Study: Buy PAGEIND when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy PAGEIND 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 PAGEIND 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
16648.991551033.338645.8623942.6-3658.03-15834.52.361.180.016443.27
237840.87158753.3310338.5626560.93-6409.66-15233.571.611.840.0672522.72
35714.151596605565.0613331.46-7395.23-21457.380.751.130.013380.94
472625.191510566.6710906.6724966.64-7288.3-15928.311.52.990.134841.68
584766.471511473.3311866.8332601.93-11442.17-20234.311.042.850.125651.1
682696.9815123809815.4627215.51-11696.2-20282.270.843.360.145513.13
71183461511473.3312913.9526586.1-5926.95-20304.142.185.990.27889.71
8163563151238016287.2338843.67-10628.04-23939.371.536.130.2210904.18
91409391513286.6713226.4527961.77-15502.41-23134.60.855.550.239395.93
101770861513286.6716084.438257.97-16005.63-19611.5116.530.2611805.72
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
PAGEIND Performance, X=10, Profit Factor:6.53

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018131 Jan 2018 (5.01%)
2016411 Feb 2016 (-6.2%), 25 Feb 2016 (13.53%), 11 Nov 2016 (-9.81%), 28 Nov 2016 (6.35%)
2015229 Jul 2015 (9.43%), 11 Nov 2015 (5.89%)
2014207 Apr 2014 (1.59%), 28 Aug 2014 (10.91%)
2013207 Feb 2013 (2.73%), 28 Aug 2013 (3.07%)
2011207 Feb 2011 (19.13%), 20 Dec 2011 (5.12%)
2008201 Jul 2008 (8.96%), 08 Oct 2008 (12.84%)

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
atrnil27.7140494201286018831.5348175.67-10685.57-21464.771.762.640.137024.69
atrnil315.9157132201195524245.8234095.77-12174.71-24087.831.992.430.137856.58
atrtrail35.1418298.652291340.9113795.7830893.43-8143.33-21464.771.691.170.02831.76
atrtrail24.457318.732291340.9112575.7922730.51-8143.33-21464.771.541.070.0086332.67
atrtrail-16-11679.682291340.9110464.8525964.21-8143.33-21464.771.290.89-0.014-530.89

In the table above, row 1 shows the best exit criterion. Profit factor is 2.64. 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 60%, which is not acceptable. Avoid this strategy. Average return per trade is 3.51%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PAGEIND Performance, Profit Factor:2.64

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018431 Jan 2018 (-2.98%), 02 Feb 2018 (-3.61%), 05 Feb 2018 (-3.87%), 06 Feb 2018 (8.41%)
2016411 Feb 2016 (-5.08%), 12 Feb 2016 (10.92%), 11 Nov 2016 (-4.83%), 15 Nov 2016 (11.28%)
2015329 Jul 2015 (7.05%), 11 Nov 2015 (-3.69%), 13 Nov 2015 (7.95%)
2014207 Apr 2014 (7.07%), 28 Aug 2014 (5.22%)
2013207 Feb 2013 (5.15%), 28 Aug 2013 (6.85%)
2011207 Feb 2011 (11.37%), 20 Dec 2011 (7.63%)
2008301 Jul 2008 (-7.96%), 08 Oct 2008 (-10.73%), 10 Oct 2008 (24.09%)



View performance of other stocks for this trading system.