Study: Buy TATAGLOBAL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TATAGLOBAL 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 TATAGLOBAL 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
1-59606.9964333151.563706.0525623.34-5867.95-25017.550.630.67-0.028-931.36
252768.1764362856.256185.253846.15-6067.82-18309.371.021.310.018824.5
318181164352954.699994.9948541.11-5793.56-33602.241.732.080.0512840.8
420919464392560.9410379.448116.71-7824.09-28130.481.332.070.0543268.66
524706964412364.0612067.5651968.5-10769.62-34309.621.1220.0533860.45
631972264412364.0613921.9869382.63-10916.51-35371.741.282.270.0594995.65
725827264382659.3814431.3454308.41-11158.43-39909.881.291.890.0474035.5
826063264382659.3814859.6460419.64-11693.62-38558.091.271.860.0474072.38
923287164362856.2516213.9464738.24-12529.66-49050.531.291.660.0393638.61
1019901464352954.6915929.0362578.94-12362.12-51400.061.291.560.0333109.6
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TATAGLOBAL Performance, X=6, Profit Factor:2.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Feb 2019 (-0.51%)
2018302 Feb 2018 (3.73%), 15 May 2018 (3.11%), 05 Oct 2018 (12.28%)
2016318 Jan 2016 (2.13%), 11 Feb 2016 (1.95%), 04 Nov 2016 (-7.77%)
2015212 Jun 2015 (5.35%), 24 Aug 2015 (0.3%)
2014228 Jan 2014 (2.95%), 16 Dec 2014 (1.84%)
2013223 Jan 2013 (0.23%), 28 Feb 2013 (7.11%)
2011328 Jan 2011 (-4.06%), 25 May 2011 (6.58%), 05 Oct 2011 (8.38%)
2010225 Nov 2010 (3.77%), 30 Dec 2010 (0.98%)
2009218 Feb 2009 (9.45%), 27 Oct 2009 (3.46%)
2008421 Jan 2008 (19.22%), 08 Oct 2008 (-6.65%), 23 Oct 2008 (-4.48%), 20 Nov 2008 (11.08%)
2007509 Feb 2007 (-2.64%), 27 Feb 2007 (-10.15%), 23 Jul 2007 (1.71%), 06 Aug 2007 (-1.14%), 21 Aug 2007 (9.71%)
2006219 May 2006 (7.05%), 20 Nov 2006 (5.62%)
2005118 Oct 2005 (-2.26%)
2004222 Mar 2004 (7.41%), 14 May 2004 (11.79%)
2003230 Jan 2003 (4.37%), 22 Jul 2003 (4.7%)
2002421 May 2002 (-0.22%), 26 Jul 2002 (0.27%), 29 Aug 2002 (1.96%), 31 Oct 2002 (0.54%)
2001513 Mar 2001 (23.29%), 22 Jun 2001 (-0.18%), 19 Jul 2001 (-7.89%), 08 Aug 2001 (10.18%), 12 Sep 2001 (-11.5%)
2000802 Feb 2000 (34.69%), 04 Apr 2000 (3.91%), 17 Jul 2000 (-17.69%), 31 Jul 2000 (3.6%), 14 Aug 2000 (0.96%), 28 Sep 2000 (-3.45%), 13 Oct 2000 (-1.84%), 27 Oct 2000 (12.19%)
1998308 May 1998 (-1.39%), 28 May 1998 (-13.96%), 11 Jun 1998 (-2.57%)
1997119 Nov 1997 (14.58%)
1996623 Jan 1996 (13.34%), 05 Aug 1996 (-0.2%), 20 Aug 1996 (6.86%), 27 Sep 1996 (-10.61%), 20 Nov 1996 (-9.72%), 04 Dec 1996 (2.77%)
1995123 Jun 1995 (-4.66%)

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
atrnil38.38392490115387733.0427580.4659975.63-8513.86-16601.823.241.60.0383412.96
atrtrail34.47224653128468235.9416492.0759975.63-6511.97-15077.032.531.420.0251755.1
atrnil25.6239842118467238.9818549.8939983.75-8520.19-16601.822.181.390.0292032.56
atrtrail23.76195847128488037.515058.2639983.75-6586.87-15077.032.291.370.0251530.06
atrtrail-15.21102931126448234.9214561.5755421.78-6558.26-15077.032.221.190.012816.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.6. 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 33.04%, which is not acceptable. Avoid this strategy. Average return per trade is 1.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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.
TATAGLOBAL Performance, Profit Factor:1.6

