Study: Buy MRPL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy MRPL 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 MRPL 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
1-10946173284538.365353.3620175.44-5763.45-45668.390.930.58-0.033-1499.47
2-95113.7273334045.215940.1919607.84-7278.5-35118.310.820.67-0.031-1302.93
39518.9373363749.328847.4742105.26-8351.08-27148.191.061.030.0025130.4
442772.5773383552.059038.7449122.81-8591.42-25822.781.051.140.011585.93
552440.4772343847.2211010.6443859.65-8471.61-39197.531.31.160.012728.34
667217.647236365011295.6243137.25-9428.46-53086.421.21.20.014933.58
751139.172383452.7811625.2537254.9-11488.83-50154.321.011.130.01710.27
820816.9872403255.5611401.4135460.99-13601.23-62191.360.841.050.0037289.12
9-22147.572343847.221382245098.04-12949.88-57407.411.070.95-0.0037-307.6
10-7340.627236365013665.4143137.25-13869.32-55555.560.990.99-0.0012-101.95
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
atrnil310.25137124119279222.6940735.35114846-10464.46-41738.373.891.140.00991152.31
atrnil26.98106680122408232.7924353.9576563.71-10578.99-41738.372.31.120.0099874.43
atrtrail24.54-14721.35131488336.6414086.9848807.65-8324.05-34415.171.690.98-0.0017-112.38
atrtrail35.16-23359.62131468535.1114579.6871501.19-8165-34415.171.790.97-0.0024-178.32
atrtrail-15.45-150858131458634.3512118.9558241.58-8095.48-34415.171.50.78-0.018-1151.59

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 22.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.58%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0099, 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.
MRPL Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Feb 2019 (-2.96%), 05 Feb 2019 (-3.08%), 09 May 2019 (-3.22%), 13 May 2019 (-3.34%), 21 May 2019 (-3.58%)
2018606 Feb 2018 (-4.85%), 21 May 2018 (-3.31%), 23 May 2018 (-3.4%), 31 May 2018 (-3.81%), 15 Jun 2018 (-3.94%), 28 Jun 2018 (-4.9%)
2015224 Aug 2015 (-7.84%), 25 Aug 2015 (27.25%)
2014424 Nov 2014 (-3.6%), 25 Nov 2014 (-3.79%), 12 Dec 2014 (-4.27%), 16 Dec 2014 (13.58%)
20131412 Mar 2013 (-4.12%), 19 Mar 2013 (-4.52%), 25 Mar 2013 (-4.49%), 29 Apr 2013 (-3.49%), 21 May 2013 (-2.98%), 23 May 2013 (-3.52%), 24 May 2013 (-3.76%), 12 Jun 2013 (-4.3%), 14 Jun 2013 (-4.54%), 20 Jun 2013 (-4.36%), 25 Jun 2013 (13.69%), 31 Jul 2013 (-5.18%), 05 Aug 2013 (-6.96%), 16 Aug 2013 (20.9%)
2012210 May 2012 (-4.54%), 04 Jun 2012 (14.43%)
2011909 Feb 2011 (-4.22%), 10 Feb 2011 (-4.57%), 24 Feb 2011 (15.5%), 08 Aug 2011 (-4.06%), 16 Aug 2011 (-4.52%), 18 Aug 2011 (-5.16%), 19 Aug 2011 (-5.5%), 20 Dec 2011 (-5.28%), 28 Dec 2011 (16.42%)
2010421 May 2010 (-3.29%), 25 May 2010 (10.73%), 25 Nov 2010 (-4.74%), 26 Nov 2010 (-5.27%)
2009327 Oct 2009 (-4.59%), 28 Oct 2009 (-4.86%), 03 Nov 2009 (14.66%)
20081321 Jan 2008 (-13.51%), 22 Jan 2008 (57.42%), 09 Jun 2008 (-8.55%), 24 Jun 2008 (-8.15%), 27 Jun 2008 (-8.5%), 30 Jun 2008 (-9.57%), 01 Jul 2008 (31.82%), 15 Sep 2008 (-6.83%), 08 Oct 2008 (-8.18%), 10 Oct 2008 (-9.15%), 23 Oct 2008 (-8.69%), 24 Oct 2008 (-10.09%), 27 Oct 2008 (35.17%)
2007322 Feb 2007 (-4.54%), 28 Feb 2007 (-5.02%), 05 Mar 2007 (16.57%)
2006206 Feb 2006 (10.12%), 08 Jun 2006 (36.61%)
2005220 Oct 2005 (-4.69%), 27 Oct 2005 (14.86%)
2004414 May 2004 (-8.88%), 17 May 2004 (35.75%), 21 Jun 2004 (-7.74%), 23 Jun 2004 (-8.41%)
2002309 Sep 2002 (-5.76%), 11 Sep 2002 (-6.29%), 12 Sep 2002 (19.68%)
2001402 Jul 2001 (-20.87%), 01 Aug 2001 (-10.17%), 02 Aug 2001 (32.48%), 17 Sep 2001 (27.81%)
2000231 Jan 2000 (-5.55%), 08 Feb 2000 (-5.81%)
1999309 Feb 1999 (13.84%), 01 Nov 1999 (-7.17%), 17 Nov 1999 (-6.73%)
1998613 Feb 1998 (-3.54%), 17 Feb 1998 (12.06%), 16 Jun 1998 (-5.32%), 29 Sep 1998 (-3.61%), 05 Oct 1998 (12.85%), 17 Dec 1998 (10.18%)
19961724 Jan 1996 (-3.3%), 29 Jan 1996 (11.18%), 21 May 1996 (-4.01%), 02 Jul 1996 (-3.39%), 25 Jul 1996 (-2.97%), 29 Jul 1996 (-3.16%), 31 Jul 1996 (-3.32%), 06 Aug 1996 (-3.42%), 13 Aug 1996 (-3.37%), 16 Aug 1996 (-3.42%), 19 Aug 1996 (-3.66%), 27 Aug 1996 (-3.86%), 20 Sep 1996 (-3.8%), 27 Sep 1996 (-4.34%), 30 Sep 1996 (-4.64%), 07 Oct 1996 (-5.12%), 08 Oct 1996 (-5.49%)
19951125 Apr 1995 (-3.81%), 02 May 1995 (14.05%), 27 Jun 1995 (-3.78%), 10 Jul 1995 (10.32%), 13 Sep 1995 (-3.33%), 24 Oct 1995 (-2.74%), 10 Nov 1995 (-3.68%), 13 Nov 1995 (-4.1%), 14 Nov 1995 (-4.59%), 17 Nov 1995 (-5.08%), 23 Nov 1995 (-4.98%)



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