Study: Buy INDIACEM when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy INDIACEM 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 INDIACEM 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
1-42950.8576364047.375728.5125777.04-6229.43-24678.110.920.83-0.014-565.14
2-10041476344244.749013.7325708.29-9687.63-45064.380.930.75-0.022-1321.23
3-36821.6976314540.7912571.339506.82-9478.49-31726.281.330.91-0.0074-484.5
415517.7176364047.3712729.1736191.97-11068.31-27682.741.151.040.0029204.18
514211076364047.3714538.3745695.36-9531.78-32252.71.531.370.0261869.87
61384717638385015054.2971557.38-11410.31-32917.711.321.320.0211821.99
710904876354146.0517966.3486147.54-12677.4-38320.861.421.210.0141434.85
810873276344244.7419511.27111557-13205.98-37187.351.481.20.0131430.69
913168976344244.7420830.26107377-13727.14-39732.141.521.230.0151732.75
1011908676334343.4221914.83100820-14048.91-33317.61.561.20.0131566.93
Although, strategy looks good but profit factor on day 2 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
atrnil25.45249735139489134.5325941.4460487.37-10939.06-23606.352.371.250.0191796.65
atrtrail23.85147683156579936.5418547.2754208.92-9186.98-22688.432.021.160.012946.69
atrnil39.699564.81313010122.940082.8690731.06-10920.01-26174.693.671.090.0067760.04
atrtrail34.6341230.2155569936.1316882.181313.38-9133-22688.431.851.050.0033266
atrtrail-15.0411856.43155569936.1316357.5786811.87-9133-22688.431.791.010.0009676.49

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 34.53%, which is not acceptable. Avoid this strategy. Average return per trade is 0.9%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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.
INDIACEM Performance, Profit Factor:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Jan 2019 (7.27%)
2018902 Feb 2018 (-5.39%), 06 Feb 2018 (-5.68%), 24 May 2018 (8.3%), 04 Jun 2018 (-4.98%), 05 Jun 2018 (-5.22%), 20 Jun 2018 (-4.41%), 28 Jun 2018 (9.59%), 08 Oct 2018 (-6.91%), 23 Oct 2018 (13.42%)
2017110 Aug 2017 (9.76%)
2016315 Nov 2016 (-6.68%), 18 Nov 2016 (-6.76%), 21 Nov 2016 (16.0%)
2015327 Mar 2015 (10.97%), 08 Jun 2015 (10.24%), 24 Aug 2015 (13.11%)
2014627 Jan 2014 (-3.84%), 29 Jan 2014 (8.69%), 09 Dec 2014 (-5.7%), 12 Dec 2014 (-6.13%), 15 Dec 2014 (-6.8%), 17 Dec 2014 (14.22%)
2013823 May 2013 (-5.24%), 24 May 2013 (-5.61%), 31 May 2013 (-5.43%), 11 Jun 2013 (-5.47%), 24 Jun 2013 (-5.05%), 26 Jun 2013 (11.63%), 30 Jul 2013 (-6.36%), 02 Aug 2013 (15.65%)
2012211 May 2012 (-5.9%), 22 May 2012 (11.79%)
20111101 Feb 2011 (-3.92%), 02 Feb 2011 (-4.36%), 16 May 2011 (-3.45%), 17 May 2011 (-3.79%), 20 Jun 2011 (-3.51%), 22 Jun 2011 (-3.89%), 23 Jun 2011 (-4.26%), 24 Jun 2011 (8.93%), 05 Aug 2011 (-4.46%), 08 Aug 2011 (-4.6%), 09 Aug 2011 (9.63%)
2010227 Jan 2010 (8.13%), 21 May 2010 (-4.25%)
2009422 Oct 2009 (-3.26%), 26 Oct 2009 (-3.69%), 27 Oct 2009 (-3.93%), 03 Nov 2009 (10.86%)
20081121 Jan 2008 (-10.14%), 22 Jan 2008 (-11.8%), 13 May 2008 (10.94%), 30 Jun 2008 (-6.82%), 01 Jul 2008 (17.25%), 07 Oct 2008 (-7.82%), 08 Oct 2008 (-8.31%), 10 Oct 2008 (18.48%), 17 Oct 2008 (-10.08%), 23 Oct 2008 (-10.34%), 24 Oct 2008 (24.45%)
2007412 Feb 2007 (-5.06%), 14 Feb 2007 (-5.2%), 01 Mar 2007 (-7.52%), 05 Mar 2007 (-8.57%)
2006208 Jun 2006 (30.24%), 12 Dec 2006 (11.49%)
2005227 Oct 2005 (-6.14%), 28 Oct 2005 (13.48%)
2004222 Mar 2004 (13.57%), 23 Jun 2004 (14.43%)
2003727 Jan 2003 (-3.58%), 10 Feb 2003 (-3.43%), 14 Feb 2003 (7.06%), 10 Mar 2003 (-4.09%), 17 Mar 2003 (-4.03%), 25 Mar 2003 (-3.78%), 31 Mar 2003 (8.29%)
2002829 Jul 2002 (-5.0%), 30 Jul 2002 (-6.07%), 31 Jul 2002 (-6.49%), 26 Aug 2002 (-6.46%), 28 Aug 2002 (13.62%), 25 Sep 2002 (-5.26%), 10 Oct 2002 (-4.45%), 28 Oct 2002 (7.01%)
20011009 Mar 2001 (-9.6%), 12 Mar 2001 (-11.34%), 13 Mar 2001 (26.17%), 02 Apr 2001 (24.18%), 21 Jun 2001 (-5.51%), 25 Jun 2001 (-5.77%), 28 Jun 2001 (12.37%), 12 Sep 2001 (-4.54%), 14 Sep 2001 (-5.23%), 17 Sep 2001 (12.07%)
2000402 May 2000 (-10.74%), 04 May 2000 (-11.32%), 22 May 2000 (20.79%), 18 Oct 2000 (10.33%)
19981109 Feb 1998 (10.96%), 07 Aug 1998 (-3.97%), 11 Aug 1998 (-4.28%), 18 Aug 1998 (-4.12%), 05 Oct 1998 (-5.23%), 06 Oct 1998 (-5.9%), 12 Oct 1998 (-6.92%), 16 Oct 1998 (-6.67%), 27 Oct 1998 (13.8%), 28 Oct 1998 (-7.26%), 05 Nov 1998 (12.97%)
19971003 Feb 1997 (-7.26%), 05 Feb 1997 (16.32%), 13 Nov 1997 (-3.93%), 17 Nov 1997 (-4.36%), 18 Nov 1997 (-4.8%), 04 Dec 1997 (-4.11%), 08 Dec 1997 (-4.04%), 11 Dec 1997 (-4.59%), 18 Dec 1997 (-4.77%), 22 Dec 1997 (10.12%)
19961724 Jan 1996 (27.1%), 01 Aug 1996 (-3.14%), 06 Aug 1996 (-3.08%), 13 Aug 1996 (5.47%), 13 Sep 1996 (-2.69%), 24 Sep 1996 (-2.98%), 27 Sep 1996 (-2.95%), 01 Oct 1996 (-3.34%), 04 Oct 1996 (-3.87%), 07 Oct 1996 (-4.39%), 08 Oct 1996 (8.97%), 05 Nov 1996 (8.65%), 20 Nov 1996 (-3.71%), 25 Nov 1996 (-3.7%), 26 Nov 1996 (-4.03%), 29 Nov 1996 (-4.2%), 03 Dec 1996 (9.26%)
1995112 Jul 1995 (4.58%)



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