Study: Buy RELCAPITAL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy RELCAPITAL 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 RELCAPITAL 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
1-16654686384844.197246.3519501.39-9206.4-397500.790.62-0.035-1936.58
2-14202986414547.677644.1224143.03-10120.84-39026.970.760.69-0.029-1651.5
3-15492986394745.358385.6526897.21-10254.67-47593.870.820.68-0.03-1801.5
4-29741586365041.8610136.1539385.21-13246.32-77102.060.770.55-0.044-3458.31
5-26415586365041.8613240.8931700.29-14816.54-63299.840.890.64-0.034-3071.57
6-23229486394745.3513129.8243985.85-15837.39-57165.520.830.69-0.028-2701.09
7-20400386374943.0214995.5543494.57-15486.49-73036.520.970.73-0.023-2372.12
8-18427686414547.6715455.9155715.66-18177.07-91545.770.850.77-0.019-2142.74
9-57311.4386454152.3316726.6554697.79-19756.35-61630.820.850.93-0.0058-666.41
1055201.9186454152.3319170.5582704.97-19694.46-62531.270.971.070.0051641.88
Although, strategy looks good but profit factor on day 4 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-14.8269265.431856412134.5920424.02149513-10230.35-30320.6121.060.0035374.41
atrnil25.492682.991615111031.6827484.6571797.47-12718.49-33908.982.1610.0001616.66
atrtrail23.7-10630.081866512134.9518880.6571797.47-10230.35-30320.611.850.99-0.00068-57.15
atrtrail34.31-26369.571856412134.5918929.7386281.94-10230.35-30320.611.850.98-0.0016-142.54
atrnil37.94-91575.641553711823.8738801.2987593.44-12942.57-35898.7330.94-0.005-590.81

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 34.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0035, 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.
RELCAPITAL Performance, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191801 Feb 2019 (-4.82%), 04 Feb 2019 (-7.63%), 06 Feb 2019 (-8.82%), 07 Feb 2019 (18.86%), 18 Apr 2019 (-7.82%), 22 Apr 2019 (6.35%), 06 May 2019 (-10.76%), 08 May 2019 (-8.15%), 14 May 2019 (14.12%), 07 Jun 2019 (-9.92%), 10 Jun 2019 (-8.79%), 13 Jun 2019 (-11.33%), 14 Jun 2019 (-12.77%), 18 Jun 2019 (-15.16%), 19 Jun 2019 (11.71%), 08 Jul 2019 (-12.86%), 16 Jul 2019 (-7.46%), 21 Aug 2019 (-11.67%)
20181502 Feb 2018 (-2.64%), 06 Feb 2018 (9.8%), 15 May 2018 (-0.06%), 16 Jul 2018 (0.55%), 19 Sep 2018 (-5.44%), 21 Sep 2018 (-6.35%), 24 Sep 2018 (-6.5%), 27 Sep 2018 (-7.43%), 01 Oct 2018 (-7.63%), 05 Oct 2018 (-8.12%), 08 Oct 2018 (-1.5%), 11 Oct 2018 (2.33%), 17 Oct 2018 (-8.57%), 26 Oct 2018 (10.02%), 07 Dec 2018 (-5.9%)
20171125 May 2017 (-1.07%), 29 May 2017 (18.08%), 25 Sep 2017 (-5.31%), 27 Sep 2017 (-3.02%), 03 Oct 2017 (-3.37%), 11 Oct 2017 (4.4%), 08 Nov 2017 (-4.74%), 13 Nov 2017 (-4.51%), 15 Nov 2017 (2.28%), 30 Nov 2017 (-5.04%), 05 Dec 2017 (-3.98%)
2016318 Jan 2016 (4.66%), 15 Nov 2016 (-4.93%), 21 Nov 2016 (1.21%)
2015407 May 2015 (0.44%), 13 Aug 2015 (-0.26%), 24 Aug 2015 (-5.88%), 25 Aug 2015 (9.18%)
2014424 Sep 2014 (-3.87%), 25 Sep 2014 (-1.42%), 30 Sep 2014 (-3.54%), 07 Oct 2014 (-0.73%)