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Feb 2019 (-3.58%), 06 Feb 2019 (-3.72%), 11 Feb 2019 (11.81%)
2018502 Feb 2018 (-4.01%), 05 Feb 2018 (-4.32%), 06 Feb 2018 (-4.64%), 15 May 2018 (12.63%), 05 Oct 2018 (12.8%)
2016618 Jan 2016 (-4.4%), 11 Feb 2016 (-4.9%), 12 Feb 2016 (15.08%), 04 Nov 2016 (-3.9%), 09 Nov 2016 (-4.41%), 15 Nov 2016 (14.25%)
2015312 Jun 2015 (9.66%), 24 Aug 2015 (-4.42%), 25 Aug 2015 (14.0%)
2014328 Jan 2014 (8.71%), 16 Dec 2014 (-2.95%), 17 Dec 2014 (9.49%)
2013423 Jan 2013 (-2.98%), 24 Jan 2013 (9.5%), 30 Jan 2013 (-3.69%), 28 Feb 2013 (12.67%)
2011711 Jan 2011 (-3.7%), 31 Jan 2011 (-3.94%), 03 Feb 2011 (-4.04%), 08 Feb 2011 (-4.11%), 09 Feb 2011 (13.52%), 25 May 2011 (10.95%), 05 Oct 2011 (11.85%)
2010225 Nov 2010 (-4.79%), 30 Dec 2010 (-3.37%)
2009318 Feb 2009 (11.58%), 19 Feb 2009 (15.78%), 27 Oct 2009 (10.25%)
2008721 Jan 2008 (-7.54%), 22 Jan 2008 (29.76%), 08 Oct 2008 (-5.04%), 10 Oct 2008 (-6.05%), 23 Oct 2008 (-5.79%), 27 Oct 2008 (-6.82%), 20 Nov 2008 (21.49%)
20071109 Feb 2007 (-2.43%), 12 Feb 2007 (-2.61%), 23 Feb 2007 (-3.46%), 28 Feb 2007 (-4.06%), 02 Mar 2007 (-4.19%), 05 Mar 2007 (13.76%), 23 Jul 2007 (-3.84%), 01 Aug 2007 (-4.15%), 08 Aug 2007 (-3.96%), 10 Aug 2007 (-4.09%), 17 Aug 2007 (13.09%)
2006319 May 2006 (-6.21%), 22 May 2006 (-8.08%), 20 Nov 2006 (7.27%)
2005318 Oct 2005 (-3.14%), 19 Oct 2005 (-3.39%), 25 Oct 2005 (12.03%)
2004322 Mar 2004 (15.7%), 14 May 2004 (-6.78%), 17 May 2004 (25.0%)
2003230 Jan 2003 (10.0%), 22 Jul 2003 (12.61%)
2002521 May 2002 (-2.58%), 26 Jul 2002 (-4.42%), 02 Aug 2002 (-4.63%), 29 Aug 2002 (8.95%), 31 Oct 2002 (8.58%)
2001813 Mar 2001 (29.99%), 22 Jun 2001 (-4.74%), 19 Jul 2001 (-4.04%), 25 Jul 2001 (-5.74%), 12 Sep 2001 (-4.18%), 13 Sep 2001 (-4.65%), 14 Sep 2001 (-5.02%), 17 Sep 2001 (17.88%)
20001202 Feb 2000 (18.85%), 04 Apr 2000 (-8.3%), 17 Jul 2000 (-3.79%), 18 Jul 2000 (-4.12%), 21 Jul 2000 (-4.38%), 24 Jul 2000 (-5.16%), 27 Jul 2000 (-5.91%), 28 Jul 2000 (-6.54%), 28 Sep 2000 (-4.66%), 10 Oct 2000 (-4.14%), 11 Oct 2000 (-4.68%), 24 Oct 2000 (13.58%)
1998808 May 1998 (-3.18%), 12 May 1998 (-3.42%), 28 May 1998 (-3.36%), 29 May 1998 (-3.49%), 01 Jun 1998 (-4.33%), 05 Jun 1998 (-5.25%), 11 Jun 1998 (-6.0%), 16 Jun 1998 (18.97%)
1997119 Nov 1997 (13.45%)
19961423 Jan 1996 (9.31%), 05 Aug 1996 (-2.86%), 19 Aug 1996 (-2.8%), 27 Sep 1996 (-2.15%), 30 Sep 1996 (-2.48%), 01 Oct 1996 (-2.53%), 04 Oct 1996 (-2.77%), 07 Oct 1996 (-2.89%), 09 Oct 1996 (8.7%), 20 Nov 1996 (-3.15%), 21 Nov 1996 (-3.53%), 22 Nov 1996 (-3.62%), 26 Nov 1996 (-3.71%), 03 Dec 1996 (-3.67%)
1995223 Jun 1995 (-3.44%), 03 Jul 1995 (10.52%)



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