Study: Buy LICHSGFIN when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy LICHSGFIN 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 LICHSGFIN 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
1-24805.5363352855.564205.8913783.4-6143.27-33757.960.680.86-0.011-393.74
2-56962.6163352855.564721.8511808.39-7936.69-26088.680.590.74-0.022-904.17
31596.8163313249.217955.3321371.61-7656.82-25559.871.041.010.0005225.35
466717.2863303347.6210959.0251926.86-7941.01-43714.541.381.250.0161059
514206463352855.5612308.6873699.02-10312.15-27412.731.191.490.0292254.98
617331363362757.1413139.6565654.01-11100.53-31622.181.181.580.0352751
720116663362757.1413387.4860615.38-10399.39-29378.531.291.720.043193.11
819700163372658.7313710.0362153.85-11933.48-35010.271.151.630.0363126.99
927869063342953.9717195.3185682.14-10550.02-30734.461.631.910.0444423.65
1026169063352855.561791576923.08-13047.66-29830.511.371.720.0414153.82
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
atrtrail34.37266233128488037.517507.3876633.81-7176.52-17996.622.441.460.0262079.95
atrtrail-15.17247963128488037.517126.7578620.83-7176.52-17996.622.391.430.0251937.21
atrtrail23.75193194129498037.9815659.4951089.2-7176.52-17996.622.181.340.0231497.63
atrnil38.66229303114328228.0731012.5476633.81-9306.08-17996.623.331.30.0212011.43
atrnil25.18138682119427735.2920367.5151089.2-9308.48-17996.622.191.190.0151165.4

In the table above, row 1 shows the best exit criterion. Profit factor is 1.46. 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 37.5%, which is not acceptable. Avoid this strategy. Average return per trade is 1.04%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
LICHSGFIN Performance, Profit Factor:1.46

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019706 Aug 2019 (-0.35%), 21 Aug 2019 (-3.67%), 22 Aug 2019 (-0.85%), 28 Aug 2019 (-2.79%), 04 Sep 2019 (-4.46%), 05 Sep 2019 (-1.19%), 18 Sep 2019 (11.5%)
20181302 Feb 2018 (-2.82%), 05 Feb 2018 (-2.92%), 06 Feb 2018 (2.56%), 08 Mar 2018 (8.88%), 17 May 2018 (-2.46%), 18 May 2018 (-2.6%), 24 May 2018 (3.76%), 11 Sep 2018 (-1.61%), 18 Sep 2018 (-3.0%), 21 Sep 2018 (-4.05%), 24 Sep 2018 (-2.2%), 27 Sep 2018 (-4.48%), 05 Oct 2018 (2.65%)
2017831 Jul 2017 (-2.26%), 04 Aug 2017 (-2.18%), 10 Aug 2017 (-2.12%), 22 Aug 2017 (8.26%), 27 Sep 2017 (7.96%), 09 Nov 2017 (1.31%), 06 Dec 2017 (-0.18%), 13 Dec 2017 (-0.33%)
2016211 Feb 2016 (1.04%), 15 Nov 2016 (15.3%)
20131114 Feb 2013 (-3.26%), 15 Feb 2013 (-3.27%), 21 Feb 2013 (0.03%), 28 Feb 2013 (-1.85%), 21 Mar 2013 (5.46%), 08 Jul 2013 (1.82%), 25 Jul 2013 (-5.0%), 29 Jul 2013 (-5.33%), 30 Jul 2013 (-5.73%), 31 Jul 2013 (-2.94%), 06 Aug 2013 (6.35%)
2011210 Jan 2011 (-5.16%), 14 Jan 2011 (16.33%)
2010627 Jan 2010 (-3.58%), 24 Nov 2010 (-6.12%), 25 Nov 2010 (-6.91%), 26 Nov 2010 (5.01%), 08 Dec 2010 (-6.89%), 09 Dec 2010 (5.9%)
2008621 Jan 2008 (-9.0%), 22 Jan 2008 (38.32%), 07 Oct 2008 (-6.42%), 08 Oct 2008 (-7.03%), 10 Oct 2008 (24.28%), 27 Oct 2008 (37.62%)
2007423 Feb 2007 (-1.75%), 28 Feb 2007 (-3.29%), 05 Mar 2007 (-4.25%), 06 Mar 2007 (9.49%)
2006619 May 2006 (-7.34%), 22 May 2006 (-0.72%), 08 Jun 2006 (-5.76%), 14 Jun 2006 (10.04%), 19 Jul 2006 (7.14%), 12 Dec 2006 (11.15%)
2005324 Jun 2005 (-3.82%), 27 Jun 2005 (-4.59%), 28 Jun 2005 (14.92%)
2004824 Feb 2004 (1.77%), 18 Mar 2004 (-5.08%), 22 Mar 2004 (17.7%), 11 May 2004 (-4.28%), 13 May 2004 (-4.51%), 14 May 2004 (-5.91%), 17 May 2004 (9.17%), 31 May 2004 (3.01%)
2002720 May 2002 (-3.79%), 21 May 2002 (13.45%), 23 Oct 2002 (-1.54%), 07 Nov 2002 (-2.98%), 11 Nov 2002 (-3.11%), 13 Nov 2002 (-2.79%), 18 Nov 2002 (10.17%)
2001213 Mar 2001 (-0.38%), 17 Sep 2001 (0.27%)
1999323 Sep 1999 (-4.7%), 28 Sep 1999 (-4.59%), 30 Sep 1999 (2.9%)
1998617 Feb 1998 (18.11%), 05 Oct 1998 (-4.54%), 06 Oct 1998 (-2.04%), 09 Oct 1998 (-5.19%), 13 Oct 1998 (1.93%), 20 Oct 1998 (5.27%)
19971524 Feb 1997 (11.72%), 26 Jun 1997 (-4.09%), 30 Jun 1997 (12.41%), 29 Sep 1997 (-4.17%), 09 Oct 1997 (-3.26%), 13 Oct 1997 (-4.83%), 14 Oct 1997 (-1.0%), 20 Oct 1997 (-3.52%), 24 Oct 1997 (-4.96%), 28 Oct 1997 (3.07%), 06 Nov 1997 (-5.22%), 10 Nov 1997 (-5.43%), 17 Nov 1997 (-0.38%), 19 Dec 1997 (-2.44%), 23 Dec 1997 (0.71%)
19961023 Jan 1996 (-4.55%), 24 Jan 1996 (-4.82%), 25 Jan 1996 (15.41%), 19 Aug 1996 (-5.29%), 20 Aug 1996 (3.28%), 29 Oct 1996 (-3.68%), 04 Nov 1996 (-3.72%), 05 Nov 1996 (1.05%), 03 Dec 1996 (-4.18%), 04 Dec 1996 (14.04%)
1995927 Apr 1995 (-0.14%), 22 Jun 1995 (-2.87%), 27 Jun 1995 (-1.58%), 03 Jul 1995 (10.03%), 30 Aug 1995 (0.08%), 11 Sep 1995 (-0.95%), 12 Oct 1995 (-4.02%), 13 Oct 1995 (2.08%), 21 Nov 1995 (5.5%)



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