Study: Buy MOTHERSUMI when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MOTHERSUMI 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 MOTHERSUMI 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
134185.4952282453.855737.9118642.8-5269.83-14913.451.091.270.02657.41
2-20182.3152242846.157648.3824156.69-7276.55-31094.531.050.9-0.0082-388.12
3-43639.6752242846.158249.5745637.58-8629.62-29027.960.960.82-0.015-839.22
4-2014.7852272551.929095.3149515.29-9903.53-24156.310.920.99-0.00065-38.75
5-23003.7452232944.239882.0157568.98-8630.69-19360.571.140.91-0.0074-442.38
6-14253.135226265012019.365473.53-12567.49-71794.870.960.96-0.0029-274.1
7-17168.652242846.1516146.681276.96-14453.11-66968.331.120.96-0.003-330.17
810507452282453.8517450.3199568.59-15980.6-64705.881.091.270.0162020.66
989760.0652223042.3123832.7692320.97-14485.36-64253.391.651.210.0131726.15
107301.252242846.152067066594.12-17456.38-77932.581.181.010.0011140.41
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
atrnil320.4524814966145221.2163916.46351604-12436.17-27485.485.141.380.0163759.84
atrnil29.721070747521542837674.4234402-12668.29-27485.482.971.160.0091427.66
atrtrail34.82-23562995276828.4217103.6279893.73-10256.27-22509.451.670.66-0.032-2480.3
atrtrail-15.05-28340895276828.4215334.0188473.6-10256.27-22509.451.50.59-0.039-2983.24
atrtrail24.55-30358695276828.4214586.753262.49-10256.27-22509.451.420.56-0.049-3195.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 21.21%, which is not acceptable. Avoid this strategy. Average return per trade is 1.88%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MOTHERSUMI Performance, Profit Factor:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020826 Feb 2020 (-5.19%), 28 Feb 2020 (-5.62%), 05 Mar 2020 (-6.18%), 06 Mar 2020 (-6.4%), 09 Mar 2020 (-6.92%), 12 Mar 2020 (-10.86%), 13 Mar 2020 (-13.74%), 23 Mar 2020 (48.71%)
2019829 Jan 2019 (-4.23%), 04 Feb 2019 (-4.34%), 11 Feb 2019 (14.17%), 08 May 2019 (-4.1%), 13 May 2019 (-4.25%), 15 May 2019 (-4.49%), 30 Jul 2019 (-4.18%), 05 Aug 2019 (-4.25%)
2018916 Feb 2018 (-3.89%), 21 Feb 2018 (-3.99%), 24 May 2018 (-3.98%), 25 Jun 2018 (-3.37%), 27 Jun 2018 (10.61%), 24 Sep 2018 (-4.38%), 01 Oct 2018 (-5.06%), 08 Oct 2018 (-5.43%), 11 Oct 2018 (-5.84%)
2016118 Jan 2016 (14.52%)
2015424 Aug 2015 (-5.17%), 26 Aug 2015 (-5.92%), 22 Sep 2015 (-6.36%), 01 Oct 2015 (19.78%)
2013104 Apr 2013 (13.55%)
2011822 Aug 2011 (-5.53%), 26 Aug 2011 (-5.82%), 29 Sep 2011 (-6.26%), 07 Oct 2011 (18.93%), 16 Nov 2011 (-6.26%), 22 Nov 2011 (-6.97%), 19 Dec 2011 (-5.81%), 29 Dec 2011 (15.89%)
20081022 Jan 2008 (30.73%), 12 May 2008 (-5.57%), 01 Jul 2008 (-5.39%), 06 Oct 2008 (-7.67%), 07 Oct 2008 (-9.19%), 08 Oct 2008 (-10.37%), 10 Oct 2008 (-10.82%), 27 Oct 2008 (-11.15%), 19 Nov 2008 (-11.7%), 02 Dec 2008 (-10.36%)
2004116 Mar 2004 (175.8%)
2002123 Oct 2002 (34.84%)
2000216 Mar 2000 (-9.07%), 17 Nov 2000 (-11.3%)
1999202 Nov 1999 (-4.35%), 09 Nov 1999 (16.28%)
1998215 Jan 1998 (-5.67%), 27 Jan 1998 (-4.79%)
1997929 Apr 1997 (22.35%), 22 Sep 1997 (-3.61%), 23 Sep 1997 (-3.79%), 24 Sep 1997 (-4.05%), 16 Oct 1997 (-3.94%), 22 Oct 1997 (-3.73%), 28 Oct 1997 (11.25%), 18 Nov 1997 (-3.55%), 26 Nov 1997 (-8.49%)



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