Study: Buy BAJFINANCE when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BAJFINANCE 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 BAJFINANCE 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
1-17627.2648222645.836216.7815079.37-5938.32-28501.651.050.89-0.0091-367.23
2-10641.8348202841.67949730158.73-7163.64-23333.331.330.95-0.0043-221.7
3-39367.7448282058.338082.518963.47-13283.89-36421.860.610.85-0.013-820.16
4-33298.0248272156.2510770.3231647.97-15433.17-36549.960.70.9-0.009-693.71
5-15056.6448262254.1712195.833556.98-15097.61-47608.880.810.95-0.0037-313.68
6-5411.6448272156.2514197.7240251.57-18511.9-61657.560.770.99-0.0011-112.74
7-1085544824245013829.0646750.52-18352.12-73868.490.750.75-0.021-2261.53
89671.1848252352.0816248.0896226.42-17240.47-67591.80.941.020.0017201.48
955448.924824245019301.04105031-16990.66-62809.561.141.140.00891155.19
1093021.9848252352.0820536.2114885-18277.52-60109.291.121.220.0141937.96
Although, strategy looks good but profit factor on day 7 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-15.24-19198.3695296630.5322584.5290699.8-10214.38-31572.762.210.97-0.002-202.09
atrtrail23.6-65347.8996316532.2920116.3759869.08-10599.31-31572.761.90.91-0.0081-680.71
atrtrail34.38-80363.6395306531.5819548.7489803.62-10258.86-31572.761.910.88-0.0094-845.93
atrnil25.76-20881487256228.7424013.1258397.12-13050.67-33075.311.840.74-0.026-2400.16
atrnil38.62-29549082166619.5133699.7486391.47-12646.76-33075.312.660.65-0.036-3603.54

In the table above, row 1 shows the best exit criterion. 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 30.53%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJFINANCE Performance, Profit Factor:0.972

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019125 Jul 2019 (2.78%)
2018521 Sep 2018 (-4.62%), 24 Sep 2018 (-2.79%), 27 Sep 2018 (-5.39%), 01 Oct 2018 (-4.67%), 05 Oct 2018 (4.95%)
2016509 Nov 2016 (-4.81%), 11 Nov 2016 (-5.58%), 15 Nov 2016 (3.25%), 21 Nov 2016 (4.58%), 22 Dec 2016 (35.86%)
2013708 Feb 2013 (0.6%), 26 Mar 2013 (2.62%), 29 Jul 2013 (-4.88%), 30 Jul 2013 (-5.2%), 31 Jul 2013 (-5.42%), 02 Aug 2013 (-5.65%), 06 Aug 2013 (15.23%)
2012106 Jan 2012 (27.54%)
2011710 Jan 2011 (-4.01%), 14 Jan 2011 (-1.34%), 28 Jan 2011 (-4.57%), 31 Jan 2011 (-4.87%), 01 Feb 2011 (0.85%), 05 May 2011 (-0.45%), 24 May 2011 (1.04%)
2010229 Nov 2010 (-0.67%), 07 Dec 2010 (-5.13%)
2009109 Mar 2009 (45.35%)
20082217 Mar 2008 (-8.4%), 19 Mar 2008 (-5.98%), 21 May 2008 (-5.53%), 22 May 2008 (-2.41%), 02 Jun 2008 (-6.81%), 04 Jun 2008 (-7.82%), 09 Jun 2008 (-10.25%), 11 Jun 2008 (-11.34%), 13 Jun 2008 (1.38%), 23 Jun 2008 (-2.48%), 30 Jun 2008 (-6.28%), 15 Jul 2008 (-9.82%), 17 Jul 2008 (-10.48%), 22 Jul 2008 (-5.88%), 31 Jul 2008 (19.36%), 29 Sep 2008 (-4.94%), 06 Oct 2008 (-9.53%), 08 Oct 2008 (-13.6%), 10 Oct 2008 (4.48%), 16 Oct 2008 (-15.79%), 27 Oct 2008 (-6.13%), 18 Nov 2008 (6.2%)
2007119 Oct 2007 (-0.04%)
2006522 May 2006 (-6.0%), 24 May 2006 (-6.95%), 07 Jun 2006 (-11.76%), 08 Jun 2006 (-1.56%), 13 Jun 2006 (17.15%)
2004403 Feb 2004 (-3.52%), 25 Feb 2004 (-3.66%), 16 Mar 2004 (-5.27%), 23 Mar 2004 (15.84%)
2002129 Jul 2002 (-2.58%)
2001126 Jul 2001 (10.76%)
2000304 Oct 2000 (-3.02%), 12 Oct 2000 (-0.98%), 24 Oct 2000 (4.23%)
1998115 Jun 1998 (-5.99%)
1997829 May 1997 (-4.2%), 10 Jun 1997 (4.85%), 22 Oct 1997 (-3.5%), 23 Oct 1997 (-3.87%), 24 Oct 1997 (-4.38%), 28 Oct 1997 (3.35%), 18 Nov 1997 (-3.63%), 24 Nov 1997 (3.06%)
19961118 Jan 1996 (-3.93%), 22 Jan 1996 (1.04%), 24 Jan 1996 (-4.91%), 25 Jan 1996 (40.98%), 03 Jul 1996 (-1.88%), 31 Jul 1996 (-0.86%), 06 Aug 1996 (-2.11%), 08 Aug 1996 (-4.82%), 12 Aug 1996 (-5.06%), 13 Aug 1996 (-5.47%), 16 Aug 1996 (27.9%)
1995928 Apr 1995 (-3.75%), 03 May 1995 (6.21%), 05 Sep 1995 (2.72%), 19 Oct 1995 (-4.15%), 20 Oct 1995 (-2.35%), 13 Nov 1995 (-4.45%), 14 Nov 1995 (-5.39%), 15 Nov 1995 (-3.54%), 20 Nov 1995 (13.31%)



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