Study: Buy UNIONBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy UNIONBANK 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 UNIONBANK 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
111311853282552.838292.8744505.49-4763.31-14976.231.741.950.0532134.29
210521553292454.728691.9140476.19-6118.76-195761.421.720.0471985.19
318321353322160.3810426.3247863.25-7163.28-21077.651.462.220.0723456.86
420961853322160.3810389.155860.81-5849.21-26211.281.782.710.0813955.05
516733353302356.611667.3546947.5-7942.95-20121.791.471.920.0583157.22
690036.6953272650.9411841.7242307.69-8834.22-32829.211.341.390.0311698.81
732532.4553282552.8311605.931088.08-11697.31-33788.270.991.110.01613.82
834483.6453282552.8312618.1135531.14-12752.93-327680.991.110.01650.63
936341.0453282552.8313903.9855677.66-14118.81-413440.981.10.0091685.68
1074773.2153292454.7214897.6848779-14885.81-31501.2911.210.0191410.82

From the table above, we see that best results are achieved by holding positions for 4 trading days. Profit factor is 2.71. 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 60.38%, which is good. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
UNIONBANK Performance, X=4, Profit Factor:2.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019508 Feb 2019 (-2.14%), 15 May 2019 (0.14%), 02 Aug 2019 (-0.54%), 21 Aug 2019 (3.98%), 05 Sep 2019 (8.43%)
2018607 Feb 2018 (-1.98%), 22 Feb 2018 (-1.68%), 09 Mar 2018 (8.35%), 23 Mar 2018 (9.44%), 16 Jul 2018 (3.16%), 27 Sep 2018 (0.67%)
2017227 Jun 2017 (5.51%), 10 Aug 2017 (-0.78%)
2016407 Jan 2016 (-5.68%), 21 Jan 2016 (10.03%), 23 May 2016 (9.3%), 22 Dec 2016 (-1.66%)
2015505 Feb 2015 (-7.06%), 25 Feb 2015 (-2.15%), 27 Mar 2015 (-0.34%), 24 Apr 2015 (-2.74%), 11 Dec 2015 (1.64%)
2014229 Jan 2014 (-1.85%), 13 Feb 2014 (2.6%)
2013424 Jun 2013 (1.3%), 17 Jul 2013 (-1.25%), 01 Aug 2013 (-6.85%), 19 Aug 2013 (4.35%)
2012416 May 2012 (4.01%), 23 Jul 2012 (-13.11%), 09 Aug 2012 (1.53%), 27 Aug 2012 (1.23%)
2011502 May 2011 (3.91%), 23 Jun 2011 (2.23%), 19 Aug 2011 (-4.52%), 06 Sep 2011 (0.68%), 19 Dec 2011 (-2.95%)
2010225 Nov 2010 (7.88%), 09 Dec 2010 (3.92%)
2009318 Feb 2009 (-1.48%), 06 Mar 2009 (4.35%), 19 Aug 2009 (5.6%)
2008522 Jan 2008 (27.93%), 07 Mar 2008 (4.69%), 27 May 2008 (-0.41%), 10 Jun 2008 (10.86%), 27 Jun 2008 (0.63%)
2007212 Feb 2007 (2.77%), 05 Mar 2007 (0.6%)
2006208 Jun 2006 (-1.1%), 12 Dec 2006 (10.86%)
2005120 Oct 2005 (-1.15%)
2003120 Nov 2003 (3.62%)

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-1420961853322160.3810389.155860.81-5849.21-26211.281.782.710.0813955.05
atrnil26.222275128534514022099.6639950.32-10272.09-17898.152.151.430.0392676.61
atrtrail24.1188182.5293326134.4116106.5939950.32-7003.74-15960.512.31.210.018948.2
atrnil311.1910040181225927.1632810.759925.48-10532.79-18921.393.121.160.0151239.52
atrtrail34.9667830.3292326034.7815369.2459925.48-7066.42-15960.512.171.160.013737.29
atrtrail-15.2832108.1292326034.7814252.9261984.42-7066.42-15960.512.021.080.0063349

In the table above, row 1 shows the best exit criterion. Profit factor is 2.71. 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 60.38%, which is good. Average return per trade is 1.98%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.081, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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