Study: Buy ORIENTBANK when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy ORIENTBANK 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 ORIENTBANK 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
1-28980.2576354146.056709.8823453.37-6434.79-51027.171.040.89-0.0081-381.32
263783.7476423455.267543.1731627.1-7442.04-26286.721.011.250.017839.26
312038076403652.639335.2444434.76-7028.6-24548.051.331.480.0291583.95
410747576393751.3211763.9832890.44-9495.14-30525.031.241.310.0221414.15
5-2488.976373948.6811688.1936635.38-11152.62-38263.581.050.99-0.00046-32.75
625120.9676364047.3712904.4642127.22-10985.99-30239.521.171.060.0045330.54
7-58189.3476364047.3712530.9350886.34-12732.57-36526.950.980.89-0.0096-765.65
8-25218.9976354146.0514418.2146923.88-12923.32-41158.461.120.95-0.004-331.83
9-69981.4976393751.3212454.4545742.09-15019.06-47280.430.830.87-0.011-920.81
10-54633.9776443257.8911069.6134209.52-16928.03-46997.880.650.9-0.0083-718.87
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
atrnil311.14293237125368928.835241.7595455.69-10960.3-20065.773.221.30.0212345.89
atrnil26.51221642128488037.522958.8163637.12-11004.76-20065.772.091.250.021731.58
atrtrail24.16123716146578939.0415387.0963637.12-8464.58-20065.771.821.160.012847.37
atrtrail34.9295452.04146569038.3615225.4695455.69-8413.04-20065.771.811.130.0085653.78
atrtrail-15.32-60157.79146569038.3612446.7259092.49-8413.04-20065.771.480.92-0.0065-412.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 28.8%, which is not acceptable. Avoid this strategy. Average return per trade is 1.17%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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.
ORIENTBANK Performance, Profit Factor:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Feb 2019 (-4.55%), 15 Feb 2019 (14.39%)
2018826 Feb 2018 (-5.83%), 12 Mar 2018 (17.98%), 16 May 2018 (-5.09%), 18 May 2018 (16.01%), 21 Sep 2018 (-5.63%), 25 Sep 2018 (-5.79%), 27 Sep 2018 (-6.17%), 05 Oct 2018 (19.95%)
2017210 Aug 2017 (-4.41%), 11 Aug 2017 (15.35%)
2016711 Jan 2016 (-4.11%), 12 Jan 2016 (-4.43%), 14 Jan 2016 (-4.75%), 15 Jan 2016 (-5.5%), 11 Feb 2016 (-8.21%), 12 Feb 2016 (25.78%), 26 Dec 2016 (11.8%)
2015830 Jan 2015 (-5.49%), 05 Feb 2015 (-5.6%), 09 Feb 2015 (-5.99%), 25 Mar 2015 (-4.4%), 27 Mar 2015 (-4.53%), 12 Jun 2015 (-4.88%), 25 Aug 2015 (-7.83%), 07 Sep 2015 (21.02%)
2014328 Jan 2014 (-4.91%), 30 Jan 2014 (15.97%), 11 Jul 2014 (-6.44%)
20131026 Feb 2013 (-4.1%), 21 Mar 2013 (16.6%), 11 Jun 2013 (-4.49%), 21 Jun 2013 (-4.55%), 25 Jun 2013 (-4.9%), 17 Jul 2013 (-6.21%), 25 Jul 2013 (-6.04%), 26 Jul 2013 (-6.56%), 30 Jul 2013 (-7.09%), 16 Aug 2013 (24.49%)
2012309 May 2012 (-5.05%), 15 May 2012 (15.79%), 27 Jul 2012 (12.98%)
20111013 Jan 2011 (-4.97%), 28 Jan 2011 (-5.5%), 08 Feb 2011 (16.92%), 04 May 2011 (13.45%), 19 Aug 2011 (-4.31%), 22 Aug 2011 (-4.49%), 15 Dec 2011 (-4.23%), 19 Dec 2011 (-4.8%), 20 Dec 2011 (-5.11%), 28 Dec 2011 (17.2%)
2010327 Jan 2010 (11.61%), 25 Nov 2010 (-6.14%), 08 Dec 2010 (-7.28%)
2009318 Feb 2009 (-6.91%), 24 Feb 2009 (-6.66%), 09 Mar 2009 (22.03%)
20081205 Mar 2008 (-8.07%), 10 Mar 2008 (-7.93%), 13 Mar 2008 (-8.43%), 18 Mar 2008 (28.12%), 29 May 2008 (-5.94%), 04 Jun 2008 (-6.51%), 09 Jun 2008 (-6.96%), 25 Jun 2008 (-6.88%), 27 Jun 2008 (-7.23%), 01 Jul 2008 (22.52%), 24 Oct 2008 (-9.39%), 27 Oct 2008 (31.84%)
2007427 Feb 2007 (-5.65%), 28 Feb 2007 (-6.0%), 05 Mar 2007 (20.11%), 17 Aug 2007 (-5.69%)
2006501 Jun 2006 (-7.77%), 06 Jun 2006 (-8.01%), 08 Jun 2006 (-9.52%), 18 Jul 2006 (19.76%), 12 Dec 2006 (-4.8%)
2005219 Apr 2005 (-4.3%), 21 Apr 2005 (-4.56%)
2004214 May 2004 (-10.03%), 17 May 2004 (47.73%)
2001412 Jun 2001 (11.55%), 14 Sep 2001 (-3.91%), 17 Sep 2001 (-4.42%), 18 Sep 2001 (14.98%)
2000703 Feb 2000 (-5.62%), 04 Feb 2000 (-6.32%), 07 Mar 2000 (-5.93%), 10 Mar 2000 (18.64%), 16 May 2000 (-4.39%), 06 Oct 2000 (-3.11%), 17 Oct 2000 (9.47%)
1999208 Feb 1999 (-4.68%), 09 Feb 1999 (15.23%)
1998705 Jun 1998 (-6.8%), 08 Jun 1998 (-7.83%), 16 Jun 1998 (-7.59%), 06 Oct 1998 (-3.57%), 12 Oct 1998 (-4.18%), 20 Oct 1998 (15.24%), 29 Dec 1998 (8.92%)
1997501 Sep 1997 (-3.03%), 02 Sep 1997 (-3.3%), 04 Sep 1997 (10.61%), 28 Oct 1997 (-3.68%), 13 Nov 1997 (-3.91%)
1996916 Aug 1996 (-3.4%), 20 Aug 1996 (10.05%), 13 Sep 1996 (-3.87%), 16 Sep 1996 (-4.32%), 19 Sep 1996 (-5.23%), 24 Sep 1996 (-5.36%), 07 Oct 1996 (-4.9%), 08 Oct 1996 (-5.02%), 09 Oct 1996 (16.5%)
1995724 Apr 1995 (-2.25%), 25 Apr 1995 (-2.46%), 28 Apr 1995 (-3.0%), 02 May 1995 (12.2%), 03 Jul 1995 (11.58%), 23 Nov 1995 (-3.78%), 28 Nov 1995 (-4.27%)



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