Study: Buy ZEEL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ZEEL 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 ZEEL 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
110381957312654.399692.0434484.92-7562.85-29901.21.281.530.0321821.39
223100157342359.6513002.4459130.43-9177.45-23504.941.422.090.0514052.66
336116057332457.8918050.4461052.63-9771.02-32553.31.852.540.0666336.14
441369157332457.8920893.8261052.63-11491.89-59334.371.822.50.0657257.73
539234757342359.6520911.4769251.8-13854.06-81799.271.512.230.0566883.27
646528257362163.1621346.6774978.05-14438-62922.521.482.530.0668162.85
749102457381966.6721328.190921.86-16812.86-65574.621.272.540.0678614.45
845099557411671.9318991.3696505.71-20478.18-72646.910.932.380.0617912.19
935827257362163.1619874.69112450-17010.34-79719.191.1720.0466285.47
1020518057292850.8822583.23112485-16061.91-86375.461.411.460.0253599.66

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 2.54. 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 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 3.17%, 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. This chart is important and informative as it shows the performance of strategy over time.
ZEEL Performance, X=3, Profit Factor:2.54

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Jan 2019 (22.13%), 08 May 2019 (3.15%), 20 Sep 2019 (-9.27%)
2018313 Jul 2018 (2.4%), 06 Sep 2018 (-0.94%), 24 Sep 2018 (-0.61%)
2017118 Oct 2017 (7.17%)
2016115 Nov 2016 (-1.51%)
2015111 Feb 2015 (4.28%)
2014130 Jan 2014 (5.84%)
2011214 Jan 2011 (-4.72%), 25 Aug 2011 (-0.9%)
2010115 Oct 2010 (3.26%)
2008622 Jan 2008 (0.73%), 17 Apr 2008 (-0.7%), 01 Jul 2008 (2.53%), 10 Oct 2008 (-5.58%), 24 Oct 2008 (12.23%), 14 Nov 2008 (1.81%)
2007101 Mar 2007 (-0.24%)
2006114 Jun 2006 (14.8%)
2005201 Mar 2005 (5.52%), 21 Oct 2005 (-0.48%)
2003324 Jan 2003 (-7.21%), 07 Mar 2003 (-0.82%), 27 Mar 2003 (-3.95%)
2002417 May 2002 (-8.68%), 22 Jul 2002 (0.18%), 20 Sep 2002 (2.89%), 07 Oct 2002 (-0.73%)
2001626 Feb 2001 (-16.28%), 13 Mar 2001 (30.53%), 12 Apr 2001 (9.5%), 25 Jul 2001 (-9.16%), 17 Sep 2001 (24.9%), 08 Oct 2001 (17.29%)
2000505 Apr 2000 (21.76%), 24 Apr 2000 (8.18%), 13 Oct 2000 (-14.78%), 30 Oct 2000 (8.74%), 13 Nov 2000 (3.41%)
1999201 Dec 1999 (11.44%), 15 Dec 1999 (2.38%)
1998223 Jun 1998 (24.97%), 14 Dec 1998 (7.11%)
1996609 Jan 1996 (-4.81%), 23 Jul 1996 (-2.16%), 12 Aug 1996 (-3.13%), 06 Nov 1996 (2.59%), 25 Nov 1996 (-12.1%), 09 Dec 1996 (4.9%)
1995611 Aug 1995 (2.6%), 01 Sep 1995 (-1.09%), 21 Sep 1995 (22.67%), 13 Nov 1995 (-7.4%), 27 Nov 1995 (3.17%), 19 Dec 1995 (2.77%)

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-1336116057332457.8918050.4461052.63-9771.02-32553.31.852.540.0666336.14
atrtrail24.3346387799445544.4422817.26126802-9819.69-31434.12.321.860.0414685.62
atrtrail-15.3135188299445544.4420271.93126802-9819.69-31434.12.061.650.0323554.37
atrtrail34.9134900699445544.4420206.57126802-9819.69-31434.12.061.650.0323525.31
atrnil35.0452169.162662023.0835073.5780377.55-7913.61-11322.074.431.330.022006.51
atrnil23.9635886.732681830.7722033.3253585.03-7798.88-11322.072.831.260.0181380.26

In the table above, row 1 shows the best exit criterion. Profit factor is 2.54. 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 57.89%, which is not acceptable. Avoid this strategy. Average return per trade is 3.17%, which is very good. Sharpe Ratio is 0.066, 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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