Study: Buy SUNPHARMA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy SUNPHARMA 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 SUNPHARMA 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
1-32633.19401624406823.0220919.99-5908.39-15888.171.150.77-0.021-815.83
2-8727.71401822459235.9325344.64-7953.38-30398.911.160.95-0.004-218.19
3-620.6540192147.511550.343356.95-10479.82-38077.051.11-0.00021-15.52
4-45231.7640192147.512482.9743976.97-13448.01-51065.780.930.84-0.013-1130.79
5-5937.8640192147.514813.551284.32-13685.44-34975.931.080.98-0.0017-148.45
633797.7240192147.515701.9751992.91-12597.13-40054.551.251.130.0093844.94
760873.3640231757.514361.1748449.96-15849.03-52846.910.911.230.0151521.83
813874.2840231757.512709.5341408.33-16379.11-45605.180.781.050.0038346.86
9-15263.534022185513622.3331178.03-17497.49-53406.070.780.95-0.004-381.59
1015522.924024166013012.8839282.55-18549.13-49668.360.71.050.004388.07
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
atrnil310.6831968071224930.9934723.38126015-9066.02-92392.813.831.720.0354502.53
atrnil25.1619026774284637.8421859.484009.82-9169.48-92392.812.381.450.0262571.18
atrtrail23.8615166878294937.1818302.8784009.82-7737.04-35085.732.371.40.0241944.46
atrtrail35.1447877.9877294837.6614702.5346669.24-7885.32-35085.731.861.130.0087621.79
atrtrail-15.6130936.5677294837.6614118.3545700.91-7885.32-35085.731.791.080.0057401.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.72. 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 30.99%, which is not acceptable. Avoid this strategy. Average return per trade is 2.25%, which is very good. Sharpe Ratio is 0.035, 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.
SUNPHARMA Performance, Profit Factor:1.72

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Jan 2019 (12.76%), 13 May 2019 (-4.34%), 19 Jun 2019 (11.48%)
2018421 May 2018 (11.01%), 27 Nov 2018 (-4.11%), 03 Dec 2018 (-4.73%), 05 Dec 2018 (-5.63%)
2017723 May 2017 (-2.46%), 25 May 2017 (-2.72%), 26 May 2017 (-3.06%), 29 May 2017 (12.82%), 04 Aug 2017 (-2.95%), 09 Aug 2017 (-3.23%), 10 Aug 2017 (-3.62%)
2016403 Nov 2016 (-1.96%), 04 Nov 2016 (-2.59%), 08 Nov 2016 (-2.9%), 21 Dec 2016 (10.2%)
2015603 Jun 2015 (-3.76%), 09 Jun 2015 (11.18%), 06 Nov 2015 (-2.84%), 09 Nov 2015 (-3.35%), 10 Nov 2015 (-3.6%), 24 Nov 2015 (9.2%)
2011204 Feb 2011 (-4.68%), 08 Feb 2011 (14.59%)
2008322 Jan 2008 (-6.34%), 24 Jan 2008 (23.33%), 04 Nov 2008 (29.92%)
2007328 Feb 2007 (12.19%), 27 Jul 2007 (-3.19%), 01 Aug 2007 (-3.34%)
2006207 Jun 2006 (-7.72%), 08 Jun 2006 (25.44%)
2005312 Jan 2005 (-4.87%), 14 Jan 2005 (-5.18%), 27 Oct 2005 (15.64%)
2002319 Apr 2002 (-3.08%), 22 Apr 2002 (-3.47%), 31 May 2002 (-5.31%)
2001607 Mar 2001 (-4.96%), 08 Mar 2001 (-5.16%), 09 Mar 2001 (-5.59%), 13 Mar 2001 (19.26%), 29 Jun 2001 (-4.23%), 04 Jul 2001 (12.79%)
2000608 Mar 2000 (-46.2%), 02 May 2000 (63.01%), 18 Sep 2000 (-5.04%), 19 Sep 2000 (-5.39%), 22 Sep 2000 (-6.1%), 03 Oct 2000 (19.46%)
1998322 Jun 1998 (29.39%), 09 Dec 1998 (-3.58%), 10 Dec 1998 (12.23%)
1997503 Dec 1997 (-2.73%), 05 Dec 1997 (-2.75%), 10 Dec 1997 (-3.06%), 18 Dec 1997 (-3.17%), 26 Dec 1997 (9.9%)
1996817 Sep 1996 (-1.25%), 23 Sep 1996 (-1.26%), 24 Sep 1996 (-1.34%), 25 Sep 1996 (-1.87%), 26 Sep 1996 (-2.33%), 27 Sep 1996 (-2.7%), 30 Sep 1996 (-3.05%), 07 Oct 1996 (9.73%)
1995301 Sep 1995 (6.44%), 21 Nov 1995 (-2.38%), 22 Nov 1995 (-2.97%)



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