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
161196.5349282157.145737.9118642.8-4736.42-14913.451.211.620.0411248.91
22044.8249242548.987648.3824156.69-7260.65-31094.531.051.010.0008941.73
31617.7149242548.988249.5745637.58-7854.88-29027.961.051.010.0006133.01
4-2334.5649262353.068369.9349515.29-9563.17-24156.310.880.99-0.00085-47.64
5-10758.5349222744.99515.4457568.98-8151.79-19360.571.170.95-0.0038-219.56
6-36859.349252451.0210677.8165473.53-12658.52-71794.870.840.88-0.0086-752.23
7-31196.3749232646.9413314.8478747.2-12978.38-66968.331.030.91-0.0069-636.66
876684.5849272255.114408.990968.44-14197.98-64705.881.011.250.0151564.99
957592.9949212842.8620571.4288139.28-13371.67-64253.391.541.150.0111175.37
1047961.9349232646.9419467.9366594.12-15376.94-63046.761.271.120.0087978.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.62. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, which is low, don't trade solely on the basis of this study.

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
nilnil-1161196.5349282157.145737.9118642.8-4736.42-14913.451.211.620.0411248.91
atrnil322.7426055958134522.4161338.76351604-11929.88-23394.975.141.490.0194492.4
atrnil210.4315196067204729.8536310.57234402-12218.12-23394.972.971.260.0142268.06
atrtrail34.97-22855386256129.0714941.3844704.12-9870.3-22509.451.510.62-0.04-2657.6
atrtrail24.67-26987986256129.0713288.3636261.5-9870.3-22509.451.350.55-0.053-3138.13
atrtrail-15.19-28491386256129.0712687.0264902.04-9870.3-22509.451.290.53-0.053-3312.94

In the table above, row 1 shows the best exit criterion. Profit factor is 1.62. 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 57.14%, which is not acceptable. Avoid this strategy. Average return per trade is 0.62%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.041, 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.
MOTHERSUMI Performance, X=1, Profit Factor:1.62

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019529 Jan 2019 (-0.67%), 12 Feb 2019 (3.26%), 08 May 2019 (-1.11%), 23 May 2019 (3.41%), 30 Jul 2019 (3.04%)
2018616 Feb 2018 (0.2%), 06 Mar 2018 (0.65%), 24 May 2018 (3.46%), 25 Jun 2018 (-2.12%), 24 Sep 2018 (3.82%), 09 Oct 2018 (-1.38%)
2016118 Jan 2016 (2.93%)
2015224 Aug 2015 (0.46%), 22 Sep 2015 (1.84%)
2013104 Apr 2013 (4.44%)
2012102 Jan 2012 (-0.11%)
2011422 Aug 2011 (2.49%), 29 Sep 2011 (0.97%), 16 Nov 2011 (-0.1%), 19 Dec 2011 (-2.14%)
2008722 Jan 2008 (5.93%), 12 May 2008 (4.03%), 01 Jul 2008 (3.1%), 06 Oct 2008 (-7.46%), 27 Oct 2008 (1.67%), 17 Nov 2008 (2.66%), 02 Dec 2008 (-4.24%)
2006219 May 2006 (-3.73%), 02 Jun 2006 (3.93%)
2005324 Feb 2005 (-1.32%), 10 Mar 2005 (0.0%), 24 Mar 2005 (-2.49%)
2004516 Mar 2004 (3.02%), 30 Mar 2004 (1.36%), 15 Apr 2004 (0.7%), 29 Apr 2004 (1.17%), 13 May 2004 (-6.97%)
2002223 Oct 2002 (-3.46%), 12 Nov 2002 (3.1%)
2000216 Mar 2000 (0.14%), 17 Nov 2000 (-3.22%)
1999102 Nov 1999 (4.81%)
1998115 Jan 1998 (-2.05%)
1997629 Apr 1997 (9.32%), 22 Sep 1997 (-2.5%), 20 Oct 1997 (-1.41%), 18 Nov 1997 (-0.38%), 02 Dec 1997 (4.41%), 26 Dec 1997 (-2.89%)



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