Study: Buy TORNTPHARM when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TORNTPHARM 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 TORNTPHARM 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
1-37964.3148252352.083705.5118546.37-5678.35-27074.520.650.71-0.024-790.92
248003.36482424507169.9533285.89-5169.81-245001.391.390.0231000.07
311517148282058.338374.0429702.16-5965.12-21979.481.41.970.0492399.39
423323048321666.679375.3732760.32-4173.87-11516.752.254.490.114858.96
523398748331568.7510320.8850870.47-7106.82-15220.061.453.190.0814874.72
627747148282058.3315233.2165878.98-7452.96-18362.272.042.860.0745780.64
730565948282058.3316108.662441.82-7269.07-22773.922.223.10.0826367.9
830241048331568.7513561.6644396.71-9674.99-27010.921.43.080.0886300.21
928980848321666.6713241.2443932.73-8369.49-18146.871.583.160.0946037.66
1024554048282058.3314725.5741914.62-8338.78-20078.741.772.470.0765115.42
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
TORNTPHARM Performance, X=4, Profit Factor:4.49

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019213 May 2019 (-0.06%), 27 May 2019 (3.56%)
2018121 Mar 2018 (1.7%)
2017205 May 2017 (1.95%), 25 May 2017 (1.08%)
2016315 Jan 2016 (1.14%), 27 Oct 2016 (-5.76%), 11 Nov 2016 (0.42%)
2015130 Nov 2015 (4.49%)
2012126 Jun 2012 (3.62%)
2011403 Mar 2011 (2.04%), 24 Aug 2011 (1.65%), 26 Sep 2011 (-2.96%), 19 Dec 2011 (2.41%)
2008521 Jan 2008 (2.44%), 18 Mar 2008 (-0.45%), 09 Jun 2008 (10.81%), 06 Oct 2008 (-1.36%), 24 Oct 2008 (10.4%)
2007201 Aug 2007 (-0.23%), 21 Sep 2007 (1.57%)
2006408 Mar 2006 (-0.25%), 23 Mar 2006 (6.08%), 13 Jun 2006 (2.1%), 19 Jul 2006 (3.34%)
2005224 Jan 2005 (4.3%), 11 Mar 2005 (0.32%)
2004221 Jan 2004 (4.13%), 22 Mar 2004 (0.78%)
2003310 Mar 2003 (-3.47%), 25 Mar 2003 (-5.53%), 29 Oct 2003 (16.0%)
2002220 May 2002 (-0.42%), 19 Sep 2002 (4.79%)
2000222 Feb 2000 (16.38%), 09 Mar 2000 (6.79%)
1997423 May 1997 (-5.51%), 09 Jun 1997 (3.43%), 15 Sep 1997 (-3.72%), 30 Sep 1997 (-0.47%)
1996625 Jan 1996 (6.17%), 14 Mar 1996 (-0.83%), 09 Jul 1996 (-1.25%), 23 Jul 1996 (-1.11%), 20 Aug 1996 (10.22%), 07 Oct 1996 (10.49%)
1995227 Apr 1995 (2.14%), 05 Jul 1995 (3.26%)

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
atrnil39.4929298568224632.3533896.8762280.82-9842.31-22348.533.441.650.0414308.6
atrtrail24.7319284874324243.2416080.2740457.95-7660.02-19949.022.11.60.0392606.05
atrnil26.4920973770294141.4321427.6341520.55-10040.59-22348.532.131.510.0372996.24
atrtrail-16.1414029272294340.2816230.4152357.79-7683.48-19949.022.111.420.0271948.5
atrtrail35.6913469172294340.2816037.2646800.52-7683.48-19949.022.091.410.0271870.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.65. 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 32.35%, which is not acceptable. Avoid this strategy. Average return per trade is 2.15%, which is very good. Sharpe Ratio is 0.041, 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.
TORNTPHARM Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 May 2019 (-2.78%), 21 May 2019 (-3.22%), 22 May 2019 (-3.36%), 27 May 2019 (-3.32%)
2018121 Mar 2018 (9.38%)
2017205 May 2017 (-3.36%), 25 May 2017 (-3.19%)
2016715 Jan 2016 (-3.38%), 27 Oct 2016 (-3.6%), 01 Nov 2016 (-3.47%), 03 Nov 2016 (-3.64%), 04 Nov 2016 (-3.82%), 11 Nov 2016 (-4.38%), 15 Nov 2016 (14.05%)
2015130 Nov 2015 (-3.11%)
2012126 Jun 2012 (7.85%)
2011603 Mar 2011 (12.42%), 24 Aug 2011 (-3.57%), 26 Sep 2011 (-3.21%), 29 Sep 2011 (-3.18%), 03 Oct 2011 (10.31%), 19 Dec 2011 (11.02%)
2008821 Jan 2008 (-8.12%), 22 Jan 2008 (31.14%), 18 Mar 2008 (20.97%), 09 Jun 2008 (14.85%), 06 Oct 2008 (-8.64%), 08 Oct 2008 (-9.87%), 10 Oct 2008 (-10.56%), 27 Oct 2008 (30.78%)
2007201 Aug 2007 (-6.94%), 21 Sep 2007 (-6.05%)
2006308 Mar 2006 (17.2%), 13 Jun 2006 (-9.37%), 19 Jul 2006 (21.32%)
2005224 Jan 2005 (-6.08%), 11 Mar 2005 (-5.22%)
2004221 Jan 2004 (16.88%), 22 Mar 2004 (19.19%)
2003410 Mar 2003 (-4.06%), 17 Mar 2003 (-3.96%), 28 Mar 2003 (-4.21%), 29 Oct 2003 (19.47%)
2002320 May 2002 (-5.68%), 21 May 2002 (-6.2%), 19 Sep 2002 (-3.51%)
2000222 Feb 2000 (30.34%), 09 Mar 2000 (-11.17%)
1997923 May 1997 (-2.67%), 26 May 1997 (-2.77%), 29 May 1997 (-2.67%), 03 Jun 1997 (-2.9%), 10 Jun 1997 (-2.84%), 11 Jun 1997 (8.83%), 15 Sep 1997 (-4.26%), 16 Sep 1997 (-4.66%), 23 Sep 1997 (13.59%)
1996825 Jan 1996 (15.65%), 14 Mar 1996 (-5.68%), 15 Mar 1996 (-6.11%), 18 Mar 1996 (23.4%), 09 Jul 1996 (-7.44%), 25 Jul 1996 (-6.04%), 20 Aug 1996 (-6.01%), 07 Oct 1996 (14.82%)
1995327 Apr 1995 (-4.08%), 02 May 1995 (-4.0%), 05 Jul 1995 (9.39%)



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