Study: Buy MCDOWELL-N when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MCDOWELL-N 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 MCDOWELL-N 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
1-45166.3143241955.815669.2920000-9538.38-42334.460.590.75-0.022-1050.38
239068.1743261760.478767.1342028.99-11110.42-33256.010.791.210.016908.56
316580843271662.7912300.3546763.29-10393.82-25126.531.1820.0643856
413640743261760.4713297.7645948.95-12313.79-38517.51.081.650.0473172.26
515383443271662.7914442.3442995.17-14756.81-59468.580.981.650.0443577.54
610983943251858.1415272.447051.53-15109.52-67608.61.011.40.0282554.39
748563.4843222151.1616108.3648599.03-14562.88-57389.511.111.160.0131129.38
860271.6343241955.8115134.8350821.26-15945.49-56169.650.951.20.0161401.67
954806.1443222151.1616704.6261062.8-14890.27-48963.121.121.180.0141274.56
1013103343222151.1619591.9975072.46-14285.29-41400.021.371.440.0313047.27
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
atrnil39.013987867524513239603.0898692.22-10817.42-27917.083.661.720.0485317.14
atrtrail-15.6525363984325238.122143.31186359-8748.97-26478.472.531.560.0283019.51
atrtrail34.8214170984325238.118645.4898692.22-8748.97-26478.472.131.310.0221687.01
atrtrail23.8512796084325238.118215.8465794.81-8748.97-26478.472.081.280.0231523.34
atrnil25.3112809575264934.6725554.0665794.81-10945.11-27917.082.331.240.0211707.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 32%, which is not acceptable. Avoid this strategy. Average return per trade is 2.66%, which is very good. Sharpe Ratio is 0.048, 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.
MCDOWELL-N Performance, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 Jan 2019 (-3.37%)
2018902 Feb 2018 (-4.08%), 06 Feb 2018 (-4.47%), 18 Jul 2018 (13.22%), 21 Sep 2018 (-4.18%), 24 Sep 2018 (-4.39%), 01 Oct 2018 (-4.55%), 04 Oct 2018 (-4.64%), 05 Oct 2018 (-4.85%), 09 Oct 2018 (15.08%)
2017110 Apr 2017 (9.96%)
2016718 Jan 2016 (-3.63%), 01 Feb 2016 (-5.18%), 03 Nov 2016 (-3.25%), 04 Nov 2016 (-3.52%), 09 Nov 2016 (-4.3%), 15 Nov 2016 (-4.55%), 21 Nov 2016 (13.57%)
2015124 Aug 2015 (-3.73%)
2014314 Feb 2014 (10.21%), 30 Jun 2014 (-3.79%), 09 Jul 2014 (11.31%)
2012202 Jan 2012 (20.92%), 06 Mar 2012 (24.54%)
20111710 Jan 2011 (-5.14%), 02 Feb 2011 (-5.21%), 04 Feb 2011 (-5.29%), 08 Feb 2011 (-5.6%), 09 Feb 2011 (-6.08%), 10 Feb 2011 (20.6%), 15 Jun 2011 (-3.03%), 16 Jun 2011 (-3.21%), 20 Jun 2011 (-3.24%), 21 Jun 2011 (-3.54%), 08 Aug 2011 (-3.89%), 09 Aug 2011 (-4.06%), 20 Sep 2011 (-4.93%), 26 Sep 2011 (14.88%), 16 Dec 2011 (-6.25%), 27 Dec 2011 (-5.95%), 29 Dec 2011 (-6.73%)
2010325 May 2010 (12.84%), 19 Nov 2010 (-3.65%), 26 Nov 2010 (14.03%)
2009222 Jan 2009 (-13.24%), 23 Jan 2009 (49.35%)
2008616 Jun 2008 (-6.07%), 01 Jul 2008 (-6.65%), 03 Jul 2008 (22.63%), 08 Oct 2008 (-9.84%), 10 Oct 2008 (-13.96%), 16 Oct 2008 (47.45%)
2007105 Mar 2007 (20.46%)
2006722 May 2006 (-6.65%), 23 May 2006 (-7.22%), 25 May 2006 (-8.1%), 01 Jun 2006 (-8.14%), 09 Jun 2006 (-8.44%), 12 Jun 2006 (-8.94%), 13 Jun 2006 (29.43%)
2005114 Jan 2005 (21.79%)
2004321 Jan 2004 (-7.01%), 17 May 2004 (25.21%), 25 Oct 2004 (10.33%)
2003314 Feb 2003 (-4.85%), 10 Mar 2003 (-4.05%), 17 Mar 2003 (11.69%)
2002812 Mar 2002 (21.96%), 20 May 2002 (-6.0%), 21 May 2002 (19.47%), 19 Sep 2002 (-3.73%), 25 Sep 2002 (-3.44%), 24 Oct 2002 (-2.99%), 25 Oct 2002 (-4.25%), 28 Oct 2002 (14.3%)



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