Study: Buy GMRINFRA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy GMRINFRA 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 GMRINFRA 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
1-59810.1739211853.854806.3915115.01-8930.25-33390.620.540.63-0.043-1533.59
215008.6439201951.289555.7431946.87-9268.74-46746.871.031.090.0079384.84
342964.2939211853.859797.0639496.68-9042.99-30395.291.081.260.0231101.65
412725.9239231658.979416.5839886.04-12740.96-40756.20.741.060.0062326.31
561049.8539211853.8511829.1849002.85-10409.06-26385.481.141.330.0281565.38
6-46751.3139192048.7212957.2350142.45-14646.93-42471.80.880.84-0.018-1198.75
7-27604.939182146.1515488.1256903.18-14590.05-41589.011.060.91-0.0095-707.82
8-1495.9639192048.7215004.9647326.11-14329.51-30459.311.050.99-0.00055-38.36
949907.9439201951.2816847.346906.68-15107.26-40510.051.121.170.0171279.69
1071919.539172243.5923485.1580831.83-14878.55-42247.191.581.220.021844.09
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
atrnil38.8473927.174185624.3240884.390843.85-11821.26-24876.053.461.110.012999.01
atrnil25.6918468.3175235230.6727571.1360562.56-11839.76-24876.052.331.030.0035246.24
atrtrail23.83-57476.8180275333.7515836.4650879.27-9152.1-25323.311.730.88-0.014-718.46
atrtrail-14.64-74487.3380265432.515882.3596085.06-9026.45-25323.311.760.85-0.016-931.09
atrtrail34.35-12484480265432.513945.5547619.39-9026.45-25323.311.540.74-0.032-1560.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 24.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.5%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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.
GMRINFRA Performance, Profit Factor:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Feb 2019 (-4.3%), 07 May 2019 (-4.1%), 13 May 2019 (12.71%)
2016218 Jan 2016 (-6.19%), 11 Feb 2016 (22.49%)
2015720 Mar 2015 (16.95%), 03 Jun 2015 (-5.8%), 12 Jun 2015 (17.57%), 24 Aug 2015 (-6.45%), 25 Aug 2015 (-6.92%), 06 Nov 2015 (-4.88%), 10 Nov 2015 (14.97%)
2014830 Jan 2014 (15.62%), 11 Jul 2014 (-7.96%), 16 Sep 2014 (-5.79%), 24 Sep 2014 (-7.09%), 25 Sep 2014 (22.92%), 02 Dec 2014 (-4.78%), 15 Dec 2014 (-5.14%), 16 Dec 2014 (18.16%)
2013824 Jun 2013 (-5.14%), 25 Jun 2013 (-5.44%), 17 Jul 2013 (-4.94%), 29 Jul 2013 (-5.65%), 30 Jul 2013 (-6.48%), 31 Jul 2013 (-7.2%), 02 Aug 2013 (-7.98%), 06 Aug 2013 (25.81%)
2012709 May 2012 (-6.98%), 11 May 2012 (-7.4%), 18 May 2012 (22.39%), 23 Aug 2012 (-4.74%), 27 Aug 2012 (15.95%), 20 Nov 2012 (-5.83%), 29 Nov 2012 (15.87%)
20111511 Jan 2011 (-4.61%), 01 Feb 2011 (-4.01%), 08 Feb 2011 (-6.56%), 09 Feb 2011 (-8.35%), 23 May 2011 (-3.77%), 21 Jun 2011 (-3.72%), 28 Jul 2011 (-2.87%), 18 Aug 2011 (-5.26%), 25 Aug 2011 (17.35%), 15 Nov 2011 (-5.73%), 16 Nov 2011 (-6.39%), 18 Nov 2011 (-6.69%), 21 Nov 2011 (-6.99%), 25 Nov 2011 (-7.18%), 09 Dec 2011 (21.45%)
20101125 Jan 2010 (-3.37%), 27 Jan 2010 (-3.65%), 04 Feb 2010 (-4.55%), 05 Feb 2010 (15.23%), 20 Oct 2010 (-2.97%), 15 Nov 2010 (-2.79%), 16 Nov 2010 (-3.05%), 18 Nov 2010 (-3.29%), 23 Nov 2010 (-3.58%), 25 Nov 2010 (-4.05%), 26 Nov 2010 (-5.09%)
2009129 Oct 2009 (18.24%)
20081218 Jan 2008 (-5.57%), 21 Jan 2008 (-8.47%), 22 Jan 2008 (-11.47%), 04 Jun 2008 (-6.72%), 09 Jun 2008 (-7.1%), 10 Jun 2008 (-7.67%), 23 Jun 2008 (-7.76%), 27 Jun 2008 (-8.41%), 30 Jun 2008 (28.88%), 08 Oct 2008 (-9.72%), 10 Oct 2008 (-12.44%), 27 Oct 2008 (45.42%)



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