Study: Buy AUROPHARMA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy AUROPHARMA 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 AUROPHARMA 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
136151.6170383254.296409.2338923.21-6481.22-30460.320.991.170.011516.45
251101.6370393155.718576.1441924.1-9140.9-32645.810.941.180.012730.02
3-1908770343648.5711091.4630686.93-11005.47-38114.981.010.95-0.004-272.67
422032.5870373352.8612551.3843121.43-13405.11-48465.910.941.050.0037314.75
584026.5869393056.5213723.5551732.26-15039.72-57159.090.911.190.0131217.78
659554.6769412859.4212769.1556306.76-16570.73-66638.760.771.130.0094863.11
799605.669402957.9714349.7750386.81-16358.11-67538.720.881.210.0151443.56
820011469432662.3215606.5948158.13-18114.21-63415.660.861.420.0282900.2
921800769422760.8716516.0754416.24-17617.34-79147.730.941.460.0293159.52
1020989569452465.2216166.5751776.65-21566.68-712500.751.410.0283041.96
Although, strategy looks good but profit factor on day 3 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
atrtrail-16.75336455118496941.5320604.6379984.46-9756.11-30602.562.111.50.0292851.32
atrnil27.24308914101396238.6126817.4599072.23-11886.56-33093.012.261.420.0293058.56
atrtrail35.59275538118496941.5319361.4380494-9756.11-30602.561.981.410.0252335.07
atrtrail24.73157522119506942.0216817.5453662.67-9903.71-30602.561.71.230.0171323.71
atrnil312.8418883196276928.1237648.38113831-11995.3-49536.123.141.230.0161966.99

In the table above, row 1 shows the best exit criterion. Profit factor is 1.5. 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 41.53%, which is not acceptable. Avoid this strategy. Average return per trade is 1.43%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.029, 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.
AUROPHARMA Performance, Profit Factor:1.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019914 May 2019 (-3.17%), 17 May 2019 (-1.2%), 04 Jun 2019 (-3.66%), 06 Jun 2019 (0.52%), 24 Jun 2019 (1.76%), 07 Oct 2019 (-2.63%), 10 Oct 2019 (-5.9%), 11 Oct 2019 (5.07%), 08 Nov 2019 (-4.66%)
2018301 Feb 2018 (-2.73%), 06 Feb 2018 (0.02%), 23 Mar 2018 (9.11%)
2017627 Apr 2017 (-2.51%), 02 May 2017 (1.59%), 23 May 2017 (-3.42%), 24 May 2017 (-2.32%), 29 May 2017 (34.95%), 06 Dec 2017 (2.58%)
2016511 Feb 2016 (-3.09%), 24 Feb 2016 (14.47%), 04 Nov 2016 (1.75%), 22 Dec 2016 (-3.33%), 26 Dec 2016 (9.69%)
2013628 Feb 2013 (-0.72%), 21 Mar 2013 (-5.2%), 22 Mar 2013 (-5.52%), 26 Mar 2013 (17.95%), 05 Aug 2013 (-6.49%), 06 Aug 2013 (20.92%)
2012114 May 2012 (7.86%)
20111228 Jan 2011 (-2.97%), 09 Feb 2011 (-4.39%), 24 Feb 2011 (8.14%), 25 May 2011 (7.46%), 09 Aug 2011 (-0.52%), 17 Aug 2011 (-4.79%), 19 Aug 2011 (-5.73%), 22 Aug 2011 (-0.82%), 26 Aug 2011 (5.17%), 14 Nov 2011 (-5.68%), 15 Nov 2011 (-6.42%), 17 Nov 2011 (1.72%)
2010207 May 2010 (-1.47%), 07 Jun 2010 (11.71%)
20081814 Jan 2008 (-3.79%), 15 Jan 2008 (-4.1%), 16 Jan 2008 (-4.34%), 18 Jan 2008 (-4.97%), 21 Jan 2008 (-6.71%), 22 Jan 2008 (7.43%), 30 Jan 2008 (-11.49%), 31 Jan 2008 (-4.62%), 13 Feb 2008 (7.71%), 17 Mar 2008 (29.77%), 08 Oct 2008 (-9.51%), 10 Oct 2008 (-11.15%), 23 Oct 2008 (-11.07%), 24 Oct 2008 (-11.74%), 27 Oct 2008 (-7.0%), 29 Oct 2008 (-15.3%), 06 Nov 2008 (10.85%), 19 Nov 2008 (39.99%)
20071228 Feb 2007 (-0.3%), 16 Mar 2007 (3.79%), 24 Jul 2007 (-3.45%), 26 Jul 2007 (-3.79%), 01 Aug 2007 (-1.02%), 10 Aug 2007 (-3.08%), 16 Aug 2007 (-4.22%), 17 Aug 2007 (-3.84%), 21 Aug 2007 (-4.97%), 22 Aug 2007 (1.09%), 17 Oct 2007 (6.27%), 26 Nov 2007 (6.36%)
2006322 May 2006 (-2.79%), 25 May 2006 (1.29%), 08 Jun 2006 (-2.83%)
2005320 Jan 2005 (3.97%), 24 Oct 2005 (-4.81%), 27 Oct 2005 (30.56%)
2004416 Mar 2004 (-4.13%), 19 Mar 2004 (-5.18%), 22 Mar 2004 (18.85%), 29 Jun 2004 (1.41%)
2003131 Mar 2003 (4.6%)
2002426 Mar 2002 (15.4%), 21 May 2002 (-3.35%), 22 May 2002 (0.49%), 23 Sep 2002 (-0.25%)
20011009 Mar 2001 (-6.22%), 12 Mar 2001 (-3.26%), 23 Mar 2001 (-5.9%), 02 Apr 2001 (-7.42%), 06 Apr 2001 (-9.92%), 12 Apr 2001 (27.01%), 22 Jun 2001 (-5.94%), 25 Jun 2001 (4.63%), 01 Aug 2001 (1.82%), 17 Sep 2001 (15.91%)
2000708 Mar 2000 (0.23%), 23 Mar 2000 (3.99%), 24 Apr 2000 (-4.27%), 07 Aug 2000 (-10.06%), 14 Aug 2000 (25.71%), 13 Oct 2000 (-7.37%), 23 Oct 2000 (33.04%)
1998522 Oct 1998 (-3.47%), 02 Nov 1998 (-9.25%), 16 Nov 1998 (-1.98%), 23 Nov 1998 (-7.24%), 24 Nov 1998 (5.94%)
1997601 Apr 1997 (11.51%), 12 Sep 1997 (-3.83%), 17 Sep 1997 (-3.73%), 22 Sep 1997 (0.84%), 30 Sep 1997 (-3.57%), 09 Oct 1997 (10.53%)
1996114 Aug 1996 (11.37%)



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