Study: Buy CUMMINSIND when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy CUMMINSIND 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 CUMMINSIND 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
1-2105.9259312852.544440.0716008.77-4991.01-320000.890.98-0.0011-35.69
2-32352.2859293049.155127.9814904.86-6035.46-24486.730.850.82-0.015-548.34
3-33206.0459253442.377127.9221428.57-6217.76-21035.471.150.84-0.013-562.81
4-74192.4959273245.76754920779.22-8687.98-28105.730.870.73-0.024-1257.5
5-14461559213835.598753.122876.83-8642.9-250001.010.56-0.047-2451.11
6-95611.6259283147.468762.9330167.6-10999.15-31012.190.80.72-0.025-1620.54
7-49884.1359283147.469983.4441340.78-10626.47-34700.580.940.85-0.013-845.49
8-98591.9559233638.9811326.3435709.06-9974.94-30757.821.140.73-0.025-1671.05
9-10395959273245.7610371.9631317.83-12000.05-38897.720.860.73-0.025-1762.01
10-86290.9259283147.4610059.3530628.65-11869.44-42289.350.850.77-0.021-1462.56

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 52.54%, which is not acceptable. Avoid this strategy. Average return per trade is -0.018%, 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
atrnil27.5630562.52107347331.7819883.441973.34-8842.1-19854.242.251.050.004285.63
nilnil-11-2105.9259312852.544440.0716008.77-4991.01-320000.890.98-0.0011-35.69
atrnil311.76-82482.39102237922.5527903.8162960.01-9167.97-20965.493.040.89-0.01-808.65
atrtrail34.98-117986117348329.0612789.4235383.82-6660.56-18543.931.920.79-0.019-1008.43
atrtrail24.38-136547118358329.6611934.8541930.98-6677.91-18543.931.790.75-0.023-1157.17
atrtrail-15.45-143679117348329.0612033.7348771.6-6660.56-18543.931.810.74-0.023-1228.03

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 31.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.14%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.004, 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.
CUMMINSIND Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019811 Feb 2019 (-3.72%), 14 Feb 2019 (-3.77%), 18 Feb 2019 (7.89%), 02 Aug 2019 (-3.56%), 07 Aug 2019 (-3.7%), 08 Aug 2019 (-4.6%), 20 Aug 2019 (-4.06%), 22 Aug 2019 (7.96%)
20181002 Feb 2018 (-3.44%), 05 Feb 2018 (-3.65%), 06 Feb 2018 (-3.87%), 07 Mar 2018 (-3.01%), 19 Mar 2018 (-2.89%), 22 Mar 2018 (-2.91%), 27 Mar 2018 (-3.15%), 28 Mar 2018 (6.83%), 04 Jun 2018 (-3.26%), 28 Jun 2018 (5.66%)
2017114 Nov 2017 (-2.32%)
2016619 Jan 2016 (-3.3%), 20 Jan 2016 (-3.67%), 21 Jan 2016 (7.73%), 29 Feb 2016 (9.43%), 27 May 2016 (7.85%), 15 Nov 2016 (-3.42%)
2013723 May 2013 (-3.05%), 30 May 2013 (-3.04%), 08 Jul 2013 (6.56%), 25 Jul 2013 (-3.56%), 29 Jul 2013 (-3.68%), 02 Aug 2013 (-4.48%), 05 Aug 2013 (-4.95%)
2012214 May 2012 (-3.66%), 22 May 2012 (9.69%)
20111004 Feb 2011 (-4.48%), 07 Feb 2011 (-4.65%), 10 Feb 2011 (9.52%), 01 Aug 2011 (-2.88%), 03 Aug 2011 (6.06%), 04 Aug 2011 (-3.43%), 05 Aug 2011 (-3.6%), 18 Aug 2011 (-4.21%), 11 Nov 2011 (-3.97%), 16 Nov 2011 (9.25%)
2009329 Jan 2009 (-7.97%), 20 Feb 2009 (-5.24%), 26 Feb 2009 (10.37%)
20081416 Jan 2008 (-4.25%), 18 Jan 2008 (-5.17%), 21 Jan 2008 (-5.84%), 22 Jan 2008 (-7.29%), 17 Mar 2008 (16.51%), 13 May 2008 (-4.81%), 12 Jun 2008 (-4.91%), 23 Jun 2008 (-4.56%), 25 Jun 2008 (-4.62%), 26 Jun 2008 (9.92%), 03 Jul 2008 (11.71%), 23 Oct 2008 (-8.46%), 27 Oct 2008 (-9.27%), 29 Oct 2008 (20.97%)
2006418 May 2006 (-6.85%), 19 May 2006 (-8.13%), 22 May 2006 (-9.93%), 08 Jun 2006 (20.99%)
2005418 Mar 2005 (-3.19%), 22 Mar 2005 (-3.2%), 29 Mar 2005 (6.52%), 20 Oct 2005 (11.25%)
2004104 Feb 2004 (11.95%)
2002429 Jul 2002 (10.58%), 13 Sep 2002 (-3.0%), 20 Sep 2002 (-2.84%), 03 Oct 2002 (5.81%)
2001512 Mar 2001 (-7.46%), 13 Mar 2001 (19.2%), 23 Jul 2001 (-3.92%), 26 Jul 2001 (9.68%), 15 Oct 2001 (8.25%)
20001124 Feb 2000 (-5.3%), 02 Mar 2000 (-6.17%), 03 Mar 2000 (-6.81%), 09 Mar 2000 (15.5%), 19 Sep 2000 (-4.91%), 21 Sep 2000 (-5.31%), 27 Sep 2000 (-4.98%), 03 Oct 2000 (-4.8%), 11 Oct 2000 (-4.59%), 13 Oct 2000 (-4.68%), 19 Oct 2000 (9.75%)
1999218 Oct 1999 (-4.23%), 27 Oct 1999 (8.57%)
1998728 Jan 1998 (-4.28%), 12 Feb 1998 (-3.54%), 13 Feb 1998 (-3.69%), 18 Feb 1998 (7.78%), 22 Jun 1998 (12.29%), 23 Jul 1998 (-4.9%), 24 Jul 1998 (-5.55%)
1997324 Oct 1997 (-2.68%), 27 Oct 1997 (-3.06%), 28 Oct 1997 (6.84%)
1996107 Oct 1996 (3.68%)
1995413 Nov 1995 (-1.9%), 20 Nov 1995 (-1.92%), 21 Nov 1995 (-2.58%), 22 Nov 1995 (5.46%)



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