Study: Buy CEATLTD when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CEATLTD 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 CEATLTD 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
1-19702.2438201852.633224.0512030.08-4676.85-14237.640.690.77-0.03-518.48
2-46488.5938172144.745819.5315358.74-6924.79-13028.850.840.68-0.048-1223.38
3-10828038162242.115446.9614349.78-8883.23-17293.30.610.45-0.1-2849.46
4-13173238152339.475699.5415095.92-9444.56-22561.490.60.39-0.12-3466.62
5-14959738132534.216175.6823440.61-9195.25-27480.920.670.35-0.12-3936.77
6-17610938201852.635096.9719862.32-15447.14-39185.750.330.37-0.1-4634.45
7-17349738162242.117152.0130038.09-13087.68-39445.630.550.4-0.099-4565.71
8-14146038172144.747436.130478.39-12755.88-34495.250.580.47-0.087-3722.63
9-16019038162242.118133.0230827.83-13196.3-32061.070.620.45-0.094-4215.53
10-18845138152339.479678.5327319.43-14505.6-40882.10.670.44-0.1-4959.23

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.77. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.

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-11-19702.2438201852.633224.0512030.08-4676.85-14237.640.690.77-0.03-518.48
atrnil25.89-20371974195525.6819776.0237908.52-10535.7-26114.281.880.65-0.059-2752.96
atrtrail24.24-2491188421632512853.1535464.42-8238.64-20357.91.560.52-0.083-2965.69
atrnil39.01-32087173116215.072969953196.63-10444.51-26114.282.840.5-0.087-4395.49
atrtrail34.65-27580784206423.8112453.4853196.63-8201.2-20357.91.520.47-0.088-3283.42
atrtrail-14.96-31869083206324.19352.3323443.21-8027.56-20357.91.170.37-0.13-3839.64

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 52.63%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CEATLTD Performance, X=1, Profit Factor:0.766

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019325 Jan 2019 (-3.13%), 12 Feb 2019 (0.22%), 10 May 2019 (-0.68%)
2018605 Feb 2018 (-7.12%), 23 Mar 2018 (1.85%), 15 May 2018 (0.21%), 28 Jun 2018 (0.66%), 25 Sep 2018 (0.43%), 10 Oct 2018 (-2.6%)
2016418 Jan 2016 (-1.5%), 20 May 2016 (-2.03%), 03 Jun 2016 (0.33%), 17 Jun 2016 (0.96%)
2015306 Feb 2015 (-2.14%), 09 Jun 2015 (2.39%), 05 Nov 2015 (-1.07%)
2013126 Mar 2013 (4.93%)
2012119 Nov 2012 (3.31%)
2011717 Jan 2011 (0.37%), 01 Feb 2011 (-0.91%), 04 Aug 2011 (-6.07%), 19 Aug 2011 (2.88%), 22 Sep 2011 (-0.81%), 07 Oct 2011 (-1.2%), 25 Oct 2011 (1.3%)
2010528 Jan 2010 (2.81%), 07 May 2010 (1.02%), 21 May 2010 (0.15%), 16 Nov 2010 (-3.59%), 09 Dec 2010 (1.41%)
2008827 May 2008 (-2.31%), 10 Jun 2008 (-0.22%), 24 Jun 2008 (-2.05%), 16 Sep 2008 (0.23%), 30 Sep 2008 (0.76%), 16 Oct 2008 (-1.17%), 31 Oct 2008 (6.02%), 17 Nov 2008 (-3.49%)



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