Study: Buy JUBLFOOD when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy JUBLFOOD 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 JUBLFOOD 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
17715.2922101245.456643.4416685.87-4893.26-18544.671.361.130.015350.69
272974.182213959.099095.3316831.22-5029.46-11803.91.812.610.133317.01
378185.212214863.649549.9925031.79-6939.34-13692.261.382.410.123553.87
494019.732213959.0912185.5546667.17-7154.71-19383.621.72.460.14273.62
512537722121054.5516513.9969379.82-7279.05-20118.482.272.720.0995698.97
61219642213959.0915381.1569409.74-8665.69-23905.221.772.560.0975543.8
71010332214863.6413914.760387.52-11721.64-26229.751.192.080.0794592.39
81005652211115019999.0568766.36-10856.79-22515.261.841.840.074571.13
911872222121054.5518588.8665175.43-10434.39-15198.351.782.140.0895396.47
101488202213959.0919259.2168003.29-11283.31-18158.711.712.470.116764.54
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
JUBLFOOD Performance, X=5, Profit Factor:2.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019113 May 2019 (5.36%)
2018211 Sep 2018 (-1.56%), 27 Sep 2018 (-7.01%)
2016712 Jan 2016 (-10.06%), 11 Feb 2016 (-4.3%), 25 Feb 2016 (19.95%), 24 May 2016 (-2.81%), 19 Sep 2016 (-4.52%), 15 Nov 2016 (3.46%), 23 Dec 2016 (8.69%)
2015325 Aug 2015 (1.73%), 08 Sep 2015 (8.31%), 05 Nov 2015 (-1.91%)
2014414 Jan 2014 (0.79%), 28 Jan 2014 (-1.2%), 12 Feb 2014 (-2.17%), 30 Apr 2014 (3.09%)
2013224 Jan 2013 (2.47%), 13 Jun 2013 (-0.85%)
2011209 Feb 2011 (3.38%), 04 Oct 2011 (34.69%)
2010120 May 2010 (7.18%)

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
atrtrail34.9522712638211755.2615739.4446366.22-6082.48-11802.562.593.20.135977
atrtrail-16.3722602738211755.2615687.153205.74-6082.48-11802.562.583.190.135948.08
atrtrail24.3717539138211755.2613275.8630910.81-6082.48-11802.562.182.70.134615.55
atrnil26.4416772934161847.0619412.6431183.03-7937.43-11802.562.452.170.114933.19
atrnil38.7416780534122235.2929123.7746774.55-8258.17-11802.563.531.920.0844935.46

In the table above, row 1 shows the best exit criterion. Profit factor is 3.2. Strategy is very good and impressively bullish. Percentage of profitable trades is 55.26%, which is not acceptable. Avoid this strategy. Average return per trade is 2.99%, which is very good.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
JUBLFOOD Performance, Profit Factor:3.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019213 May 2019 (-2.87%), 14 May 2019 (9.27%)
2018511 Sep 2018 (-3.09%), 12 Sep 2018 (-0.12%), 24 Sep 2018 (-3.23%), 28 Sep 2018 (-4.18%), 04 Oct 2018 (0.03%)
20161412 Jan 2016 (-3.39%), 14 Jan 2016 (-3.59%), 15 Jan 2016 (-3.88%), 18 Jan 2016 (-4.27%), 20 Jan 2016 (3.89%), 11 Feb 2016 (-5.9%), 12 Feb 2016 (0.16%), 23 Feb 2016 (21.31%), 24 May 2016 (3.29%), 19 Sep 2016 (-4.04%), 20 Sep 2016 (0.93%), 29 Sep 2016 (12.64%), 15 Nov 2016 (4.28%), 23 Dec 2016 (10.71%)
2015425 Aug 2015 (1.41%), 07 Sep 2015 (5.12%), 05 Nov 2015 (-0.64%), 13 Nov 2015 (11.64%)
2014614 Jan 2014 (-2.15%), 27 Jan 2014 (-3.24%), 30 Jan 2014 (-0.34%), 06 Feb 2014 (-2.97%), 13 Feb 2014 (0.19%), 30 Apr 2014 (9.07%)
2013424 Jan 2013 (8.79%), 05 Feb 2013 (13.33%), 13 Jun 2013 (-3.79%), 18 Jun 2013 (11.7%)
2011209 Feb 2011 (8.99%), 04 Oct 2011 (23.18%)
2010120 May 2010 (5.31%)



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