Study: Buy BHEL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy BHEL 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 BHEL 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
1-10545471343747.894788.3716741.62-7250.24-41790.450.660.61-0.034-1485.27
258349.7371393254.937812.3425427.51-7697.86-24324.591.011.240.017821.83
310977871383353.5210101.2536224.98-8305.13-28274.431.221.40.0251546.17
419342.2771422959.157781.5437535.43-10602.85-40710.580.731.060.0045272.43
533926.4671422959.158405.8731725.62-11004.14-39674.320.761.110.0075477.84
612015.9771373452.1110614.6934019.1-11197.87-47264.260.951.030.0024169.24
7646.1970403057.149876.3326882.75-13146.91-32016.630.7510.000139.23
848400.2170363451.4312639.9444236.18-11959.93-36257.81.061.120.0089691.43
977999.547035355014178.557107.15-11949.94-44573.81.191.190.0131114.28
1060610.6270363451.4314791.173539.52-13878.5-49518.251.071.130.0089865.87
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
atrnil38.67375126122398331.9730939.7965540.08-10018.38-19699.513.091.450.033074.81
atrnil25.43253457123497439.8420350.2543693.39-10050.07-19699.512.021.340.0262060.63
atrtrail23.67164143139548538.8515816.4343989.91-8116.99-19699.511.951.240.0171180.89
atrtrail34.62138448138548439.1315228.2265984.86-8141.38-19699.511.871.20.0141003.25
atrtrail-15.1521617.25137528537.9613616.6259508.71-8075.84-19699.511.691.030.0024157.79

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 31.97%, which is not acceptable. Avoid this strategy. Average return per trade is 1.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, 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.
BHEL Performance, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191005 Feb 2019 (12.76%), 07 May 2019 (-4.08%), 13 May 2019 (12.73%), 24 Jul 2019 (-3.15%), 29 Jul 2019 (-3.32%), 31 Jul 2019 (-3.37%), 01 Aug 2019 (-3.52%), 05 Aug 2019 (-3.64%), 13 Aug 2019 (-4.76%), 21 Aug 2019 (13.6%)
2018507 Mar 2018 (-3.69%), 22 Mar 2018 (9.99%), 10 May 2018 (-2.8%), 14 May 2018 (-3.0%), 21 May 2018 (10.04%)
2017723 May 2017 (-3.09%), 24 May 2017 (-3.42%), 30 May 2017 (-4.62%), 23 Jun 2017 (-2.83%), 27 Jun 2017 (8.67%), 10 Aug 2017 (-3.09%), 11 Aug 2017 (9.66%)
20161007 Jan 2016 (-3.15%), 11 Jan 2016 (-3.25%), 13 Jan 2016 (-3.49%), 14 Jan 2016 (-3.63%), 15 Jan 2016 (-4.09%), 03 Feb 2016 (-4.97%), 11 Feb 2016 (-5.14%), 12 Feb 2016 (-6.72%), 24 Feb 2016 (21.03%), 22 Dec 2016 (7.81%)
2015824 Aug 2015 (-4.57%), 25 Aug 2015 (-4.89%), 01 Sep 2015 (-5.31%), 02 Sep 2015 (-5.71%), 24 Sep 2015 (-4.49%), 09 Nov 2015 (-3.87%), 10 Nov 2015 (-4.01%), 03 Dec 2015 (-2.94%)
2013807 Feb 2013 (-3.19%), 19 Mar 2013 (-2.94%), 21 Mar 2013 (9.35%), 13 Jun 2013 (-3.36%), 24 Jun 2013 (10.85%), 05 Aug 2013 (-7.34%), 06 Aug 2013 (-7.91%), 19 Aug 2013 (24.19%)
2012304 May 2012 (-4.11%), 18 May 2012 (13.74%), 06 Sep 2012 (9.82%)
2011905 Aug 2011 (-2.94%), 08 Aug 2011 (-3.02%), 26 Sep 2011 (-3.08%), 17 Nov 2011 (-4.19%), 18 Nov 2011 (-4.54%), 21 Nov 2011 (-4.92%), 24 Nov 2011 (-4.97%), 16 Dec 2011 (-5.4%), 19 Dec 2011 (16.81%)
2010416 Nov 2010 (-2.2%), 19 Nov 2010 (-2.5%), 24 Nov 2010 (-2.67%), 26 Nov 2010 (9.17%)
2009103 Nov 2009 (10.42%)
2008621 Jan 2008 (-5.35%), 22 Jan 2008 (-6.33%), 12 Feb 2008 (18.32%), 04 Jun 2008 (-5.43%), 09 Jun 2008 (17.61%), 20 Oct 2008 (32.77%)
2007410 Jan 2007 (9.63%), 01 Mar 2007 (-3.72%), 02 Mar 2007 (-4.05%), 05 Mar 2007 (13.16%)
2006419 May 2006 (-6.05%), 22 May 2006 (-7.54%), 08 Jun 2006 (-7.62%), 13 Jun 2006 (27.94%)
2005130 Mar 2005 (10.25%)
2004214 May 2004 (-7.3%), 17 May 2004 (32.53%)
2002623 May 2002 (13.34%), 11 Sep 2002 (8.07%), 30 Sep 2002 (7.44%), 01 Oct 2002 (-3.48%), 31 Oct 2002 (-3.21%), 01 Nov 2002 (10.24%)
2001712 Mar 2001 (-8.72%), 13 Mar 2001 (-9.5%), 11 Sep 2001 (-4.15%), 12 Sep 2001 (-4.95%), 13 Sep 2001 (-5.44%), 14 Sep 2001 (-5.88%), 17 Sep 2001 (19.85%)
2000731 Jan 2000 (-6.64%), 15 Feb 2000 (-7.65%), 18 Feb 2000 (-8.24%), 02 Mar 2000 (-9.16%), 20 Apr 2000 (-9.61%), 25 Apr 2000 (30.48%), 10 Oct 2000 (18.59%)
1999507 Apr 1999 (-6.94%), 09 Apr 1999 (-7.77%), 28 Apr 1999 (22.52%), 13 Dec 1999 (-4.77%), 14 Dec 1999 (16.06%)
19981015 Jan 1998 (-4.74%), 28 Jan 1998 (14.34%), 01 Jun 1998 (-5.25%), 02 Jun 1998 (-6.07%), 05 Jun 1998 (-7.1%), 08 Jun 1998 (-7.26%), 15 Jun 1998 (-8.19%), 16 Jun 1998 (-8.41%), 22 Jun 1998 (-9.85%), 23 Jun 1998 (32.57%)
1997219 Sep 1997 (12.11%), 19 Nov 1997 (14.71%)
1996216 Aug 1996 (-2.92%), 19 Aug 1996 (10.16%)
1995113 Nov 1995 (-4.55%)



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