Study: Buy ASHOKLEY when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ASHOKLEY 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 ASHOKLEY 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
1-39901.0974353947.35405.0718826.87-5873.81-22160.660.920.83-0.015-539.2
258263.1374452960.816951.5529230.77-8777.82-30684.930.791.230.016787.34
313874174443059.469805.931538.46-9757.29-29729.7311.470.0311874.88
420895974443059.4612136.2242307.69-10834.5-27718.551.121.640.042823.77
515037574403454.0513630.8656153.85-11613.5-34054.051.171.380.0252032.1
613016174413355.4112763.3140000-11913.16-35675.681.071.330.0231758.94
717260474433158.1113156.9639174.79-12682.1-38378.381.041.440.0292332.49
856140.6374423256.7611978.1535411.47-13966.92-39459.460.861.130.0095758.66
949065.674403454.0513160.6241985.94-14039.98-44933.920.941.10.0075663.05
10-52796.0474353947.313593.0742463.53-13552.65-46486.4910.9-0.008-713.46
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.

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
atrtrail34.8274664.76135488735.5616946.9465331.79-8491.82-25052.6621.10.0072553.07
atrtrail24.2956034.01136498736.0316329.9158028.36-8553.24-25052.661.911.080.0058412.01
atrnil26.6863406.58121398232.2324152.5458028.36-10713.93-25052.662.251.070.006524.02
atrtrail-15.52-8323.3135488735.5615218.0257542.81-8491.82-25052.661.790.99-0.00085-61.65
atrnil311.83-153713110238720.9135261.1665331.79-11088.73-29014.183.180.84-0.014-1397.39

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 35.56%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0072, 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.
ASHOKLEY Performance, Profit Factor:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191604 Jan 2019 (-3.06%), 07 Jan 2019 (-1.46%), 18 Jan 2019 (-2.56%), 22 Jan 2019 (-1.44%), 24 Jan 2019 (-3.1%), 28 Jan 2019 (-3.26%), 31 Jan 2019 (-0.79%), 06 Feb 2019 (2.6%), 23 Jul 2019 (-4.0%), 24 Jul 2019 (-1.73%), 29 Jul 2019 (-4.11%), 30 Jul 2019 (-2.58%), 02 Aug 2019 (-5.62%), 07 Aug 2019 (-0.44%), 14 Aug 2019 (-2.12%), 22 Aug 2019 (16.94%)
2018421 May 2018 (11.82%), 28 Jun 2018 (0.72%), 18 Jul 2018 (17.4%), 05 Oct 2018 (1.09%)
2017130 Mar 2017 (-0.4%)
2016103 Aug 2016 (1.63%)
20131624 Jan 2013 (-3.09%), 11 Feb 2013 (-3.7%), 15 Feb 2013 (-1.28%), 27 Jun 2013 (0.3%), 04 Jul 2013 (-3.41%), 12 Jul 2013 (-4.2%), 16 Jul 2013 (-3.31%), 19 Jul 2013 (-5.35%), 24 Jul 2013 (-4.61%), 30 Jul 2013 (-5.25%), 31 Jul 2013 (-5.45%), 01 Aug 2013 (-5.83%), 06 Aug 2013 (2.96%), 16 Aug 2013 (-3.05%), 21 Aug 2013 (0.36%), 29 Aug 2013 (17.25%)
2012715 May 2012 (-5.97%), 18 May 2012 (-5.85%), 24 May 2012 (5.31%), 25 Jul 2012 (-3.7%), 26 Jul 2012 (12.47%), 27 Aug 2012 (-3.25%), 28 Aug 2012 (-0.62%)
2011408 Feb 2011 (4.11%), 24 Feb 2011 (9.04%), 22 Jun 2011 (2.52%), 20 Dec 2011 (-5.75%)
2010128 Dec 2010 (5.64%)
20081721 Jan 2008 (-11.05%), 22 Jan 2008 (7.6%), 04 Jun 2008 (-5.5%), 09 Jun 2008 (2.98%), 30 Jun 2008 (-5.62%), 25 Sep 2008 (-5.56%), 29 Sep 2008 (-2.38%), 06 Oct 2008 (-4.78%), 08 Oct 2008 (-6.9%), 10 Oct 2008 (-6.14%), 16 Oct 2008 (-7.84%), 24 Oct 2008 (11.68%), 06 Nov 2008 (-9.78%), 12 Nov 2008 (-10.21%), 18 Nov 2008 (-10.28%), 25 Nov 2008 (-5.65%), 12 Dec 2008 (24.87%)
2007105 Mar 2007 (7.06%)
2006322 May 2006 (-0.89%), 13 Jun 2006 (7.09%), 19 Jul 2006 (20.21%)
2005223 Mar 2005 (-3.33%), 29 Mar 2005 (14.46%)
2004430 Jan 2004 (-7.62%), 03 Feb 2004 (24.45%), 23 Mar 2004 (16.66%), 17 May 2004 (7.46%)
2002630 Jul 2002 (-6.17%), 31 Jul 2002 (7.56%), 18 Sep 2002 (-3.62%), 23 Sep 2002 (-3.8%), 24 Sep 2002 (-1.24%), 30 Sep 2002 (0.8%)
20001214 Feb 2000 (-9.29%), 16 Feb 2000 (32.67%), 03 Mar 2000 (-12.53%), 07 Mar 2000 (14.98%), 03 Jul 2000 (7.47%), 28 Jul 2000 (-6.6%), 31 Jul 2000 (-4.53%), 07 Aug 2000 (-4.03%), 11 Aug 2000 (2.54%), 22 Sep 2000 (-2.15%), 03 Oct 2000 (-4.59%), 06 Oct 2000 (16.4%)
1998527 Jan 1998 (1.56%), 08 Jun 1998 (-4.83%), 27 Jul 1998 (-0.73%), 06 Oct 1998 (-6.65%), 12 Oct 1998 (7.43%)
19972013 May 1997 (1.49%), 30 May 1997 (-2.56%), 06 Jun 1997 (-3.33%), 09 Jun 1997 (1.34%), 02 Sep 1997 (-2.02%), 18 Sep 1997 (-1.87%), 30 Sep 1997 (2.1%), 27 Oct 1997 (-3.22%), 28 Oct 1997 (2.05%), 11 Nov 1997 (-3.57%), 13 Nov 1997 (-3.61%), 17 Nov 1997 (-1.81%), 21 Nov 1997 (-4.32%), 26 Nov 1997 (-5.23%), 27 Nov 1997 (-5.75%), 28 Nov 1997 (-5.94%), 03 Dec 1997 (-5.95%), 04 Dec 1997 (-3.67%), 11 Dec 1997 (4.13%), 17 Dec 1997 (17.73%)
19961010 Jan 1996 (0.33%), 20 Aug 1996 (10.02%), 30 Sep 1996 (-3.24%), 01 Oct 1996 (-3.3%), 03 Oct 1996 (-3.53%), 07 Oct 1996 (4.29%), 27 Nov 1996 (-3.54%), 28 Nov 1996 (-3.93%), 03 Dec 1996 (-4.57%), 04 Dec 1996 (14.09%)
1995513 Nov 1995 (-0.51%), 15 Nov 1995 (-2.25%), 17 Nov 1995 (-4.07%), 21 Nov 1995 (-2.99%), 19 Dec 1995 (1.05%)



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