun 2008 (-4.66%), 09 Jun 2008 (-5.11%), 23 Jun 2008 (-5.18%), 25 Jun 2008 (-5.68%), 01 Jul 2008 (19.63%), 27 Oct 2008 (24.98%)
2006522 May 2006 (-10.42%), 07 Jun 2006 (-11.17%), 08 Jun 2006 (-11.99%), 11 Dec 2006 (-3.67%), 12 Dec 2006 (15.01%)
2005129 Apr 2005 (14.67%)
2004214 May 2004 (-12.48%), 17 May 2004 (49.16%)
2002120 May 2002 (17.59%)
2001213 Mar 2001 (-5.87%), 17 Sep 2001 (-6.51%)
2000513 Mar 2000 (-7.75%), 19 Sep 2000 (-2.0%), 10 Oct 2000 (-2.33%), 13 Oct 2000 (-2.83%), 17 Oct 2000 (-3.11%)



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