Study: Buy ALBK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ALBK 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 ALBK 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
1-4520.0448252352.085473.0517862.37-6145.5-13519.070.890.97-0.0032-94.17
2-47101.7648212743.757648.0617473.23-7693-23082.760.990.77-0.026-981.29
3-10637548212743.757920.8723508.14-10100.5-31435.080.780.61-0.048-2216.15
4-12158148212743.757551.4227305.61-10376.34-37746.480.730.57-0.052-2532.95
5-99237.9648202841.679640.0234177.22-10429.94-36169.010.920.66-0.038-2067.46
6-71447.5348212743.7511120.1939371.2-11295.24-35586.640.980.77-0.025-1488.49
7-82061.5248232547.9210497.9642658.09-12940.58-37296.040.810.75-0.027-1709.62
8-10476148232547.9210280.1646730.98-13648.2-35120.440.750.69-0.034-2182.53
9-71641.1748212743.7512215.8843218.81-12154.61-43512.041.010.78-0.022-1492.52
10-10227648202841.6712438.3839314.78-12537.28-40870.240.990.71-0.031-2130.76

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.97. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 52.08%, which is not acceptable. Avoid this strategy. Average return per trade is -0.047%, we advise you not to use this strategy.

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
atrnil38.3857635.8791226924.1833138.6558947.57-9730.64-16850.43.411.090.0082633.36
atrtrail34.84-16143.21103346933.0115275.3851321.55-7760.96-16850.41.970.97-0.0028-156.73
nilnil-11-4520.0448252352.085473.0517862.37-6145.5-13519.070.890.97-0.0032-94.17
atrnil26.29-26719.0993286530.1121635.7539298.38-9731.08-16850.42.220.96-0.0048-287.3
atrtrail24.38-81120.57104356933.6512967.6434214.37-7753.45-16850.41.670.85-0.017-780.01
atrtrail-15.33-141134103346933.0111599.1740571.55-7760.96-16850.41.490.74-0.03-1370.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 24.18%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0082, 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.
ALBK Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019207 May 2019 (-4.38%), 13 May 2019 (14.45%)
20181202 Feb 2018 (-4.23%), 06 Feb 2018 (-4.68%), 14 Feb 2018 (-5.12%), 15 Feb 2018 (-5.25%), 19 Feb 2018 (-5.92%), 06 Mar 2018 (-5.14%), 07 Mar 2018 (-5.53%), 12 Mar 2018 (16.54%), 15 May 2018 (-5.18%), 16 May 2018 (16.64%), 28 Sep 2018 (-5.16%), 08 Oct 2018 (16.38%)
2017111 Aug 2017 (11.51%)
20161407 Jan 2016 (-3.08%), 11 Jan 2016 (-3.12%), 12 Jan 2016 (-3.41%), 13 Jan 2016 (-3.6%), 14 Jan 2016 (-3.84%), 15 Jan 2016 (-4.64%), 20 Jan 2016 (-5.01%), 10 Feb 2016 (-6.6%), 11 Feb 2016 (-7.17%), 12 Feb 2016 (22.88%), 09 Nov 2016 (12.13%), 21 Dec 2016 (-3.46%), 23 Dec 2016 (-3.47%), 26 Dec 2016 (11.36%)
2015404 Feb 2015 (-4.38%), 09 Feb 2015 (-4.65%), 26 Mar 2015 (12.07%), 10 Dec 2015 (-3.03%)
2014327 Jan 2014 (-4.61%), 14 Feb 2014 (12.17%), 25 Sep 2014 (17.5%)
20131308 Feb 2013 (-4.5%), 04 Mar 2013 (-4.4%), 21 Mar 2013 (-4.73%), 11 Jun 2013 (-3.61%), 20 Jun 2013 (-3.47%), 21 Jun 2013 (-3.87%), 24 Jun 2013 (-4.06%), 25 Jun 2013 (-4.43%), 27 Jun 2013 (-4.7%), 25 Jul 2013 (-5.01%), 29 Jul 2013 (-5.69%), 31 Jul 2013 (-6.01%), 01 Aug 2013 (19.44%)
2012809 May 2012 (-5.59%), 18 May 2012 (-4.99%), 23 May 2012 (-4.92%), 24 May 2012 (-5.08%), 31 May 2012 (-4.89%), 04 Jun 2012 (14.78%), 27 Jul 2012 (-3.8%), 28 Aug 2012 (9.29%)
20111003 May 2011 (-4.52%), 19 May 2011 (-3.74%), 19 Aug 2011 (-4.34%), 26 Aug 2011 (-4.72%), 03 Oct 2011 (-3.94%), 04 Oct 2011 (-4.48%), 25 Oct 2011 (13.42%), 19 Dec 2011 (-6.08%), 21 Dec 2011 (-6.42%), 28 Dec 2011 (18.61%)
2010307 Dec 2010 (-5.0%), 08 Dec 2010 (-5.6%), 10 Dec 2010 (-5.74%)
2009324 Feb 2009 (-4.35%), 27 Feb 2009 (-4.95%), 04 Mar 2009 (14.47%)
2008913 Mar 2008 (-7.64%), 17 Mar 2008 (-8.43%), 19 Mar 2008 (29.47%), 04 Jun 2008 (-5.64%), 09 Jun 2008 (-5.92%), 23 Jun 2008 (-5.93%), 25 Jun 2008 (19.5%), 24 Oct 2008 (-7.41%), 27 Oct 2008 (25.66%)
2007512 Feb 2007 (-3.21%), 22 Feb 2007 (-4.5%), 28 Feb 2007 (-4.66%), 06 Mar 2007 (-4.58%), 09 Mar 2007 (-4.59%)
2006207 Jul 2006 (-6.55%), 12 Jul 2006 (20.8%)
2005219 Oct 2005 (-4.33%), 27 Oct 2005 (15.45%)



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