Study: Buy NMDC when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy NMDC 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 NMDC 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
1-72018.2746212545.653576.2710027.35-5884.8-16851.270.610.51-0.076-1565.61
2-10085546192741.36143.9720556.06-8058.91-25402.110.760.54-0.069-2192.5
3-10681746202643.487821.4929443.94-10124.89-36629.750.770.59-0.057-2322.12
4-12845746242252.176694.0320054.69-13141.51-29141.240.510.56-0.068-2792.53
5-12792546252154.357136.5828714.68-14587.59-37684.180.490.58-0.061-2780.98
6-15217946242252.176532.920678.11-14044.03-45780.620.470.51-0.074-3308.24
7-14307146242252.176758.4421301.78-13876.07-47685.670.490.53-0.067-3110.24
8-15306046212545.657003.3615487.65-12005.24-55276.080.580.49-0.073-3327.4
9-138238462323507376.5720302.71-13386.9-62509.30.550.55-0.061-3005.17
10-1181604623235010079.2264302.09-15216.62-69385.330.660.66-0.041-2568.7
Although, strategy looks good but profit factor on day 8 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
atrtrail-15.2995623.5999336633.3317360.06105469-7231.19-16549.192.41.20.015965.89
atrtrail34.523551.2610034663414688.1960275.37-7209.81-16549.192.041.050.0049235.51
atrnil26.918546.6686295733.7217927.940183.58-8795.83-16549.192.041.040.0046215.66
atrnil310.1320581.9785216424.7127734.5260275.37-8778.8-19142.073.161.040.0042242.14
atrtrail24.06-46583.0810034663412625.4140183.58-7209.81-16549.191.750.9-0.012-465.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 0.48%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
NMDC Performance, Profit Factor:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019509 May 2019 (-2.71%), 14 May 2019 (1.18%), 20 Aug 2019 (-4.75%), 22 Aug 2019 (-0.24%), 29 Aug 2019 (3.44%)
2018723 May 2018 (3.57%), 28 Jun 2018 (1.39%), 16 Jul 2018 (-2.26%), 19 Jul 2018 (15.41%), 22 Nov 2018 (-2.41%), 05 Dec 2018 (-3.08%), 11 Dec 2018 (3.77%)
2017719 Apr 2017 (1.33%), 23 May 2017 (-2.69%), 24 May 2017 (-1.49%), 26 May 2017 (-3.18%), 29 May 2017 (-0.88%), 23 Jun 2017 (-2.56%), 27 Jun 2017 (15.82%)
2016121 Jan 2016 (1.76%)
20151304 Jun 2015 (0.45%), 08 Jul 2015 (-0.53%), 27 Jul 2015 (-2.26%), 28 Jul 2015 (-2.59%), 30 Jul 2015 (-0.38%), 11 Aug 2015 (-2.43%), 12 Aug 2015 (-2.67%), 13 Aug 2015 (-2.85%), 14 Aug 2015 (-2.96%), 17 Aug 2015 (-3.08%), 18 Aug 2015 (-2.7%), 21 Aug 2015 (-3.11%), 25 Aug 2015 (6.48%)
2014526 Feb 2014 (1.71%), 25 Sep 2014 (1.19%), 10 Oct 2014 (9.11%), 25 Nov 2014 (-3.09%), 01 Dec 2014 (1.23%)
20131204 Feb 2013 (-1.77%), 08 Feb 2013 (-2.39%), 13 Feb 2013 (2.0%), 26 Feb 2013 (-1.34%), 28 Feb 2013 (-2.37%), 04 Mar 2013 (5.09%), 22 Mar 2013 (1.12%), 05 Apr 2013 (-0.41%), 12 Jun 2013 (-2.83%), 13 Jun 2013 (-0.81%), 20 Jun 2013 (-2.04%), 25 Jun 2013 (1.76%)
2012416 Mar 2012 (-0.03%), 31 Oct 2012 (2.93%), 26 Nov 2012 (-2.24%), 10 Dec 2012 (-0.85%)
20111112 May 2011 (-1.26%), 17 Aug 2011 (-3.73%), 26 Aug 2011 (7.64%), 17 Nov 2011 (-4.45%), 18 Nov 2011 (-4.67%), 23 Nov 2011 (-0.06%), 09 Dec 2011 (-4.63%), 12 Dec 2011 (-5.01%), 15 Dec 2011 (-5.34%), 19 Dec 2011 (-6.17%), 20 Dec 2011 (11.28%)
20101309 Mar 2010 (-5.65%), 12 Mar 2010 (-6.73%), 16 Mar 2010 (1.16%), 23 Mar 2010 (-7.4%), 26 Mar 2010 (-2.96%), 19 May 2010 (-3.03%), 21 May 2010 (-3.09%), 25 May 2010 (2.33%), 08 Jun 2010 (2.03%), 27 Aug 2010 (-2.08%), 31 Aug 2010 (10.19%), 25 Nov 2010 (-4.29%), 26 Nov 2010 (5.91%)
2009426 Oct 2009 (-3.42%), 27 Oct 2009 (-3.5%), 29 Oct 2009 (-4.44%), 03 Nov 2009 (52.18%)
20081723 Jun 2008 (-6.52%), 25 Jun 2008 (-7.0%), 30 Jun 2008 (-7.46%), 02 Jul 2008 (-7.64%), 04 Jul 2008 (-8.27%), 08 Jul 2008 (1.5%), 16 Jul 2008 (52.73%), 15 Sep 2008 (-7.12%), 16 Sep 2008 (-7.98%), 18 Sep 2008 (8.82%), 07 Oct 2008 (-7.62%), 13 Oct 2008 (-3.85%), 16 Oct 2008 (-7.31%), 20 Oct 2008 (-5.81%), 23 Oct 2008 (-8.14%), 27 Oct 2008 (21.07%), 26 Nov 2008 (28.85%)



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