Study: Buy CENTURYTEX when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CENTURYTEX 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 CENTURYTEX 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
11324.1383434051.815614.327582.7-6002.27-28028.810.941.010.0004115.95
29663.7583364743.378752.725379.31-6498.58-24983.631.351.030.0024116.43
3-55339.4583394446.999310.5727619.05-9510.27-31492.170.980.87-0.011-666.74
4-13279982433952.448802.8931488.75-13110.86-55435.490.670.74-0.022-1619.51
5-85455.2982394347.5611583.834387.23-12493.57-50109.040.930.84-0.013-1042.14
6-15568882354742.6813621.9533837.37-13456.52-51113.291.010.75-0.023-1898.64
7-14315782433952.4410935.5145952.38-15727.79-62737.390.70.77-0.02-1745.81
8-23219982334940.2413626.2262857.14-13915.6-53896.530.980.66-0.032-2831.7
9-23606482354742.6814739.8956428.57-15999.15-66961.360.920.69-0.028-2878.83
10-32093282305236.5916774.0259285.71-15849.09-64865.751.060.61-0.037-3913.8
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
atrtrail23.7-1089191825113128.0218425.5570640.28-8004.75-29157.982.30.9-0.0078-598.46
atrnil25.98-1873441624112125.3127011.4370640.28-10700.93-29157.982.520.86-0.013-1156.45
atrtrail-14.54-1566791815113028.1817407.1587510.25-8034.18-29157.982.170.85-0.011-865.63
atrtrail34.13-1954701815113028.1816646.5560852.54-8034.18-29157.982.070.81-0.015-1079.94
atrnil38.63-2801181583012818.9938546.16102888-11222.68-35320.143.430.8-0.016-1772.9

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 28.02%, which is not acceptable. Avoid this strategy. Average return per trade is -0.3%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CENTURYTEX Performance, Profit Factor:0.896

