Study: Buy CONCOR when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CONCOR 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 CONCOR 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
1-12518947173036.174033.3312141.59-6458.53-25215.990.620.35-0.08-2663.6
2-96446.5947222546.815644.1424109.4-8824.71-32537.710.640.56-0.044-2052.06
3-10700.5347232448.947105.0126086.96-7254.82-19394.440.980.94-0.0054-227.67
4-3551.8647262155.326172.828499.11-7811.65-24776.690.790.98-0.0018-75.57
57277.0747272057.456313.3221230.78-8159.13-36374.290.771.040.0032154.83
615786.5447281959.577019.5726474.23-9513.76-40915.050.741.090.0065335.88
712515.6947242351.069221.0321332.22-9077.78-48372.471.021.060.0048266.29
866163.7647232448.9411111.228942.55-7891.41-43353.821.411.350.0251407.74
935640.947272057.4510702.9333043.48-12666.91-56958.580.841.140.01758.32
102030.4147272057.4510062.9923790.15-13483.51-62360.170.751.010.000643.2
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
atrnil39.1112963683245928.9230160.6382518.81-10071.51-24164.252.991.220.0171561.88
atrtrail24.5862960.4189325735.9616252.2350115.25-8019.49-23475.752.031.140.011707.42
atrnil26.6526004.5185285732.9421226.5255012.54-9970.84-24164.252.131.050.0041305.94
atrtrail35.0220638.5889325735.9614929.6775172.88-8019.49-23475.751.861.050.0036231.89
atrtrail-15.83-8208889315834.8312167.9845465.33-7918.89-23475.751.540.82-0.017-922.34

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 28.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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.
CONCOR Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20201102 Mar 2020 (-3.91%), 04 Mar 2020 (-4.33%), 06 Mar 2020 (-4.75%), 09 Mar 2020 (-5.24%), 11 Mar 2020 (-5.62%), 12 Mar 2020 (-6.31%), 13 Mar 2020 (-7.53%), 16 Mar 2020 (-8.39%), 18 Mar 2020 (-10.55%), 25 Mar 2020 (37.59%), 10 Aug 2020 (-5.29%)
2019726 Feb 2019 (10.61%), 30 Jul 2019 (-2.44%), 02 Aug 2019 (-2.82%), 06 Aug 2019 (-2.99%), 07 Aug 2019 (-3.17%), 14 Aug 2019 (-3.12%), 19 Aug 2019 (9.21%)
2018306 Mar 2018 (-3.13%), 19 Mar 2018 (8.21%), 18 Jun 2018 (9.43%)
2016818 Jan 2016 (-3.96%), 03 Feb 2016 (-4.36%), 12 Feb 2016 (12.76%), 14 Sep 2016 (8.01%), 17 Nov 2016 (-3.58%), 21 Nov 2016 (-4.19%), 05 Dec 2016 (-3.89%), 19 Dec 2016 (9.42%)
2015425 Aug 2015 (-4.04%), 26 Aug 2015 (-4.14%), 04 Sep 2015 (-4.68%), 07 Sep 2015 (15.12%)
2013130 Jul 2013 (-4.01%)
20111308 Feb 2011 (-3.83%), 09 Feb 2011 (-4.03%), 11 Feb 2011 (12.22%), 23 May 2011 (-3.92%), 25 May 2011 (11.65%), 16 Aug 2011 (-3.96%), 17 Aug 2011 (-4.2%), 18 Aug 2011 (-4.38%), 14 Sep 2011 (-3.94%), 16 Sep 2011 (13.29%), 24 Nov 2011 (-3.15%), 19 Dec 2011 (-4.04%), 28 Dec 2011 (10.39%)
2010327 Aug 2010 (-3.26%), 25 Nov 2010 (-2.8%), 26 Nov 2010 (11.64%)
20081315 Jan 2008 (-3.49%), 16 Jan 2008 (-3.69%), 17 Jan 2008 (-4.09%), 18 Jan 2008 (13.49%), 22 Jan 2008 (16.4%), 03 Jun 2008 (-4.28%), 04 Jun 2008 (-4.68%), 05 Jun 2008 (-4.93%), 09 Jun 2008 (-5.21%), 12 Jun 2008 (15.95%), 10 Oct 2008 (-5.59%), 13 Oct 2008 (-6.17%), 27 Oct 2008 (-8.45%)
2007326 Feb 2007 (-3.53%), 07 Mar 2007 (12.76%), 28 Nov 2007 (12.45%)
2006116 Jan 2006 (11.61%)
2004314 May 2004 (-6.22%), 17 May 2004 (-8.2%), 31 May 2004 (32.9%)
2003207 Mar 2003 (-3.03%), 10 Mar 2003 (9.76%)
2002426 Jul 2002 (-3.85%), 20 Aug 2002 (-4.2%), 16 Sep 2002 (-4.72%), 17 Sep 2002 (15.83%)
2001102 Jul 2001 (41.26%)
2000207 Mar 2000 (-8.66%), 09 Mar 2000 (-10.06%)
1999319 Feb 1999 (-8.39%), 23 Feb 1999 (-8.71%), 20 Dec 1999 (-6.92%)
1998126 Nov 1998 (-12.08%)



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