Study: Buy MRF when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MRF 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 MRF 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
1-10650371304142.254517.6716002.79-5903.24-28914.680.770.56-0.042-1500.04
2-94682.9671343747.895188.4724968.59-7326.78-30943.40.710.65-0.031-1333.56
3-10816571353649.35818.8730549.19-8661.81-36981.130.670.65-0.03-1523.45
4-13642871314043.668008.3630543.81-9617.18-35388.680.830.65-0.032-1921.52
5-22943671304142.259133.3930483.38-12278.97-37847.680.740.54-0.047-3231.49
6-19523371294240.859658.2427118.2-11317.18-31442.930.850.59-0.043-2749.75
7-25345271304142.259181.1430206.86-12899.66-41611.170.710.52-0.053-3569.75
8-29009971304142.259641.9426060.91-14130.67-46636.770.680.5-0.057-4085.9
9-23208971333846.489986.0334250.1-14779.69-51073.310.680.59-0.044-3268.86
10-20302271314043.661217546432.9-14511.19-56406.720.840.65-0.035-2859.47
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
atrnil38.34-58205.18127309723.6225396.1254097.85-8454.52-19655.7930.93-0.0061-458.31
atrnil25.78-135398136399728.6817732.8839311.59-8525.57-20107.562.080.84-0.016-995.57
atrtrail23.78-1474801554810730.9712377.3639311.59-6930.78-16869.91.790.8-0.018-951.48
atrtrail34.23-1552991544610829.8712691.0745517.59-6843.41-16869.91.850.79-0.018-1008.44
atrtrail-14.75-2234231544510929.2211622.252613.54-6847.91-16869.91.70.7-0.028-1450.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 23.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MRF Performance, Profit Factor:0.929

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019829 Jan 2019 (-1.9%), 31 Jan 2019 (-1.93%), 04 Feb 2019 (-2.15%), 08 Feb 2019 (-2.48%), 11 Feb 2019 (-2.63%), 19 Feb 2019 (7.66%), 30 Apr 2019 (-2.24%), 02 May 2019 (7.17%)
2018705 Sep 2018 (-1.93%), 12 Sep 2018 (-1.96%), 19 Sep 2018 (-2.03%), 21 Sep 2018 (-2.55%), 24 Sep 2018 (-2.73%), 28 Sep 2018 (-3.37%), 04 Oct 2018 (9.89%)
2016618 Jan 2016 (-2.41%), 20 Jan 2016 (8.22%), 01 Feb 2016 (-3.26%), 11 Feb 2016 (10.62%), 23 May 2016 (-2.28%), 24 May 2016 (7.07%)
2015209 Jun 2015 (-2.96%), 11 Jun 2015 (9.72%)
2013328 Feb 2013 (9.51%), 21 Jun 2013 (-3.26%), 24 Jun 2013 (11.52%)
2011810 Jan 2011 (-3.58%), 17 Jan 2011 (-3.88%), 28 Jan 2011 (-3.71%), 31 Jan 2011 (-3.86%), 08 Feb 2011 (-4.01%), 09 Feb 2011 (13.26%), 22 Jun 2011 (9.1%), 19 Aug 2011 (12.22%)
2010319 Nov 2010 (11.0%), 25 Nov 2010 (-4.71%), 09 Dec 2010 (-4.75%)
2009323 Jan 2009 (-5.61%), 05 Mar 2009 (-3.88%), 06 Mar 2009 (11.97%)
20081621 Jan 2008 (-7.52%), 22 Jan 2008 (-9.83%), 17 Mar 2008 (-7.34%), 24 Mar 2008 (22.76%), 23 Jun 2008 (-4.57%), 25 Jun 2008 (-4.64%), 01 Jul 2008 (15.01%), 18 Sep 2008 (-3.93%), 29 Sep 2008 (-4.49%), 03 Oct 2008 (-5.41%), 06 Oct 2008 (-5.71%), 08 Oct 2008 (-6.29%), 10 Oct 2008 (-6.94%), 24 Oct 2008 (-7.43%), 27 Oct 2008 (-8.64%), 20 Nov 2008 (21.35%)
2007612 Feb 2007 (-2.61%), 19 Feb 2007 (-3.05%), 23 Feb 2007 (-2.91%), 28 Feb 2007 (-3.1%), 05 Mar 2007 (-3.72%), 07 Mar 2007 (13.29%)
2006524 May 2006 (-5.97%), 02 Jun 2006 (-6.21%), 07 Jun 2006 (-6.14%), 09 Jun 2006 (-6.33%), 13 Jun 2006 (21.19%)
2005303 May 2005 (-3.7%), 02 Aug 2005 (7.48%), 21 Oct 2005 (13.59%)
2004422 Jan 2004 (21.39%), 19 Mar 2004 (-4.81%), 22 Mar 2004 (17.45%), 17 May 2004 (-5.4%)
2002303 Apr 2002 (18.6%), 10 Oct 2002 (-2.61%), 30 Oct 2002 (7.66%)
20011906 Feb 2001 (-3.16%), 08 Feb 2001 (-3.42%), 13 Feb 2001 (-3.52%), 15 Feb 2001 (-4.04%), 23 Feb 2001 (-3.77%), 26 Feb 2001 (-3.98%), 27 Feb 2001 (-4.47%), 02 Mar 2001 (-4.87%), 05 Mar 2001 (-5.27%), 12 Mar 2001 (-6.04%), 12 Apr 2001 (-4.32%), 16 Apr 2001 (-4.77%), 02 May 2001 (-4.4%), 04 May 2001 (-4.71%), 19 Jun 2001 (-2.76%), 20 Jun 2001 (-3.07%), 21 Jun 2001 (-3.38%), 22 Jun 2001 (-3.71%), 02 Aug 2001 (-4.0%)
20001625 Feb 2000 (-5.64%), 02 Mar 2000 (-6.61%), 03 Mar 2000 (-7.21%), 08 Mar 2000 (-8.08%), 24 Apr 2000 (-7.08%), 25 Apr 2000 (-7.76%), 02 May 2000 (27.05%), 21 Jul 2000 (-3.66%), 24 Jul 2000 (-3.95%), 28 Jul 2000 (-4.61%), 31 Jul 2000 (-5.03%), 07 Aug 2000 (-5.15%), 18 Sep 2000 (-2.78%), 19 Sep 2000 (-2.86%), 03 Oct 2000 (-2.88%), 10 Oct 2000 (-2.7%)
1999115 Apr 1999 (-6.56%)
1998218 Aug 1998 (-3.83%), 20 Oct 1998 (11.46%)
1997827 Jun 1997 (5.9%), 20 Oct 1997 (-2.3%), 05 Nov 1997 (-3.65%), 10 Nov 1997 (-3.81%), 03 Dec 1997 (-3.32%), 04 Dec 1997 (-3.61%), 11 Dec 1997 (-3.26%), 12 Dec 1997 (10.05%)
1996420 Sep 1996 (-2.0%), 07 Oct 1996 (-2.22%), 08 Oct 1996 (-2.5%), 09 Oct 1996 (7.79%)



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