2013813 Feb 2013 (-3.53%), 14 Feb 2013 (0.38%), 21 Feb 2013 (-1.9%), 26 Feb 2013 (-2.91%), 28 Feb 2013 (1.82%), 20 Mar 2013 (-4.58%), 21 Mar 2013 (-5.17%), 26 Mar 2013 (6.05%)
2012202 Jan 2012 (74.76%), 09 May 2012 (5.95%)
20112117 Jan 2011 (-1.79%), 27 Jan 2011 (-3.92%), 28 Jan 2011 (-4.24%), 01 Feb 2011 (-3.87%), 08 Feb 2011 (-4.72%), 09 Feb 2011 (9.03%), 05 May 2011 (-2.07%), 25 May 2011 (4.47%), 04 Aug 2011 (-3.64%), 05 Aug 2011 (-4.08%), 08 Aug 2011 (-4.71%), 09 Aug 2011 (-2.33%), 12 Aug 2011 (-5.19%), 16 Aug 2011 (-5.07%), 19 Aug 2011 (-1.48%), 26 Aug 2011 (17.26%), 30 Sep 2011 (5.34%), 21 Nov 2011 (-4.48%), 25 Nov 2011 (7.1%), 16 Dec 2011 (-6.22%), 20 Dec 2011 (2.19%)
2010905 May 2010 (-2.53%), 07 May 2010 (2.11%), 19 May 2010 (-3.71%), 16 Nov 2010 (-2.99%), 18 Nov 2010 (-3.45%), 19 Nov 2010 (-2.05%), 23 Nov 2010 (-3.86%), 25 Nov 2010 (-4.05%), 26 Nov 2010 (7.59%)
2009505 Mar 2009 (-8.06%), 09 Mar 2009 (20.87%), 27 Oct 2009 (-4.19%), 29 Oct 2009 (-1.97%), 03 Nov 2009 (25.19%)
20081321 Jan 2008 (-9.76%), 22 Jan 2008 (4.64%), 07 Mar 2008 (-7.1%), 13 Mar 2008 (-7.48%), 17 Mar 2008 (10.05%), 04 Jun 2008 (0.55%), 23 Jun 2008 (-1.28%), 30 Jun 2008 (-8.51%), 10 Oct 2008 (-9.77%), 15 Oct 2008 (-13.79%), 17 Oct 2008 (-2.25%), 27 Oct 2008 (15.04%), 19 Nov 2008 (8.18%)
2006208 Jun 2006 (-5.62%), 13 Jun 2006 (40.47%)
2005222 Sep 2005 (6.03%), 28 Oct 2005 (26.97%)
2004123 Jun 2004 (6.09%)
2002421 May 2002 (3.87%), 02 Aug 2002 (-4.75%), 04 Oct 2002 (-1.45%), 10 Oct 2002 (1.06%)
20011212 Mar 2001 (-9.0%), 13 Mar 2001 (4.79%), 12 Apr 2001 (19.63%), 22 Jun 2001 (-4.49%), 25 Jun 2001 (1.07%), 23 Jul 2001 (-4.09%), 25 Jul 2001 (3.99%), 07 Sep 2001 (-2.79%), 12 Sep 2001 (-3.45%), 14 Sep 2001 (-5.25%), 17 Sep 2001 (4.82%), 20 Sep 2001 (5.29%)
2000803 May 2000 (-2.69%), 15 May 2000 (-13.74%), 19 May 2000 (49.58%), 24 Jul 2000 (-7.6%), 14 Aug 2000 (38.48%), 17 Oct 2000 (-6.31%), 19 Oct 2000 (-6.31%), 23 Oct 2000 (17.52%)
1998908 Jun 1998 (-5.33%), 15 Jun 1998 (1.77%), 22 Jun 1998 (4.88%), 12 Aug 1998 (-1.85%), 17 Aug 1998 (-3.56%), 18 Aug 1998 (1.5%), 28 Aug 1998 (4.58%), 13 Oct 1998 (0.75%), 20 Oct 1998 (12.79%)
1997701 Apr 1997 (2.39%), 26 May 1997 (-3.64%), 28 May 1997 (2.86%), 19 Sep 1997 (-5.32%), 22 Sep 1997 (0.1%), 13 Nov 1997 (-4.52%), 19 Nov 1997 (-3.96%)
19961818 Jan 1996 (-4.45%), 23 Jan 1996 (-4.68%), 24 Jan 1996 (-4.99%), 25 Jan 1996 (31.63%), 02 Jul 1996 (-3.21%), 03 Jul 1996 (-2.38%), 09 Jul 1996 (-3.8%), 10 Jul 1996 (-3.41%), 04 Oct 1996 (-4.42%), 07 Oct 1996 (-4.96%), 08 Oct 1996 (0.97%), 14 Oct 1996 (5.95%), 06 Nov 1996 (-3.1%), 11 Nov 1996 (-1.68%), 20 Nov 1996 (-4.35%), 26 Nov 1996 (-4.22%), 03 Dec 1996 (-3.92%), 04 Dec 1996 (4.24%)
1995924 Apr 1995 (-3.52%), 25 Apr 1995 (-3.63%), 27 Apr 1995 (-3.86%), 02 May 1995 (6.97%), 21 Nov 1995 (-5.13%), 22 Nov 1995 (-5.55%), 23 Nov 1995 (-2.38%), 28 Nov 1995 (-6.36%), 29 Nov 1995 (-6.74%)



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