Study: Buy TATAELXSI when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TATAELXSI 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 TATAELXSI 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
1-3475.4165313447.695653.8322789.12-5257.18-21200.751.080.98-0.0014-53.47
242114.1965333250.778264.3823433.51-7206.58-23386.111.151.180.013647.91
398865.7265343152.3111487.8457294.43-9410.35-44391.411.221.340.0211521.01
414612765343152.3112921.4961892.13-9458.19-30016.311.371.50.0292248.1
521000565333250.7714257.9354111.41-8140.84-24879.181.751.810.0433230.84
614829365372856.9212804.0864014.15-11623.5-39056.461.11.460.0272281.43
714753165323349.2316471.9573916.89-11502.16-47022.431.431.390.0242269.71
820631765353053.8516870.1781343.94-12804.63-37587.011.321.540.0313174.11
913183265343152.3116832.7164898.32-14209.04-43066.71.181.30.0192028.18
1018603065333250.7717837.3266383.68-12581.29-42459.41.421.460.0272862.01
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
atrtrail24.425105512545803619052.2955444.89-7578.72-24328.152.511.410.0272008.44
atrtrail35.15224118125448135.219053.4179186.54-7583.11-24328.152.511.360.0231792.94
atrtrail-15.88164079125438234.418187.2878703.14-7536.26-24328.152.411.270.0161312.63
atrnil39.45204804108307827.7835038.1883167.34-10850.54-35586.533.231.240.0171896.33
atrnil26.47101426111397235.1422665.2855444.89-10868.34-35586.532.091.130.01913.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.41. 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 36%, which is not acceptable. Avoid this strategy. Average return per trade is 1%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, 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.
TATAELXSI Performance, Profit Factor:1.41

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191325 Jan 2019 (-2.68%), 28 Jan 2019 (5.92%), 19 Feb 2019 (5.81%), 03 May 2019 (-2.63%), 13 May 2019 (-2.56%), 14 May 2019 (5.21%), 17 Jul 2019 (-3.56%), 19 Jul 2019 (-4.05%), 23 Jul 2019 (-4.16%), 25 Jul 2019 (-4.21%), 30 Jul 2019 (-1.45%), 01 Aug 2019 (-1.39%), 13 Aug 2019 (-0.28%)
2018625 Sep 2018 (-3.96%), 26 Sep 2018 (-4.19%), 28 Sep 2018 (-1.74%), 05 Oct 2018 (-4.46%), 08 Oct 2018 (-2.43%), 25 Oct 2018 (11.04%)
2017224 May 2017 (-1.07%), 30 May 2017 (7.13%)
20161615 Jan 2016 (-5.35%), 18 Jan 2016 (11.83%), 27 Jun 2016 (1.6%), 15 Jul 2016 (-0.37%), 12 Sep 2016 (0.59%), 29 Sep 2016 (-0.55%), 06 Oct 2016 (-2.73%), 13 Oct 2016 (-0.81%), 25 Oct 2016 (-2.76%), 26 Oct 2016 (-3.0%), 27 Oct 2016 (6.66%), 07 Nov 2016 (-2.59%), 09 Nov 2016 (-2.49%), 11 Nov 2016 (-4.27%), 15 Nov 2016 (-4.89%), 21 Nov 2016 (9.49%)
2013408 Feb 2013 (-1.65%), 28 Feb 2013 (-3.68%), 04 Mar 2013 (7.85%), 05 Aug 2013 (8.48%)
20111101 Feb 2011 (-2.03%), 09 Feb 2011 (-4.91%), 10 Feb 2011 (10.35%), 05 Aug 2011 (-3.34%), 08 Aug 2011 (-3.65%), 09 Aug 2011 (-1.21%), 12 Aug 2011 (-4.11%), 16 Aug 2011 (-4.31%), 19 Aug 2011 (-3.84%), 16 Dec 2011 (-5.03%), 19 Dec 2011 (1.01%)
2010619 May 2010 (-4.58%), 21 May 2010 (-3.56%), 25 May 2010 (10.13%), 06 Aug 2010 (-0.48%), 30 Aug 2010 (-3.78%), 31 Aug 2010 (7.82%)
2009305 Mar 2009 (9.66%), 29 Oct 2009 (-5.02%), 03 Nov 2009 (11.28%)
20081722 Jan 2008 (1.91%), 07 Mar 2008 (-6.29%), 10 Mar 2008 (-4.07%), 17 Mar 2008 (-6.62%), 19 Mar 2008 (-7.49%), 24 Mar 2008 (18.5%), 23 Jul 2008 (-5.39%), 29 Jul 2008 (11.38%), 18 Aug 2008 (-1.32%), 15 Sep 2008 (-5.08%), 17 Sep 2008 (-5.95%), 18 Sep 2008 (-6.19%), 29 Sep 2008 (-6.48%), 30 Sep 2008 (-4.19%), 06 Oct 2008 (-6.61%), 08 Oct 2008 (2.13%), 24 Oct 2008 (19.19%)
2007527 Jul 2007 (-1.22%), 22 Oct 2007 (-0.3%), 31 Oct 2007 (-6.53%), 05 Nov 2007 (-4.82%), 12 Nov 2007 (11.68%)
2006531 Jan 2006 (-3.88%), 03 Feb 2006 (7.37%), 08 Jun 2006 (-4.39%), 13 Jun 2006 (20.81%), 21 Jul 2006 (11.32%)
2005122 Sep 2005 (3.47%)
2004421 Jan 2004 (2.43%), 16 Mar 2004 (-3.47%), 19 Mar 2004 (-5.39%), 22 Mar 2004 (11.64%)
2003523 Jan 2003 (-3.68%), 24 Jan 2003 (-3.84%), 27 Jan 2003 (9.42%), 14 Feb 2003 (8.96%), 10 Mar 2003 (9.85%)
2002128 Oct 2002 (-1.44%)
2001912 Mar 2001 (1.49%), 12 Apr 2001 (26.4%), 25 Jun 2001 (5.77%), 25 Jul 2001 (-7.01%), 26 Jul 2001 (-1.13%), 09 Aug 2001 (12.44%), 12 Sep 2001 (-5.05%), 14 Sep 2001 (-6.92%), 17 Sep 2001 (21.86%)
2000303 Apr 2000 (-12.16%), 05 Apr 2000 (9.62%), 24 Jul 2000 (-1.09%)
1998210 Jun 1998 (-8.9%), 16 Jun 1998 (27.72%)
1997112 Nov 1997 (-0.88%)
1996625 Jan 1996 (10.12%), 30 Sep 1996 (-4.2%), 04 Oct 1996 (-4.81%), 08 Oct 1996 (10.46%), 29 Nov 1996 (-4.11%), 04 Dec 1996 (8.52%)
1995510 Nov 1995 (-4.68%), 13 Nov 1995 (-5.18%), 14 Nov 1995 (1.4%), 21 Nov 1995 (-2.58%), 28 Nov 1995 (10.94%)



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