Study: Buy JSWSTEEL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy JSWSTEEL 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 JSWSTEEL 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
158254.1335221362.866842.2325292.74-7098.08-20170.790.961.630.0481664.4
219454.5635191654.297797.7620995.42-8043.93-25928.320.971.150.014555.84
3-37664.5635171848.578244.5224383.09-9878.96-26284.350.830.79-0.024-1076.13
454905.2935191654.2913869.8100024-13038.81-33715.221.061.260.0191568.72
527251.5835201557.1412638.46104667-15034.51-42897.750.841.120.0089778.62
612724635201557.1417429.65140386-14756.5-58368.511.181.570.0333635.59
71561663521146019157.28130320-17581.21-80230.861.091.630.0394461.88
883356.9235181751.4319866.1893867.58-16131.43-92927.91.231.30.0232381.63
938463.9735191654.2918765.8378670.9-19880.43-98906.020.941.120.011098.97
1017033035191654.2925855.87102956-20058.2-97010.941.291.530.0384866.58
Although, strategy looks good but profit factor on day 3 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
atrnil38.7410296.262134920.9749235.63112750-12852.39-34514.373.831.020.0015166.07
atrtrail34.45-37219.5671254635.2118589.7113459-10912.22-34267.951.70.93-0.0065-524.22
atrnil25.58-43924.1962174527.4231341.0675166.83-12816.05-34514.372.450.92-0.0084-708.45
atrtrail-15.08-44608.1171254635.2118294.1696702.59-10912.22-34267.951.680.91-0.008-628.28
atrtrail23.94-45243.3471254635.2118268.7575639.18-10912.22-34267.951.670.91-0.0092-637.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 20.97%, which is not acceptable. Avoid this strategy. Average return per trade is 0.083%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0015, 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.
JSWSTEEL Performance, Profit Factor:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019430 Jul 2019 (-4.67%), 02 Aug 2019 (-4.99%), 05 Aug 2019 (-5.22%), 28 Aug 2019 (14.39%)
2018327 Nov 2018 (-3.83%), 07 Dec 2018 (-3.71%), 14 Dec 2018 (-3.81%)
2015114 Jan 2015 (-3.42%)
2014303 Feb 2014 (-3.74%), 13 Feb 2014 (11.76%), 16 Dec 2014 (-3.62%)
2013604 Mar 2013 (-4.02%), 19 Mar 2013 (-4.03%), 20 Mar 2013 (-4.2%), 22 Mar 2013 (-4.67%), 16 Jul 2013 (-3.95%), 30 Jul 2013 (-4.3%)
20111310 Jan 2011 (-5.46%), 11 Jan 2011 (-5.9%), 08 Feb 2011 (-6.42%), 09 Feb 2011 (21.24%), 23 Jun 2011 (9.15%), 29 Jul 2011 (-3.95%), 01 Aug 2011 (-5.12%), 03 Aug 2011 (-5.37%), 08 Aug 2011 (-5.96%), 10 Aug 2011 (-6.23%), 26 Aug 2011 (19.15%), 28 Sep 2011 (-6.14%), 20 Dec 2011 (22.99%)
2010126 Nov 2010 (-4.61%)
2009129 Oct 2009 (-5.17%)
20082021 Jan 2008 (-8.33%), 22 Jan 2008 (29.99%), 24 Mar 2008 (-9.04%), 04 Apr 2008 (26.36%), 01 Jul 2008 (-8.91%), 03 Jul 2008 (-9.66%), 10 Sep 2008 (-5.43%), 15 Sep 2008 (-5.53%), 18 Sep 2008 (-6.26%), 24 Sep 2008 (-6.27%), 29 Sep 2008 (-7.32%), 30 Sep 2008 (-7.87%), 03 Oct 2008 (-9.54%), 06 Oct 2008 (-11.91%), 07 Oct 2008 (-13.75%), 08 Oct 2008 (-15.06%), 10 Oct 2008 (-15.28%), 16 Oct 2008 (-17.26%), 24 Oct 2008 (56.38%), 24 Nov 2008 (53.05%)
2007217 Aug 2007 (-6.46%), 21 Aug 2007 (21.61%)
2006128 Jul 2006 (21.23%)
2005708 Jun 2005 (-3.84%), 14 Jun 2005 (-3.81%), 27 Jun 2005 (-3.76%), 28 Jun 2005 (12.74%), 18 Oct 2005 (-4.69%), 20 Oct 2005 (-6.05%), 25 Oct 2005 (-6.36%)



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