Study: Buy BAJAJ-AUTO when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BAJAJ-AUTO 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 BAJAJ-AUTO 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
122037.4427141351.854541.5422414.35-3195.7-6768.171.421.530.039816.2
223783.0827171062.965241.1133697.18-6531.58-14579.730.81.360.029880.85
38397.4927121544.446164.1728769.05-4371.51-14784.891.411.130.011311.02
478361.9127161159.269240.9531470.87-6317.58-12896.191.462.130.0762902.29
553280.9227151255.569945.4826369.83-7991.77-34536.561.241.560.0431973.37
693788.1827161159.2613140.4945225.75-10587.25-34399.781.241.810.0573473.64
711762227171062.9613723.4859489.9-11567.67-33579.111.192.020.0644356.39
813060627171062.9614893.2571844.98-12257.94-38138.411.212.070.0684837.25
913800527171062.9615439.2873733.02-12446.24-36878.891.242.110.075111.31
1072920.1927161159.2614150.4962570.39-13953.42-38093.431.011.480.0382700.75
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
BAJAJ-AUTO Performance, X=4, Profit Factor:2.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020406 Jan 2020 (2.09%), 28 Feb 2020 (-6.45%), 16 Mar 2020 (-4.16%), 30 Mar 2020 (14.77%)
2019230 Jan 2019 (8.44%), 18 Jul 2019 (-4.11%)
2018119 Mar 2018 (-2.09%)
2016218 Jan 2016 (3.06%), 15 Nov 2016 (-2.01%)
2015709 Jan 2015 (1.77%), 03 Feb 2015 (0.37%), 19 Feb 2015 (-1.47%), 12 Mar 2015 (-2.0%), 26 Mar 2015 (0.77%), 30 Apr 2015 (6.12%), 24 Aug 2015 (4.02%)
2014130 Apr 2014 (-2.3%)
2013318 Mar 2013 (0.47%), 03 Apr 2013 (0.66%), 21 Nov 2013 (0.84%)
2012102 Jan 2012 (-1.27%)
2011306 Jan 2011 (-3.08%), 02 Feb 2011 (2.05%), 05 May 2011 (2.59%)
2008310 Oct 2008 (15.74%), 17 Nov 2008 (-5.81%), 02 Dec 2008 (10.17%)

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
atrnil39.7712038444152934.0923638.4871872.9-8075.63-23639.472.931.510.0432736
atrtrail35.0489266.3353213239.6212584.2471872.9-5468.84-22626.842.31.510.0331684.27
atrnil26.7590685.8144182640.9116410.0647915.27-7872.89-23639.472.081.440.0412061.04
atrtrail24.4362356.6353213239.6211302.8347915.27-5468.84-22626.842.071.360.0281176.54
atrtrail-15.9857925.6153213239.6211091.8352378.99-5468.84-22626.842.031.330.0251092.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.51. 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 34.09%, which is not acceptable. Avoid this strategy. Average return per trade is 1.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.043, 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.
BAJAJ-AUTO Performance, Profit Factor:1.51

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20201006 Jan 2020 (4.96%), 28 Feb 2020 (-2.4%), 02 Mar 2020 (-2.75%), 03 Mar 2020 (-3.02%), 09 Mar 2020 (-3.57%), 12 Mar 2020 (-4.41%), 13 Mar 2020 (-5.25%), 18 Mar 2020 (-5.73%), 19 Mar 2020 (-6.46%), 23 Mar 2020 (25.61%)
2019530 Jan 2019 (7.84%), 18 Jul 2019 (-2.53%), 19 Jul 2019 (-2.71%), 24 Jul 2019 (-2.75%), 29 Jul 2019 (9.94%)
2018219 Mar 2018 (-2.29%), 23 Mar 2018 (7.0%)
2016218 Jan 2016 (7.36%), 15 Nov 2016 (9.84%)
2015909 Jan 2015 (-2.16%), 12 Jan 2015 (-2.27%), 03 Feb 2015 (-2.51%), 06 Feb 2015 (-3.04%), 26 Feb 2015 (-2.44%), 02 Mar 2015 (-2.88%), 13 Mar 2015 (-2.8%), 30 Apr 2015 (7.68%), 24 Aug 2015 (10.71%)
2014230 Apr 2014 (-2.11%), 07 May 2014 (6.14%)
2013418 Mar 2013 (-2.9%), 21 Mar 2013 (-3.14%), 03 Apr 2013 (10.14%), 21 Nov 2013 (-2.63%)
2012202 Jan 2012 (-3.6%), 04 Jan 2012 (11.67%)
2011406 Jan 2011 (-3.53%), 10 Jan 2011 (-3.9%), 02 Feb 2011 (12.16%), 05 May 2011 (10.29%)
2008410 Oct 2008 (-9.73%), 17 Nov 2008 (-11.77%), 25 Nov 2008 (-11.82%), 02 Dec 2008 (35.94%)



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