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019628 Jan 2019 (-3.24%), 29 Jan 2019 (-2.74%), 04 Feb 2019 (-3.56%), 06 Feb 2019 (-3.49%), 11 Feb 2019 (-3.53%), 15 Feb 2019 (7.28%)
20181402 Feb 2018 (-3.25%), 05 Feb 2018 (-3.74%), 06 Feb 2018 (-2.69%), 16 Feb 2018 (-4.11%), 22 Feb 2018 (2.66%), 21 May 2018 (-4.51%), 23 May 2018 (-1.51%), 01 Jun 2018 (-3.22%), 05 Jun 2018 (0.31%), 28 Sep 2018 (-4.02%), 03 Oct 2018 (-4.39%), 05 Oct 2018 (-4.68%), 08 Oct 2018 (-2.24%), 11 Oct 2018 (9.84%)
2016518 Jan 2016 (-1.05%), 11 Feb 2016 (-5.31%), 12 Feb 2016 (-1.64%), 15 Nov 2016 (-5.38%), 21 Nov 2016 (14.25%)
2015424 Aug 2015 (-6.21%), 25 Aug 2015 (-1.61%), 01 Sep 2015 (-2.91%), 04 Sep 2015 (2.19%)
20131314 Feb 2013 (0.34%), 25 Feb 2013 (-3.13%), 26 Feb 2013 (-3.48%), 27 Feb 2013 (-3.86%), 28 Feb 2013 (-3.74%), 04 Mar 2013 (2.06%), 13 Mar 2013 (-3.87%), 18 Mar 2013 (-4.03%), 19 Mar 2013 (-4.37%), 22 Mar 2013 (0.41%), 04 Apr 2013 (-2.76%), 30 Jul 2013 (-3.69%), 02 Aug 2013 (13.63%)
2012110 May 2012 (-4.16%)
20111711 Jan 2011 (0.16%), 17 Jan 2011 (-2.98%), 27 Jan 2011 (-4.2%), 28 Jan 2011 (-4.53%), 03 Feb 2011 (-4.74%), 08 Feb 2011 (-4.83%), 09 Feb 2011 (11.42%), 19 May 2011 (0.08%), 05 Aug 2011 (-4.11%), 08 Aug 2011 (-4.25%), 09 Aug 2011 (-3.03%), 12 Aug 2011 (-4.53%), 16 Aug 2011 (-4.14%), 18 Aug 2011 (-0.05%), 26 Aug 2011 (10.53%), 25 Nov 2011 (-0.85%), 19 Dec 2011 (-0.56%)
2010424 May 2010 (-0.25%), 25 Nov 2010 (-4.44%), 26 Nov 2010 (9.89%), 09 Dec 2010 (10.27%)
20081821 Jan 2008 (-8.96%), 22 Jan 2008 (21.15%), 04 Jun 2008 (-6.94%), 09 Jun 2008 (0.36%), 20 Jun 2008 (-2.8%), 01 Jul 2008 (1.51%), 15 Jul 2008 (18.23%), 18 Sep 2008 (-3.81%), 26 Sep 2008 (-7.34%), 29 Sep 2008 (-4.81%), 03 Oct 2008 (-8.78%), 06 Oct 2008 (-9.22%), 08 Oct 2008 (-11.11%), 10 Oct 2008 (-1.36%), 15 Oct 2008 (-8.74%), 22 Oct 2008 (-14.58%), 24 Oct 2008 (35.32%), 25 Nov 2008 (34.3%)
2007312 Feb 2007 (11.57%), 05 Mar 2007 (-6.6%), 07 Mar 2007 (18.85%)
2006208 Jun 2006 (-2.17%), 13 Jun 2006 (32.44%)
2005220 Oct 2005 (-3.38%), 24 Oct 2005 (-1.55%)
2004218 Mar 2004 (-5.59%), 22 Mar 2004 (13.18%)
2003131 Mar 2003 (8.66%)
2002302 Aug 2002 (1.73%), 03 Oct 2002 (-0.51%), 24 Oct 2002 (10.35%)
2001712 Mar 2001 (-13.48%), 13 Mar 2001 (7.76%), 03 Sep 2001 (0.22%), 14 Sep 2001 (-4.24%), 17 Sep 2001 (-5.77%), 18 Sep 2001 (-1.74%), 21 Sep 2001 (13.56%)
2000925 Feb 2000 (14.17%), 03 Mar 2000 (17.23%), 19 Jul 2000 (-5.65%), 21 Jul 2000 (-8.91%), 25 Jul 2000 (-9.42%), 03 Aug 2000 (-8.11%), 11 Aug 2000 (0.17%), 10 Oct 2000 (-5.76%), 13 Oct 2000 (11.42%)
1999201 Nov 1999 (-4.46%), 19 Nov 1999 (19.07%)
19981105 Jun 1998 (-8.42%), 08 Jun 1998 (-4.62%), 10 Jun 1998 (-9.95%), 16 Jun 1998 (-0.75%), 19 Jun 1998 (-0.52%), 03 Jul 1998 (3.63%), 12 Aug 1998 (-2.87%), 19 Aug 1998 (-4.29%), 28 Aug 1998 (-4.35%), 31 Aug 1998 (-4.71%), 01 Sep 1998 (10.41%)
19971514 May 1997 (-0.7%), 22 Sep 1997 (-2.84%), 29 Sep 1997 (-3.3%), 01 Oct 1997 (-3.41%), 09 Oct 1997 (2.5%), 28 Oct 1997 (1.3%), 06 Nov 1997 (-4.56%), 12 Nov 1997 (-4.56%), 17 Nov 1997 (-3.86%), 19 Nov 1997 (-2.65%), 24 Nov 1997 (-4.71%), 25 Nov 1997 (-4.97%), 05 Dec 1997 (-5.52%), 08 Dec 1997 (-6.04%), 10 Dec 1997 (12.96%)
19963401 Jul 1996 (-2.06%), 03 Jul 1996 (-0.65%), 09 Jul 1996 (-2.98%), 10 Jul 1996 (-3.35%), 12 Jul 1996 (-3.35%), 15 Jul 1996 (-1.04%), 23 Jul 1996 (-1.07%), 29 Jul 1996 (-2.86%), 02 Aug 1996 (-2.86%), 05 Aug 1996 (-3.0%), 06 Aug 1996 (0.32%), 13 Aug 1996 (-2.78%), 19 Aug 1996 (-3.22%), 20 Aug 1996 (6.68%), 16 Sep 1996 (-2.28%), 17 Sep 1996 (0.25%), 24 Sep 1996 (-2.36%), 26 Sep 1996 (-2.73%), 27 Sep 1996 (-3.16%), 30 Sep 1996 (-3.38%), 04 Oct 1996 (-3.61%), 07 Oct 1996 (7.73%), 09 Oct 1996 (-2.09%), 18 Oct 1996 (8.13%), 18 Nov 1996 (-4.09%), 19 Nov 1996 (-4.37%), 20 Nov 1996 (-4.65%), 21 Nov 1996 (-4.92%), 22 Nov 1996 (-3.4%), 27 Nov 1996 (-5.35%), 29 Nov 1996 (-5.02%), 04 Dec 1996 (-5.85%), 10 Dec 1996 (-2.32%), 13 Dec 1996 (12.13%)
1995925 Apr 1995 (-0.83%), 28 Apr 1995 (-2.08%), 02 May 1995 (-2.16%), 03 May 1995 (-0.4%), 12 May 1995 (5.09%), 25 May 1995 (-0.67%), 14 Jun 1995 (3.74%), 15 Nov 1995 (-2.4%), 22 Nov 1995 (8.44%)



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