Study: Buy CHOLAFIN when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CHOLAFIN 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 CHOLAFIN 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
1-80992.86602733454793.7125277.98-6376.46-17335.060.750.62-0.037-1349.88
2-59569602733457306.2327946.63-7782.95-26166.670.940.77-0.02-992.82
320461.9460352558.337909.0749888.81-10254.22-43833.330.771.080.0053341.03
416398.7160342656.679711.1338917.72-12068.45-44333.330.81.050.0039273.31
511163860372361.6710754.7443661.97-12447.28-55833.330.861.390.0241860.63
615486860372361.6712532.2541968.16-13427.21-540000.931.50.0312581.13
752249.646030305014661.6232416.79-12919.96-66166.671.131.130.0099870.83
8-28234.560322853.3314002.7948335.75-17011.57-73666.670.820.94-0.0048-470.57
9-38632.1360322853.3315271.6751764.71-18833.05-72166.670.810.93-0.0059-643.87
1017190.7360342656.6716606.1175000-21054.5-810000.791.030.0024286.51
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
atrnil310.5844663.6393256826.8838973.0891203.32-13671.52-38898.452.851.050.0039480.25
atrnil26.9-61511.9594326234.0425120.9460802.21-13957.77-38898.451.80.93-0.0067-654.38
atrtrail24.9-94913.79102376536.2717753.5159928.55-11566.06-35775.531.530.87-0.011-930.53
atrtrail35.55-181858102366635.2915867.8789892.83-11410.62-35775.531.390.76-0.021-1782.92
atrtrail-16.03-251814102366635.2913924.6480873.89-11410.62-35775.531.220.67-0.032-2468.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 26.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.24%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0039, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CHOLAFIN Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019229 Jan 2019 (9.61%), 06 May 2019 (-3.42%)
2018521 Sep 2018 (-4.55%), 24 Sep 2018 (-5.38%), 28 Sep 2018 (-5.71%), 05 Oct 2018 (-6.57%), 08 Oct 2018 (21.04%)
2017127 Sep 2017 (9.7%)
2016509 Nov 2016 (-5.01%), 10 Nov 2016 (-5.67%), 11 Nov 2016 (-6.54%), 15 Nov 2016 (-7.24%), 13 Dec 2016 (17.5%)
2014124 Feb 2014 (11.88%)
2013516 Apr 2013 (12.32%), 12 Jun 2013 (-3.64%), 24 Jun 2013 (-4.59%), 24 Jul 2013 (-4.16%), 06 Aug 2013 (14.86%)
2012101 Jun 2012 (12.49%)
2011709 Feb 2011 (19.95%), 22 Aug 2011 (14.19%), 03 Oct 2011 (12.65%), 17 Nov 2011 (-4.68%), 21 Nov 2011 (-5.1%), 16 Dec 2011 (-6.75%), 19 Dec 2011 (22.07%)
2009410 Feb 2009 (-12.26%), 24 Feb 2009 (36.58%), 30 Oct 2009 (-7.03%), 04 Nov 2009 (21.75%)
20082212 Feb 2008 (-8.61%), 07 Mar 2008 (-7.15%), 10 Mar 2008 (-8.05%), 14 Mar 2008 (-8.65%), 17 Mar 2008 (-10.48%), 24 Mar 2008 (37.57%), 29 May 2008 (-8.07%), 09 Jun 2008 (-9.51%), 26 Jun 2008 (-9.55%), 15 Jul 2008 (-8.67%), 16 Jul 2008 (-9.36%), 11 Sep 2008 (-6.15%), 15 Sep 2008 (-7.46%), 18 Sep 2008 (-7.2%), 26 Sep 2008 (-8.49%), 30 Sep 2008 (-9.07%), 06 Oct 2008 (-10.03%), 14 Oct 2008 (-14.17%), 16 Oct 2008 (-16.65%), 22 Oct 2008 (-17.89%), 27 Oct 2008 (-19.45%), 26 Nov 2008 (45.6%)
2007623 Feb 2007 (-4.29%), 28 Feb 2007 (-5.01%), 05 Mar 2007 (-5.63%), 06 Mar 2007 (20.18%), 25 Sep 2007 (-6.57%), 08 Oct 2007 (17.87%)
2006828 Apr 2006 (17.08%), 19 May 2006 (-6.51%), 22 May 2006 (-6.79%), 23 May 2006 (-7.07%), 31 May 2006 (-7.79%), 02 Jun 2006 (-8.51%), 08 Jun 2006 (-9.16%), 12 Dec 2006 (-3.81%)
2004122 Mar 2004 (-6.94%)
2003226 Mar 2003 (-4.0%), 31 Mar 2003 (-4.06%)
2001302 Feb 2001 (-3.65%), 05 Feb 2001 (-4.06%), 11 Jul 2001 (-4.45%)
1999124 Mar 1999 (-3.45%)
1998429 Sep 1998 (-3.59%), 15 Oct 1998 (-3.08%), 20 Oct 1998 (-3.01%), 11 Dec 1998 (-3.21%)
1997624 Feb 1997 (-4.58%), 25 Feb 1997 (15.42%), 10 Oct 1997 (-4.32%), 16 Oct 1997 (-4.59%), 17 Oct 1997 (-4.78%), 21 Oct 1997 (-5.14%)
1996919 Jan 1996 (17.84%), 28 Jun 1996 (-4.39%), 01 Jul 1996 (-4.95%), 02 Jul 1996 (15.7%), 15 Jul 1996 (17.98%), 03 Oct 1996 (-6.27%), 04 Oct 1996 (21.36%), 03 Dec 1996 (-8.19%), 10 Dec 1996 (23.95%)



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