Study: Buy TITAN when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TITAN 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 TITAN 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
172439.954361866.676878.3820000-9732.32-27529.510.711.410.0271341.48
243057.8254292553.78807.2842000-8494.13-22052.591.041.20.014797.37
3-8290.8954292553.79182.7129469.55-10983.58-38077.630.840.97-0.0024-153.53
411899.0254262848.1511057.8249000-9843.01-33679.831.121.040.0031220.35
549982.4954282651.8512111.5747750-11120.82-46049.91.091.170.012925.6
616569.1854302455.5612353.5143822.39-14751.5-49376.30.841.050.0035306.84
790835.8354302455.5614931.7863750-14879.9-45114.3511.250.0181682.14
812729454342062.9614567.4351250-18399.91-41090.910.791.350.0252357.3
911344554342062.9614337.549000-18701.48-56909.090.771.30.0212100.84
1012926754342062.9614609.2659267.22-18372.41-54545.450.81.350.0232393.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.41. 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 66.67%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1172439.954361866.676878.3820000-9732.32-27529.510.711.410.0271341.48
atrnil26.6311979491355638.4622985.8342876.42-12226.96-25141.221.881.170.0151316.42
atrnil39.7412813188266229.5533713.1458456.6-12071.15-25141.222.791.170.0131456.03
atrtrail-15.156624.0298386038.7814695.26121300-9196.6-23668.831.61.010.0007167.59
atrtrail24.07-20774.898386038.7813974.2442876.42-9196.6-23668.831.520.96-0.003-211.99
atrtrail34.65-76890.9698386038.7812497.4958456.6-9196.6-23668.831.360.86-0.011-784.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 66.67%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, X=1, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Jul 2019 (0.2%), 31 Jul 2019 (0.09%)
2018306 Feb 2018 (0.13%), 05 Jun 2018 (4.11%), 24 Sep 2018 (0.73%)
2016209 Nov 2016 (0.16%), 24 Nov 2016 (2.8%)
2015208 May 2015 (3.97%), 31 Jul 2015 (-1.98%)
2013326 Feb 2013 (2.02%), 14 Mar 2013 (5.67%), 11 Jun 2013 (-13.76%)
2011319 Aug 2011 (3.12%), 22 Nov 2011 (2.69%), 14 Dec 2011 (-2.33%)
2009104 Mar 2009 (0.98%)
2008221 Jan 2008 (-11.57%), 06 Oct 2008 (0.83%)
2006119 May 2006 (-12.05%)
2005120 Oct 2005 (6.77%)
2004206 Feb 2004 (0.51%), 17 May 2004 (4.11%)
2003327 Jan 2003 (7.19%), 07 Mar 2003 (-0.18%), 31 Mar 2003 (2.37%)
2002321 May 2002 (8.45%), 25 Sep 2002 (2.52%), 25 Oct 2002 (-0.48%)
2001708 Mar 2001 (-6.93%), 22 Mar 2001 (-2.25%), 02 Aug 2001 (2.48%), 17 Aug 2001 (-0.86%), 03 Sep 2001 (0.0%), 17 Sep 2001 (6.18%), 03 Oct 2001 (0.54%)
2000607 Feb 2000 (3.6%), 02 Mar 2000 (-7.07%), 25 Apr 2000 (7.42%), 10 May 2000 (-3.28%), 31 Jul 2000 (-5.09%), 14 Aug 2000 (3.42%)
1999115 Apr 1999 (8.06%)
1998511 Feb 1998 (-7.45%), 26 Feb 1998 (10.0%), 08 Jun 1998 (3.44%), 22 Jun 1998 (-4.8%), 12 Aug 1998 (2.68%)
1997111 Mar 1997 (-0.49%)
1996428 May 1996 (5.12%), 27 Sep 1996 (0.44%), 20 Nov 1996 (-7.0%), 04 Dec 1996 (4.07%)
1995227 Apr 1995 (2.4%), 14 Nov 1995 (4.54%)



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