Study: Buy SRF when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SRF 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 SRF 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
1-16812.1965333250.774967.2514597.86-5647.85-38384.650.880.91-0.0064-258.65
281063.7565333250.778206.8824605.68-5930.1-28398.491.381.430.0261247.13
3-15262.926526394012398.3832079.21-8656.94-48423.711.430.95-0.0035-234.81
4-5038.0865283743.0812875.550693.07-9879.79-46067.791.30.99-0.001-77.51
5-68331.9165283743.0813821.9570891.09-12306.67-51840.311.120.85-0.011-1051.26
6-51375.9265323349.2312349.6357821.78-13532.24-58612.860.910.88-0.0089-790.4
7-38443.7265313447.6914134.768910.89-14018.22-52459.021.010.92-0.006-591.44
8-9126.7365313447.6914037.2369306.93-13067.08-46396.841.070.98-0.0015-140.41
9-76682.4665293644.6213016.0256382.98-12615.19-40868.711.030.83-0.014-1179.73
105416.4965283743.0814382.4660990.1-10737.63-46660.091.341.010.0009583.33
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
atrtrail35.61160051117516643.5915871.96101825-9839.69-28715.31.611.250.0151367.95
atrnil312.02187732102287427.4538030.46101825-11852.98-28797.423.211.210.0151840.51
atrtrail-16.04119796117516643.5915082.6689254.47-9839.69-28715.31.531.180.0121023.9
atrtrail24.73117225117516643.5915032.2567883.23-9839.69-28715.31.531.180.0131001.93
atrnil27.63121810104376735.5824858.3367883.23-11909.67-28797.422.091.150.0121171.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.25. 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 43.59%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, 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.
SRF Performance, Profit Factor:1.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018806 Feb 2018 (6.32%), 21 May 2018 (-3.94%), 23 May 2018 (2.13%), 22 Jun 2018 (-3.16%), 28 Jun 2018 (-0.53%), 28 Sep 2018 (-5.39%), 01 Oct 2018 (-2.85%), 08 Oct 2018 (3.09%)
2017128 Jun 2017 (1.58%)
2016420 Jan 2016 (-1.56%), 16 Nov 2016 (-4.91%), 17 Nov 2016 (-5.29%), 18 Nov 2016 (6.15%)
2015124 Aug 2015 (4.79%)
2013924 Jan 2013 (-2.02%), 29 Jan 2013 (0.79%), 20 Mar 2013 (-3.69%), 31 May 2013 (2.1%), 21 Jun 2013 (-3.45%), 26 Jun 2013 (3.28%), 25 Jul 2013 (-2.66%), 31 Jul 2013 (-3.59%), 02 Aug 2013 (11.27%)
2012811 Apr 2012 (-2.54%), 16 Apr 2012 (0.82%), 04 May 2012 (-3.29%), 07 May 2012 (-1.22%), 09 May 2012 (-3.48%), 16 May 2012 (-2.36%), 18 Jun 2012 (7.8%), 26 Nov 2012 (3.1%)
2011809 Feb 2011 (7.8%), 20 Jun 2011 (-2.94%), 22 Jun 2011 (-0.74%), 19 Aug 2011 (10.54%), 09 Dec 2011 (-4.36%), 14 Dec 2011 (-4.31%), 15 Dec 2011 (-4.48%), 19 Dec 2011 (6.29%)
2010230 Nov 2010 (6.45%), 09 Dec 2010 (25.49%)
20081521 Jan 2008 (-11.69%), 22 Jan 2008 (11.07%), 24 Mar 2008 (28.01%), 18 Sep 2008 (-4.44%), 25 Sep 2008 (-4.78%), 29 Sep 2008 (-2.21%), 06 Oct 2008 (-6.45%), 08 Oct 2008 (-7.47%), 10 Oct 2008 (-5.69%), 16 Oct 2008 (-7.43%), 23 Oct 2008 (-8.38%), 24 Oct 2008 (-9.59%), 27 Oct 2008 (-3.34%), 06 Nov 2008 (-4.2%), 19 Nov 2008 (8.02%)
20071012 Feb 2007 (1.9%), 28 Feb 2007 (-6.74%), 02 Mar 2007 (-7.56%), 05 Mar 2007 (-8.99%), 06 Mar 2007 (1.49%), 25 Jul 2007 (-4.44%), 01 Aug 2007 (-1.8%), 16 Aug 2007 (-4.96%), 17 Aug 2007 (-3.76%), 23 Aug 2007 (16.65%)
20061215 May 2006 (-7.27%), 16 May 2006 (-0.41%), 18 May 2006 (-8.55%), 19 May 2006 (-10.9%), 22 May 2006 (7.31%), 05 Jun 2006 (-10.64%), 07 Jun 2006 (-14.36%), 13 Jun 2006 (50.91%), 21 Nov 2006 (-3.53%), 30 Nov 2006 (1.32%), 11 Dec 2006 (-4.9%), 12 Dec 2006 (18.97%)
2005319 Oct 2005 (-6.44%), 20 Oct 2005 (-2.05%), 28 Oct 2005 (22.68%)
2004211 Mar 2004 (-7.37%), 19 Mar 2004 (10.73%)
2001422 Jan 2001 (-4.48%), 05 Feb 2001 (12.44%), 25 Apr 2001 (0.08%), 06 Aug 2001 (0.78%)
2000608 Mar 2000 (-6.57%), 14 Mar 2000 (12.53%), 19 May 2000 (18.01%), 10 Aug 2000 (0.31%), 11 Oct 2000 (0.24%), 26 Dec 2000 (4.69%)
1998225 May 1998 (-5.03%), 23 Jun 1998 (4.5%)
1997812 May 1997 (-3.23%), 27 May 1997 (-2.84%), 03 Jun 1997 (0.78%), 09 Sep 1997 (-4.23%), 17 Sep 1997 (0.87%), 27 Oct 1997 (-3.2%), 06 Nov 1997 (-4.54%), 07 Nov 1997 (2.93%)
1996629 Jan 1996 (11.82%), 21 May 1996 (14.02%), 02 Jul 1996 (-5.02%), 15 Jul 1996 (18.55%), 08 Aug 1996 (-6.33%), 13 Aug 1996 (1.53%)
1995825 Apr 1995 (-4.87%), 28 Apr 1995 (-5.36%), 03 May 1995 (1.66%), 22 May 1995 (2.67%), 20 Sep 1995 (1.91%), 17 Oct 1995 (-5.89%), 18 Oct 1995 (1.82%), 24 Oct 1995 (3.72%)



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