Study: Buy COALINDIA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy COALINDIA 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 COALINDIA 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
17822.781477504076.6110616.08-2959.07-6674.491.381.380.05558.77
240737.621410471.435358.7612321.62-3212.5-4853.251.674.170.222909.83
357487.17139469.236946.0614848.39-1256.85-2745.625.5312.430.354422.09
454420.48139469.237255.4216161.3-2719.58-3904.152.6760.264186.19
563325.49138561.549558.5721920.03-2628.61-8481.423.645.820.244871.19
665364.651310376.927985.2924218.88-4829.41-11604.741.655.510.245028.05
774904.641311284.628015.724186.5-6634.05-12250.941.216.650.255761.9
854047.551312192.316065.6217484.22-18739.9-18739.90.323.880.24157.5
978992.081312192.317381.4516545.25-9585.35-9585.350.779.240.376076.31
1098092.111310376.9210697.320398.25-2960.3-7135.163.6112.050.417545.55
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
COALINDIA Performance, X=3, Profit Factor:12.4

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016320 Jan 2016 (2.26%), 05 Apr 2016 (1.58%), 16 Dec 2016 (1.37%)
2015212 Aug 2015 (2.28%), 28 Sep 2015 (6.31%)
2013525 Jan 2013 (2.7%), 26 Feb 2013 (-0.19%), 18 Mar 2013 (-1.37%), 27 Jun 2013 (4.23%), 02 Aug 2013 (3.1%)
2012117 May 2012 (-0.16%)
2011204 Oct 2011 (7.42%), 17 Nov 2011 (-0.79%)

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
atrnil25.471266271913668.4212629.3517094.37-6259.09-7376.362.024.370.296664.58
atrtrail2489674.81201195512067.5417094.37-4785.34-7495.912.523.080.24483.74
atrtrail35.2584398.61201195511587.8822196.44-4785.34-7495.912.422.960.174219.93
atrtrail-16.2571812.97201195510443.7320205.16-4785.34-7495.912.182.670.163590.65
atrnil312.2172676.481981142.1118030.1622196.44-6505.89-8547.182.772.020.123825.08

In the table above, row 1 shows the best exit criterion. Profit factor is 4.37. Strategy is very good and impressively bullish. Percentage of profitable trades is 68.42%, which is good. Average return per trade is 3.33%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COALINDIA Performance, Profit Factor:4.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016420 Jan 2016 (-3.18%), 21 Jan 2016 (6.89%), 05 Apr 2016 (5.66%), 16 Dec 2016 (4.97%)
2015412 Aug 2015 (-3.54%), 19 Aug 2015 (-3.69%), 24 Aug 2015 (7.7%), 28 Sep 2015 (7.4%)
2013725 Jan 2013 (3.99%), 26 Feb 2013 (-2.58%), 28 Feb 2013 (5.68%), 18 Mar 2013 (-2.9%), 19 Mar 2013 (6.01%), 27 Jun 2013 (5.17%), 02 Aug 2013 (8.09%)
2012117 May 2012 (5.98%)
2011304 Oct 2011 (8.55%), 17 Nov 2011 (-2.89%), 18 Nov 2011 (6.0%)



View performance of other stocks for this trading system.