Study: Buy LUPIN when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy LUPIN 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 LUPIN 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
133875.651710758.826513.4918037.01-4465.6-12110.981.462.080.0741992.69
264301.41711664.718631.7130136.77-5107.9-10299.51.693.10.13782.44
364510.261712570.598484.6220164.99-7461.04-17788.51.142.730.13794.72
437923.61711664.718474.0617506.87-9215.17-20715.720.921.690.0562230.8
518802.621712570.596414.1413611.11-11633.41-31057.50.551.320.0271106.04
651705.441712570.598181.6117831.08-9294.77-34290.310.882.110.0693041.5
71249861715288.2410126.1124827.59-13452.59-17740.250.755.650.197352.14
899916.111714382.358951.1623768.12-8466.72-12641.741.064.930.185877.42
91057271713476.479973.1221009.5-5980.98-9314.751.675.420.196219.21
101202241712570.5911754.1127441.14-4165.09-8540.412.826.770.197071.99
Although, strategy looks good but profit factor on day 5 is less than minimum accepted value so avoid this, see below for further analysis.
LUPIN Performance, X=10, Profit Factor:6.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016213 Jan 2016 (2.41%), 21 Mar 2016 (-3.26%)
2015127 Jul 2015 (4.85%)
2011208 Feb 2011 (4.02%), 14 Dec 2011 (5.65%)
2008322 Jan 2008 (11.78%), 10 Oct 2008 (0.96%), 18 Nov 2008 (8.45%)
2007227 Jul 2007 (1.54%), 17 Aug 2007 (-2.2%)
2006107 Jun 2006 (13.72%)
2005114 Jan 2005 (-4.27%)
2004125 Oct 2004 (0.0%)
2002421 May 2002 (7.7%), 31 Jul 2002 (2.57%), 25 Sep 2002 (-0.68%), 24 Oct 2002 (6.87%)

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
atrnil26.8122900826161061.5420693.1334425.2-10208.2-13447.842.033.240.148808
atrtrail24.311436212617965.3813184.7528345.83-8946.6-13447.841.472.780.115523.9
atrnil317.6923237026121446.1531249.8351637.8-10187.7-13611.153.072.630.118937.32
atrtrail36.0497919.692617965.3810496.4231897.24-8946.6-13447.841.172.220.083766.14
atrtrail-16.9638300.7251510608003.5524696.88-8175.25-13447.840.981.470.0411532.03

In the table above, row 1 shows the best exit criterion. Profit factor is 3.24. Strategy is very good and impressively bullish. Percentage of profitable trades is 61.54%, which is good. Average return per trade is 4.4%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LUPIN Performance, Profit Factor:3.24

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016313 Jan 2016 (5.08%), 21 Mar 2016 (-4.48%), 29 Mar 2016 (10.63%)
2015127 Jul 2015 (7.49%)
2011308 Feb 2011 (-4.41%), 09 Feb 2011 (9.76%), 14 Dec 2011 (6.9%)
2008322 Jan 2008 (13.61%), 10 Oct 2008 (11.73%), 18 Nov 2008 (16.79%)
2007327 Jul 2007 (-4.13%), 17 Aug 2007 (-4.78%), 21 Aug 2007 (10.13%)
2006107 Jun 2006 (17.21%)
2005614 Jan 2005 (-4.35%), 17 Jan 2005 (10.05%), 18 Jan 2005 (-5.98%), 20 Jan 2005 (-6.18%), 24 Jan 2005 (-6.72%), 25 Jan 2005 (14.17%)
2004225 Oct 2004 (-3.93%), 27 Oct 2004 (8.92%)
2002421 May 2002 (-6.1%), 31 Jul 2002 (9.17%), 25 Sep 2002 (7.02%), 24 Oct 2002 (6.89%)



View performance of other stocks for this trading system.