Study: Buy BEML when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BEML 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 BEML 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
1-85879.0189404944.944701.3814263.45-5590.49-39590.710.840.69-0.027-964.93
2-49523.0189434648.316789.7825518.88-7423.55-34736.40.910.85-0.012-556.44
349290.1389454450.569671.5333140.52-8771.1-28600.981.11.130.0091553.82
417322.3289395043.8212332.4843064.99-9272.89-35232.41.331.040.0027194.63
528363.5189414846.0714717.860626.12-11980.55-57301.451.231.050.0036318.69
6-8810.8589474252.8113512.3967946.66-15330.79-56240.090.880.99-0.001-99
7-44039.3189434648.3116172.5570273.34-16075.19-50686.441.010.94-0.0047-494.82
8-13663889414846.0716252.0769857.18-16728.61-55949.370.970.83-0.014-1535.26
9-21329589375241.5717744.9275891.42-16728.02-57822.781.060.75-0.021-2396.57
10-29748889335637.0819264.2672637.85-16664.43-625001.160.68-0.029-3342.56
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
atrnil37.22-1093791613412721.1238711.7379386.7-11225.02-25864.763.450.92-0.0064-679.38
atrtrail34.6-1591621815412729.8319321.8479386.7-9468.83-23239.552.040.87-0.011-879.35
atrtrail23.95-1657971835512830.0518966.6652924.47-9445.03-23239.552.010.86-0.012-905.99
atrnil25.25-2261461664612027.7124738.9552924.47-11367.82-25864.762.180.83-0.016-1362.33
atrtrail-15.1-2183511815412729.8318225.7562826.97-9468.83-23239.551.920.82-0.016-1206.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 21.12%, which is not acceptable. Avoid this strategy. Average return per trade is -0.34%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, Profit Factor:0.923

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019505 Feb 2019 (-4.09%), 06 Feb 2019 (12.64%), 06 May 2019 (-3.21%), 08 May 2019 (-3.2%), 13 May 2019 (11.12%)
20181302 Feb 2018 (-4.39%), 05 Feb 2018 (-4.81%), 06 Feb 2018 (16.16%), 19 Mar 2018 (-6.12%), 01 Jun 2018 (-5.64%), 06 Jun 2018 (-5.75%), 28 Jun 2018 (-4.54%), 24 Sep 2018 (-4.61%), 25 Sep 2018 (-5.03%), 28 Sep 2018 (-5.54%), 01 Oct 2018 (-5.86%), 08 Oct 2018 (-6.62%), 26 Oct 2018 (18.68%)
2017323 May 2017 (-3.59%), 24 May 2017 (12.03%), 06 Dec 2017 (-3.46%)
2016921 Jan 2016 (-4.87%), 03 Feb 2016 (-4.62%), 11 Feb 2016 (-4.92%), 12 Feb 2016 (17.44%), 08 Apr 2016 (-4.64%), 24 May 2016 (-3.61%), 15 Sep 2016 (-4.16%), 29 Sep 2016 (-3.72%), 22 Nov 2016 (13.58%)
2015324 Aug 2015 (-5.34%), 03 Nov 2015 (-3.88%), 18 Nov 2015 (12.94%)
2014126 Aug 2014 (21.29%)
20131624 Jan 2013 (-2.2%), 04 Feb 2013 (-2.26%), 11 Feb 2013 (-2.51%), 14 Feb 2013 (-2.54%), 15 Feb 2013 (-2.71%), 28 Feb 2013 (-4.06%), 04 Mar 2013 (-4.33%), 13 Mar 2013 (-4.18%), 15 Mar 2013 (-4.54%), 18 Mar 2013 (-4.72%), 20 Mar 2013 (-5.41%), 21 Mar 2013 (-5.86%), 25 Mar 2013 (19.47%), 01 Aug 2013 (-5.19%), 02 Aug 2013 (-5.56%), 07 Aug 2013 (-5.83%)
