Study: Buy VGUARD when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy VGUARD 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 VGUARD 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
19811.7930131743.333556.8712292.4-2142.8-8674.571.661.270.024327.06
220828.87301812603897.5511869.88-4110.59-9909.050.951.420.04694.3
347031.8930219705325.7414935.14-7200.97-19631.530.741.730.0631567.73
452121.2830201066.676623.2716925.84-8034.42-24584.720.821.650.0581737.38
517080.0730141646.678195.414920.31-6103.47-18000.61.341.170.02569.34
639706.5230191163.337434.224279.42-9231.2-21747.970.811.390.0381323.55
762128.8930219707861.3228348.59-11439.87-27845.530.691.60.0542070.96
8848583018126010387.0241241.36-8509.02-21471.721.221.830.0662828.6
912074230191163.3311256.3635931.63-8466.26-19110.381.332.30.0994024.73
101231683018126012169.1434379.92-7989.67-19512.21.522.280.0974105.62
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
VGUARD Performance, X=9, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Feb 2019 (6.37%), 09 May 2019 (0.51%)
2018301 Jun 2018 (3.04%), 27 Jun 2018 (5.34%), 25 Sep 2018 (-9.56%)
2016318 Jan 2016 (4.39%), 26 Feb 2016 (2.89%), 28 Dec 2016 (6.21%)
2015406 Feb 2015 (4.35%), 04 Jun 2015 (2.06%), 24 Aug 2015 (4.67%), 06 Nov 2015 (5.66%)
2014410 Jan 2014 (-0.16%), 30 Jan 2014 (0.32%), 14 Feb 2014 (-2.42%), 03 Mar 2014 (8.28%)
2013214 Feb 2013 (-1.29%), 26 Mar 2013 (17.97%)
2011509 Feb 2011 (14.07%), 19 Aug 2011 (5.89%), 15 Nov 2011 (-3.48%), 14 Dec 2011 (-6.83%), 28 Dec 2011 (6.75%)
2010126 Nov 2010 (-2.66%)
2009105 Mar 2009 (0.99%)
2008504 Jun 2008 (-1.13%), 23 Jun 2008 (-8.67%), 07 Jul 2008 (7.18%), 29 Sep 2008 (-7.01%), 16 Oct 2008 (-3.35%)

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
atrnil38.71805275018323625540.6440900.99-8725.15-13684.522.931.650.0633610.54
atrtrail24.896842455213438.1814454.2827267.33-6915.17-12746.422.091.290.0331244.07
atrnil26.1775217.3452213140.3816542.8227267.33-8780.06-13684.521.881.280.0341446.49
atrtrail35.7248227.8654193535.1915048.1233237.15-6791.04-12746.422.221.20.022893.11
atrtrail-16.38-14449.9453183533.9612402.0332626.11-6791.04-12746.421.830.94-0.0076-272.64

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 36%, which is not acceptable. Avoid this strategy. Average return per trade is 1.81%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.063, 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.
VGUARD Performance, Profit Factor:1.65

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019214 Feb 2019 (9.56%), 09 May 2019 (-2.57%)
2018901 Jun 2018 (-3.79%), 04 Jun 2018 (-3.92%), 05 Jun 2018 (-4.3%), 04 Jul 2018 (10.7%), 25 Sep 2018 (-4.16%), 28 Sep 2018 (-4.31%), 01 Oct 2018 (-4.39%), 04 Oct 2018 (-4.42%), 08 Oct 2018 (13.85%)
2016518 Jan 2016 (-2.49%), 19 Jan 2016 (-2.72%), 20 Jan 2016 (8.44%), 26 Feb 2016 (13.4%), 28 Dec 2016 (10.88%)
2015406 Feb 2015 (-4.09%), 04 Jun 2015 (8.75%), 24 Aug 2015 (11.93%), 06 Nov 2015 (7.16%)
2014410 Jan 2014 (-2.28%), 30 Jan 2014 (-2.85%), 26 Feb 2014 (-2.11%), 03 Mar 2014 (6.37%)
2013214 Feb 2013 (-2.91%), 26 Mar 2013 (15.28%)
20111009 Feb 2011 (-5.47%), 11 Feb 2011 (16.24%), 19 Aug 2011 (14.31%), 15 Nov 2011 (-3.86%), 16 Nov 2011 (-4.14%), 21 Nov 2011 (-4.3%), 14 Dec 2011 (-4.34%), 16 Dec 2011 (-4.84%), 19 Dec 2011 (16.62%), 23 Dec 2011 (17.47%)
2010126 Nov 2010 (-5.37%)
2009205 Mar 2009 (-3.44%), 06 Mar 2009 (10.71%)
20081104 Jun 2008 (-5.05%), 09 Jun 2008 (-5.99%), 25 Jun 2008 (-5.41%), 30 Jun 2008 (-5.85%), 04 Jul 2008 (17.73%), 29 Sep 2008 (-5.4%), 30 Sep 2008 (-5.6%), 06 Oct 2008 (-6.37%), 08 Oct 2008 (-6.84%), 23 Oct 2008 (-6.02%), 27 Oct 2008 (20.45%)



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