Study: Buy YESBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy YESBANK 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 YESBANK 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
110133.9442231954.767939.4951194.54-9077.6-45410.630.871.060.0047241.28
2-24130.7942251759.529017.623445.83-14680.63-89761.090.610.9-0.0081-574.54
3-14762.0242271564.299045.8129129.66-17266.6-60359.050.520.94-0.0053-351.48
452519.8942222052.3813688.2232150.51-12431.05-46967.491.11.210.021250.47
5-32820.3642192345.2413283.5732864.97-12400.36-35419.71.070.88-0.013-781.44
6-68407.8342222052.3812606.9333177.57-17288.02-56917.250.730.8-0.021-1628.76
713209342241857.1418973.5953242.32-17959.6-58719.161.061.410.0343145.08
829047542261661.924945.98200341-22382.54-61212.891.111.810.0466916.07
935311042241857.1428787.04212628-18765.49-58654.451.532.050.0548407.38
1031595842261661.924938.52167577-20777.71-71604.551.21.950.0557522.82
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
YESBANK Performance, X=9, Profit Factor:2.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020314 Jan 2020 (9.99%), 04 Feb 2020 (6.29%), 04 Mar 2020 (106.31%)
2019730 Apr 2019 (-7.23%), 15 May 2019 (6.89%), 13 Jun 2019 (-3.46%), 02 Jul 2019 (-7.54%), 22 Aug 2019 (10.04%), 30 Sep 2019 (-1.93%), 11 Dec 2019 (19.63%)
2018423 Mar 2018 (10.33%), 11 Sep 2018 (-29.33%), 27 Sep 2018 (18.18%), 26 Oct 2018 (26.12%)
2017318 May 2017 (2.16%), 25 Oct 2017 (-4.65%), 15 Nov 2017 (4.67%)
2015220 Aug 2015 (-8.44%), 11 Dec 2015 (6.43%)
2014230 Jan 2014 (-1.06%), 13 Feb 2014 (2.59%)
2013419 Mar 2013 (-0.76%), 25 Jul 2013 (-21.43%), 08 Aug 2013 (-8.41%), 27 Aug 2013 (30.15%)
2012209 May 2012 (0.33%), 30 Aug 2012 (-0.03%)
2011307 Jan 2011 (1.2%), 19 Aug 2011 (7.51%), 20 Dec 2011 (-4.43%)
2010125 Nov 2010 (-1.34%)
2009220 Feb 2009 (-20.95%), 09 Mar 2009 (16.95%)
2008522 Jan 2008 (22.74%), 07 Mar 2008 (-21.13%), 30 Jun 2008 (1.96%), 06 Oct 2008 (-23.0%), 23 Oct 2008 (2.52%)
2007206 Mar 2007 (0.77%), 22 Aug 2007 (17.67%)
2006207 Jun 2006 (-3.76%), 19 Jul 2006 (14.01%)

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
atrnil26.3451206367313646.2734488.77130194-15474.7-29831.932.231.920.0667642.73
atrnil310.0857378166234334.8553843.17195290-15456.09-29831.933.481.860.0558693.66
atrtrail24.2938806580374346.2525064.64130194-12542.48-30597.0221.720.0484850.82
atrtrail35.1233401780374346.2523603.8989751.35-12542.48-30597.021.881.620.0444175.22
atrtrail-15.7829748380374346.2522616.4887678.71-12542.48-30597.021.81.550.0413718.54

In the table above, row 1 shows the best exit criterion. Profit factor is 1.92. 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 46.27%, which is not acceptable. Avoid this strategy. Average return per trade is 3.82%, which is very good. Sharpe Ratio is 0.066, 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.
YESBANK Performance, Profit Factor:1.92

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020414 Jan 2020 (-9.14%), 04 Feb 2020 (14.97%), 04 Mar 2020 (18.83%), 06 Mar 2020 (65.1%)
20191030 Apr 2019 (-8.57%), 14 May 2019 (-7.98%), 15 May 2019 (-8.78%), 13 Jun 2019 (-8.58%), 19 Jun 2019 (-9.34%), 05 Jul 2019 (17.78%), 22 Aug 2019 (28.4%), 30 Sep 2019 (-14.05%), 01 Oct 2019 (40.6%), 11 Dec 2019 (-13.63%)
2018623 Mar 2018 (7.19%), 11 Sep 2018 (-4.16%), 21 Sep 2018 (-8.23%), 25 Sep 2018 (-9.32%), 28 Sep 2018 (23.55%), 26 Oct 2018 (21.59%)
2017318 May 2017 (5.61%), 25 Oct 2017 (-3.8%), 27 Oct 2017 (9.39%)
2015420 Aug 2015 (-3.54%), 21 Aug 2015 (-3.84%), 24 Aug 2015 (10.05%), 11 Dec 2015 (5.67%)
2014230 Jan 2014 (-4.13%), 04 Feb 2014 (8.06%)
2013819 Mar 2013 (-3.49%), 26 Mar 2013 (7.19%), 25 Jul 2013 (-6.07%), 26 Jul 2013 (-6.52%), 31 Jul 2013 (-8.16%), 05 Aug 2013 (-8.98%), 06 Aug 2013 (-9.84%), 19 Aug 2013 (22.36%)
2012402 Jan 2012 (9.11%), 09 May 2012 (-3.87%), 16 May 2012 (8.56%), 30 Aug 2012 (5.98%)
2011407 Jan 2011 (-4.16%), 17 Jan 2011 (9.17%), 19 Aug 2011 (9.35%), 20 Dec 2011 (-4.86%)
2010225 Nov 2010 (-4.61%), 26 Nov 2010 (9.95%)
2009420 Feb 2009 (-6.09%), 27 Feb 2009 (-6.12%), 03 Mar 2009 (-6.75%), 05 Mar 2009 (15.02%)
20081022 Jan 2008 (18.13%), 07 Mar 2008 (-9.49%), 17 Mar 2008 (-12.47%), 18 Mar 2008 (29.92%), 30 Jun 2008 (-9.02%), 03 Jul 2008 (20.22%), 06 Oct 2008 (-9.26%), 08 Oct 2008 (-10.98%), 10 Oct 2008 (-14.92%), 27 Oct 2008 (33.95%)
2007206 Mar 2007 (15.14%), 22 Aug 2007 (11.07%)
2006407 Jun 2006 (-7.34%), 08 Jun 2006 (-8.44%), 14 Jun 2006 (18.44%), 19 Jul 2006 (14.26%)



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