Study: Buy KTKBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy KTKBANK 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 KTKBANK 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
1-84475.3554262848.153503.839626.96-6270.53-25403.030.560.52-0.056-1564.36
2-94439.7454213338.896322.916963.74-6885.47-20910.970.920.58-0.049-1748.88
3-12134554213338.897657.2121020.28-8549.9-32298.140.90.57-0.049-2247.13
4-66655.5554193535.1911604.3737906.14-8203.96-45859.211.410.77-0.022-1234.36
5-60605.6254213338.8912533.5846329.72-9812.45-48550.721.280.81-0.017-1122.33
6-60814.3454213338.8914604.8745246.69-11136.87-45962.731.310.83-0.016-1126.19
7-95805.954223240.7414810.6646387.83-13176.26-54658.391.120.77-0.023-1774.18
8-88069.4654233142.5915383.9171577.95-14254.82-49585.921.080.8-0.02-1630.92
9-12988454203437.0416692.7461596.96-13639.39-44616.981.220.72-0.03-2405.27
10-12313054203437.0417583.4370627.38-13964.66-47598.991.260.74-0.026-2280.18
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
atrtrail-15.51-56831.77117407734.1914903.1391613.47-8479.96-17566.581.760.91-0.0072-485.74
atrnil27.05-12633399287128.2822158.4434328.49-10517.87-21215.682.110.83-0.019-1276.09
atrtrail34.85-117362117407734.1913389.8749951.66-8479.96-17566.581.580.82-0.018-1003.09
atrnil38.44-16360499217821.2131906.5551410.14-10687.71-21215.682.990.8-0.021-1652.56
atrtrail24.31-139949117407734.1912825.1933812.29-8479.96-17566.581.510.79-0.022-1196.15

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 34.19%, which is not acceptable. Avoid this strategy. Average return per trade is -0.24%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KTKBANK Performance, Profit Factor:0.913

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019114 May 2019 (0.19%)
20181005 Feb 2018 (-3.85%), 06 Feb 2018 (1.05%), 22 Feb 2018 (1.77%), 07 Mar 2018 (-4.36%), 08 Mar 2018 (-4.63%), 12 Mar 2018 (1.6%), 28 Jun 2018 (0.17%), 24 Sep 2018 (-3.18%), 28 Sep 2018 (-1.58%), 05 Oct 2018 (0.6%)
2017327 Jul 2017 (-1.45%), 03 Aug 2017 (0.97%), 10 Aug 2017 (3.62%)
20161312 Jan 2016 (-2.89%), 13 Jan 2016 (-3.14%), 14 Jan 2016 (-3.78%), 15 Jan 2016 (0.36%), 20 Jan 2016 (-0.44%), 03 Feb 2016 (-2.49%), 10 Feb 2016 (-4.12%), 12 Feb 2016 (-0.53%), 25 Feb 2016 (17.43%), 26 Oct 2016 (-4.87%), 27 Oct 2016 (-3.26%), 03 Nov 2016 (-4.25%), 21 Nov 2016 (5.0%)
2015107 Sep 2015 (8.58%)
2014225 Sep 2014 (-0.95%), 01 Oct 2014 (-0.76%)
2013821 Jun 2013 (-6.34%), 25 Jun 2013 (-7.36%), 27 Jun 2013 (1.1%), 26 Jul 2013 (-5.84%), 30 Jul 2013 (-6.53%), 31 Jul 2013 (-7.61%), 01 Aug 2013 (-0.65%), 16 Aug 2013 (-3.37%)
2012609 May 2012 (-3.87%), 11 May 2012 (-4.07%), 14 May 2012 (-4.34%), 15 May 2012 (-3.76%), 30 May 2012 (14.09%), 28 Aug 2012 (0.01%)
20112131 Jan 2011 (-4.6%), 01 Feb 2011 (-5.2%), 03 Feb 2011 (-5.48%), 09 Feb 2011 (-5.86%), 10 Feb 2011 (6.49%), 25 Feb 2011 (2.5%), 17 Mar 2011 (14.34%), 01 Aug 2011 (-3.15%), 05 Aug 2011 (-4.01%), 08 Aug 2011 (-4.34%), 09 Aug 2011 (-1.82%), 16 Aug 2011 (-4.66%), 17 Aug 2011 (-4.97%), 19 Aug 2011 (-1.97%), 26 Aug 2011 (5.58%), 26 Sep 2011 (-3.82%), 03 Oct 2011 (0.06%), 16 Nov 2011 (-4.25%), 19 Dec 2011 (-4.59%), 23 Dec 2011 (-3.39%), 28 Dec 2011 (13.6%)
2010505 Feb 2010 (-2.58%), 09 Feb 2010 (-0.14%), 23 Feb 2010 (10.54%), 26 Nov 2010 (6.13%), 09 Dec 2010 (9.81%)
2009424 Feb 2009 (-4.11%), 26 Feb 2009 (-2.73%), 02 Mar 2009 (0.44%), 09 Mar 2009 (17.58%)
20082117 Mar 2008 (-6.36%), 18 Mar 2008 (-2.66%), 12 Jun 2008 (-4.71%), 16 Jun 2008 (-1.24%), 20 Jun 2008 (-5.1%), 23 Jun 2008 (-5.47%), 25 Jun 2008 (-5.68%), 30 Jun 2008 (-5.81%), 01 Jul 2008 (1.08%), 03 Jul 2008 (1.87%), 15 Jul 2008 (-6.59%), 30 Sep 2008 (-4.51%), 06 Oct 2008 (-6.52%), 07 Oct 2008 (-7.04%), 08 Oct 2008 (-7.63%), 10 Oct 2008 (-7.51%), 16 Oct 2008 (-8.78%), 23 Oct 2008 (8.27%), 19 Nov 2008 (-8.03%), 20 Nov 2008 (-5.8%), 02 Dec 2008 (11.57%)
2006122 May 2006 (13.92%)
2005418 Apr 2005 (1.95%), 19 Oct 2005 (-5.49%), 20 Oct 2005 (-4.18%), 27 Oct 2005 (11.86%)
2004714 May 2004 (-8.44%), 17 May 2004 (2.97%), 31 May 2004 (-3.45%), 23 Jun 2004 (2.32%), 13 Aug 2004 (-1.93%), 20 Aug 2004 (-3.01%), 23 Aug 2004 (14.52%)
2003111 Feb 2003 (3.7%)
2002920 May 2002 (-6.59%), 21 May 2002 (45.81%), 29 Jul 2002 (-4.93%), 13 Aug 2002 (28.72%), 25 Oct 2002 (-3.15%), 28 Oct 2002 (-2.71%), 05 Nov 2002 (-3.31%), 08 Nov 2002 (-3.86%), 12 Nov 2002 (5.89%)



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