Study: Buy ONGC when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ONGC 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 ONGC 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
113181.5158342458.624925.4316039.18-6428.46-31525.420.771.090.0056227.27
2-23770.4758362262.074795.1813657.7-8927.13-37966.10.540.88-0.0088-409.84
3-36730.7958312753.456194.7324182.71-8472.87-58757.060.730.84-0.011-633.29
4-59661.4958342458.626184.8936026.39-11247.83-51073.450.550.78-0.016-1028.65
5-12366858253343.18576.4734427.63-10244.83-64067.80.840.63-0.029-2132.2
6-99006.1658273146.559473.6130873.11-11444.96-64406.780.830.72-0.021-1707
7-95842.8358283048.289987.8532870.58-12516.75-59789.160.80.74-0.021-1652.46
8-98828.2558283048.2811614.1750042.69-14134.17-62033.90.820.77-0.019-1703.94
9-119833582929509867.4330452.31-13999.59-61199.020.70.7-0.026-2066.08
10-25953558263244.839610.2824070.89-15918.81-63502.820.60.49-0.052-4474.74

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0056, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
atrnil25.27174815119427735.2920169.9949548.26-8731.49-19302.542.311.260.021469.03
atrnil310.3166608111298226.1330656.674322.38-8810.17-19302.543.481.230.0161500.97
nilnil-1113181.5158342458.624925.4316039.18-6428.46-31525.420.771.090.0056227.27
atrtrail23.4850542.67133498436.8413147.0444245.07-7067.41-19302.541.861.090.0063380.02
atrtrail34.11-55926.48132478535.6111443.8258490.14-6985.72-19302.541.640.91-0.0071-423.69
atrtrail-14.5-153842131468535.119524.1461553.33-6964.15-19302.541.370.74-0.022-1174.36

In the table above, row 1 shows the best exit criterion. Profit factor is 1.26. 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 35.29%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
ONGC Performance, Profit Factor:1.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20201622 Jan 2020 (-2.51%), 31 Jan 2020 (-2.88%), 01 Feb 2020 (-3.26%), 17 Feb 2020 (-3.16%), 18 Feb 2020 (-3.22%), 26 Feb 2020 (-3.42%), 27 Feb 2020 (-3.58%), 28 Feb 2020 (-3.68%), 02 Mar 2020 (-4.06%), 09 Mar 2020 (-6.05%), 12 Mar 2020 (-8.01%), 13 Mar 2020 (-8.89%), 16 Mar 2020 (19.5%), 19 Mar 2020 (24.77%), 22 Sep 2020 (-3.28%), 24 Sep 2020 (6.91%)
2019818 Jul 2019 (-3.57%), 30 Jul 2019 (-3.33%), 02 Aug 2019 (-3.36%), 06 Aug 2019 (-3.35%), 13 Aug 2019 (-3.54%), 21 Aug 2019 (-3.49%), 22 Aug 2019 (7.36%), 03 Sep 2019 (8.05%)
2018624 May 2018 (-3.82%), 21 Jun 2018 (-2.95%), 27 Jun 2018 (-2.82%), 28 Jun 2018 (5.96%), 05 Oct 2018 (10.31%), 29 Nov 2018 (-3.69%)
2017419 Apr 2017 (3.24%), 19 Jun 2017 (-2.03%), 22 Jun 2017 (-2.28%), 27 Jun 2017 (-2.39%)
2015924 Feb 2015 (-3.1%), 14 Jul 2015 (-2.44%), 21 Jul 2015 (-2.39%), 27 Jul 2015 (-2.56%), 28 Jul 2015 (5.27%), 20 Aug 2015 (-2.85%), 24 Aug 2015 (7.76%), 02 Sep 2015 (8.86%), 08 Dec 2015 (6.05%)
2014202 Dec 2014 (-3.03%), 12 Dec 2014 (7.08%)
2012209 Nov 2012 (-2.26%), 20 Nov 2012 (4.38%)
2011406 Jan 2011 (-2.19%), 07 Jan 2011 (-2.27%), 10 Jan 2011 (-2.42%), 20 Jan 2011 (5.62%)
2010119 Apr 2010 (4.54%)
20081022 Jan 2008 (15.78%), 14 May 2008 (-3.98%), 23 May 2008 (-3.75%), 28 May 2008 (-3.71%), 29 May 2008 (7.88%), 14 Oct 2008 (-6.42%), 16 Oct 2008 (-7.0%), 23 Oct 2008 (-7.41%), 24 Oct 2008 (-9.65%), 27 Oct 2008 (22.12%)
2007428 Feb 2007 (-4.21%), 01 Mar 2007 (-4.53%), 05 Mar 2007 (9.22%), 17 Aug 2007 (7.94%)
2006108 Jun 2006 (17.09%)
2004214 May 2004 (-4.94%), 17 May 2004 (15.37%)
2001706 Sep 2001 (-3.37%), 11 Sep 2001 (6.62%), 12 Sep 2001 (8.37%), 14 Sep 2001 (-5.11%), 17 Sep 2001 (11.4%), 24 Dec 2001 (-2.71%), 28 Dec 2001 (5.31%)
2000925 Feb 2000 (11.72%), 08 Mar 2000 (-7.52%), 18 Apr 2000 (-7.99%), 19 Apr 2000 (18.39%), 11 Aug 2000 (-4.31%), 14 Aug 2000 (9.43%), 18 Aug 2000 (-4.82%), 22 Aug 2000 (9.89%), 10 Oct 2000 (7.51%)
1999715 Jan 1999 (-4.36%), 28 Jan 1999 (-4.96%), 02 Feb 1999 (-5.42%), 09 Feb 1999 (11.44%), 16 Feb 1999 (-5.76%), 15 Mar 1999 (11.88%), 13 Apr 1999 (-5.88%)
1998912 Jan 1998 (-4.11%), 29 Jan 1998 (-3.82%), 30 Jan 1998 (8.31%), 02 Jun 1998 (-4.57%), 08 Jun 1998 (-5.88%), 11 Jun 1998 (-5.63%), 16 Jun 1998 (-5.92%), 23 Jun 1998 (12.8%), 30 Jun 1998 (-6.82%)
1997525 Aug 1997 (7.54%), 29 Aug 1997 (-4.73%), 01 Sep 1997 (-5.17%), 02 Sep 1997 (11.92%), 28 Oct 1997 (-3.56%)
19961220 May 1996 (7.56%), 26 Sep 1996 (-4.28%), 27 Sep 1996 (-4.81%), 30 Sep 1996 (-5.19%), 03 Oct 1996 (-5.35%), 04 Oct 1996 (-5.88%), 07 Oct 1996 (-6.41%), 09 Oct 1996 (12.34%), 27 Nov 1996 (-4.59%), 28 Nov 1996 (-4.79%), 03 Dec 1996 (-4.7%), 04 Dec 1996 (10.16%)
1995118 Dec 1995 (9.93%)



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