20121626 Apr 2012 (-4.54%), 07 May 2012 (-4.07%), 18 May 2012 (-4.93%), 29 May 2012 (-5.09%), 31 May 2012 (-5.05%), 01 Jun 2012 (-5.25%), 08 Jun 2012 (-5.14%), 18 Jul 2012 (-3.3%), 24 Jul 2012 (-3.08%), 25 Jul 2012 (-3.31%), 26 Jul 2012 (-3.85%), 30 Jul 2012 (-4.06%), 09 Aug 2012 (-3.75%), 10 Aug 2012 (-4.02%), 22 Aug 2012 (11.45%), 12 Nov 2012 (9.72%)
20112018 Jan 2011 (-3.06%), 27 Jan 2011 (-3.04%), 28 Jan 2011 (-3.2%), 31 Jan 2011 (-3.29%), 01 Feb 2011 (-3.73%), 03 Feb 2011 (-3.94%), 07 Feb 2011 (-4.54%), 08 Feb 2011 (-5.98%), 09 Feb 2011 (23.17%), 23 May 2011 (-3.33%), 25 May 2011 (-3.37%), 13 Jun 2011 (-3.21%), 20 Jun 2011 (-3.32%), 22 Jun 2011 (11.08%), 02 Aug 2011 (-3.43%), 05 Aug 2011 (-3.91%), 08 Aug 2011 (-3.99%), 16 Aug 2011 (-4.37%), 17 Aug 2011 (-4.63%), 19 Aug 2011 (15.12%)
2010307 May 2010 (-2.85%), 25 Nov 2010 (-4.0%), 26 Nov 2010 (-4.61%)
2009228 Oct 2009 (-4.37%), 29 Oct 2009 (14.35%)
20082328 Jan 2008 (-9.39%), 31 Jan 2008 (-11.09%), 22 Feb 2008 (-8.3%), 18 Mar 2008 (-8.04%), 24 Mar 2008 (27.27%), 20 Jun 2008 (-5.31%), 23 Jun 2008 (-5.55%), 25 Jun 2008 (-6.29%), 27 Jun 2008 (-6.81%), 30 Jun 2008 (-7.49%), 01 Jul 2008 (-8.34%), 16 Jul 2008 (25.13%), 06 Oct 2008 (-7.62%), 08 Oct 2008 (-8.08%), 10 Oct 2008 (-9.28%), 16 Oct 2008 (-9.46%), 23 Oct 2008 (-8.87%), 27 Oct 2008 (-9.64%), 14 Nov 2008 (-8.98%), 18 Nov 2008 (-9.19%), 20 Nov 2008 (-9.8%), 24 Nov 2008 (-10.28%), 25 Nov 2008 (34.6%)
2006522 May 2006 (-9.08%), 06 Jun 2006 (-8.89%), 08 Jun 2006 (-11.43%), 14 Jun 2006 (39.69%), 24 Jul 2006 (24.04%)
2004421 Jan 2004 (-6.62%), 22 Jan 2004 (-7.84%), 14 May 2004 (-9.38%), 17 May 2004 (37.92%)
2003310 Mar 2003 (-5.7%), 11 Mar 2003 (-5.85%), 31 Mar 2003 (15.66%)
2002430 Jul 2002 (-12.93%), 09 Sep 2002 (-8.71%), 19 Sep 2002 (-9.25%), 30 Sep 2002 (26.06%)
2001324 Jul 2001 (-3.39%), 26 Jul 2001 (-3.92%), 17 Sep 2001 (-6.17%)
2000506 Mar 2000 (-9.91%), 08 Mar 2000 (35.09%), 17 Aug 2000 (-5.46%), 28 Aug 2000 (17.03%), 10 Oct 2000 (19.22%)
1999121 Sep 1999 (-6.94%)
1998928 Jan 1998 (-7.3%), 10 Feb 1998 (22.74%), 08 Jun 1998 (-7.84%), 15 Jun 1998 (-8.21%), 16 Jun 1998 (-8.67%), 19 Jun 1998 (-9.59%), 22 Jun 1998 (-10.63%), 24 Jul 1998 (-7.8%), 11 Aug 1998 (20.26%)
1997915 Jul 1997 (14.42%), 28 Aug 1997 (-3.98%), 01 Sep 1997 (-4.31%), 02 Sep 1997 (15.67%), 28 Oct 1997 (-4.65%), 29 Oct 1997 (-4.95%), 05 Nov 1997 (-4.83%), 07 Nov 1997 (-5.29%), 11 Nov 1997 (16.68%)
1995421 Jun 1995 (-3.9%), 03 Jul 1995 (-3.8%), 10 Jul 1995 (12.21%), 14 Nov 1995 (14.16%)



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