Study: Buy BALRAMCHIN when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BALRAMCHIN 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 BALRAMCHIN 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
171678.7478433555.135392.2120684.93-4576.76-20505.991.181.450.027918.96
2-156.1478374147.446416.3233059.03-5794.15-20638.091.111-4.9e-05-2
3-49549.8378344443.598904.1275934.23-8006.59-471781.110.86-0.0094-635.25
4-13223478314739.7411043.155156.95-10097.23-41678.731.090.72-0.024-1695.3
5-52788.4578324641.0313404.5451420.03-10472.47-47901.591.280.89-0.0089-676.77
6-12195978314739.7414389.4141932.02-12085.77-52677.281.190.79-0.019-1563.58
7-12471278324641.0314070.8440930.23-12499.55-38494.931.130.78-0.02-1598.88
8-67859.678324641.0316816.1445149.59-13173.39-48046.311.280.89-0.0097-869.99
9-12315678364246.1514806.365470.85-15623.4-67004.340.950.81-0.016-1578.92
10-41597.878344443.5918548.7969955.16-15278.56-64254.71.210.94-0.005-533.31

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. 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 55.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study.

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
nilnil-1171678.7478433555.135392.2120684.93-4576.76-20505.991.181.450.027918.96
atrnil310.0512397944133129.5534925.1281100.97-10646.69-37240.483.281.380.0262817.71
atrnil27.1156969.6844152934.0923897.2254067.32-10396.16-37240.482.31.190.0151294.77
atrtrail24.62141918140459532.1423471.3574935.57-9624.13-34604.752.441.160.0121013.7
atrtrail-15.82-18566.38139439630.9420978.74107436-9590.13-34604.752.190.98-0.0015-133.57
atrtrail35.35-54390.63139439630.9420145.6288357.2-9590.13-34604.752.10.94-0.0047-391.3

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. 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 55.13%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
BALRAMCHIN Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018518 Jan 2018 (-2.58%), 02 Feb 2018 (4.4%), 06 Mar 2018 (-3.99%), 20 Mar 2018 (9.1%), 19 Apr 2018 (1.73%)
2017118 Dec 2017 (4.78%)
2016101 Sep 2016 (-1.72%)
2015423 Mar 2015 (-0.39%), 04 May 2015 (-0.34%), 16 Jun 2015 (0.39%), 26 Aug 2015 (0.38%)
2014327 Jan 2014 (-0.85%), 16 Sep 2014 (-5.13%), 30 Sep 2014 (8.5%)
2013411 Jan 2013 (-2.31%), 25 Jan 2013 (0.7%), 17 Jun 2013 (-0.46%), 01 Jul 2013 (0.12%)
2012210 Dec 2012 (0.18%), 24 Dec 2012 (0.41%)
2011617 May 2011 (-3.13%), 02 Aug 2011 (1.61%), 19 Sep 2011 (-0.3%), 03 Oct 2011 (1.94%), 15 Nov 2011 (3.0%), 14 Dec 2011 (-10.25%)
2010419 Feb 2010 (-0.84%), 12 Mar 2010 (1.82%), 04 May 2010 (-0.6%), 26 Nov 2010 (0.6%)
2008422 Jan 2008 (8.37%), 06 Oct 2008 (-3.76%), 21 Oct 2008 (1.71%), 26 Nov 2008 (-2.72%)
2007431 Jan 2007 (-0.89%), 14 Feb 2007 (8.29%), 07 Aug 2007 (1.45%), 22 Aug 2007 (0.39%)
2006419 May 2006 (-5.62%), 02 Jun 2006 (-1.79%), 24 Jul 2006 (-1.01%), 20 Nov 2006 (0.84%)
2005723 Mar 2005 (0.52%), 07 Apr 2005 (1.11%), 22 Apr 2005 (-1.14%), 06 May 2005 (0.09%), 20 May 2005 (-1.45%), 03 Jun 2005 (0.71%), 22 Jun 2005 (3.35%)
2004217 May 2004 (6.87%), 23 Jun 2004 (-1.06%)
2003127 Jan 2003 (-0.05%)
2002218 Oct 2002 (-3.23%), 01 Nov 2002 (0.76%)
2001627 Mar 2001 (6.78%), 11 Apr 2001 (-3.46%), 26 Jul 2001 (0.06%), 10 Aug 2001 (2.39%), 31 Aug 2001 (-1.88%), 14 Sep 2001 (-4.77%)
2000131 Jan 2000 (-0.05%)
1999202 Feb 1999 (4.77%), 16 Feb 1999 (2.37%)
1998222 Jun 1998 (1.93%), 12 Oct 1998 (-5.15%)
1997402 Sep 1997 (1.22%), 16 Sep 1997 (0.51%), 30 Sep 1997 (-1.5%), 02 Dec 1997 (0.83%)
1996808 May 1996 (-0.63%), 22 May 1996 (0.2%), 05 Jun 1996 (4.75%), 16 Jul 1996 (5.22%), 30 Jul 1996 (-2.31%), 13 Aug 1996 (10.34%), 01 Oct 1996 (0.46%), 25 Nov 1996 (-4.75%)
1995121 Nov 1995 (0.0%)



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