Study: Buy TATASTEEL when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TATASTEEL 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 TATASTEEL 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
114809.5986424448.845654.2224511.64-5060.63-18563.921.121.070.0048172.2
296462.9586493756.986803.4741477.12-6402.9-18408.511.061.410.0241121.66
368621.3486483855.817689.756569.44-7907.48-23747.060.971.230.014797.92
437606.7286454152.339491.7145016.5-9500.5-43031.7311.10.0064437.29
514557.528643435010408.1859405.94-10069.64-395561.031.030.0024169.27
676761.0186473954.6511187.6251089.11-11514.29-48776.440.971.170.011892.57
710569986464053.4913607.8263630.36-13006.51-71106.631.051.20.0131229.06
882873.8786414547.6716560.7461386.14-13247.03-76567.661.251.140.0091963.65
989124.9186424448.8417587.0189117.45-14762.04-66189.951.191.140.00881036.34
1067352.0886424448.8417898.3995709.57-15554.1-77699.291.151.10.0064783.16
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
atrtrail34.57204862162649839.5114220.893454.44-7196.62-32995.841.981.290.0171264.58
atrtrail24.01181562162649839.5113856.7377199.65-7196.62-32995.841.931.260.0161120.75
atrtrail-15.221748071616110037.8914634.9581419.45-7179.25-32995.842.041.240.0141085.75
atrnil25.9164385150529834.6720657.9477199.65-9283.96-32995.842.231.180.0141095.9
atrnil39.0951678.371483611224.3230935.7593454.44-9482.22-38599.823.261.050.0037349.18

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 39.51%, which is not acceptable. Avoid this strategy. Average return per trade is 0.63%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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.
TATASTEEL Performance, Profit Factor:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191022 Jan 2019 (-0.88%), 25 Jan 2019 (2.43%), 15 May 2019 (0.53%), 30 Jul 2019 (-0.08%), 05 Aug 2019 (-3.7%), 07 Aug 2019 (-4.65%), 08 Aug 2019 (-4.9%), 13 Aug 2019 (-0.66%), 21 Aug 2019 (-4.22%), 26 Aug 2019 (-1.31%)
2018409 Mar 2018 (-0.37%), 19 Mar 2018 (-0.98%), 23 Mar 2018 (0.07%), 11 Dec 2018 (2.26%)
2017108 May 2017 (8.13%)
20151009 Feb 2015 (4.64%), 10 Mar 2015 (-1.67%), 04 Jun 2015 (-2.56%), 11 Jun 2015 (1.64%), 09 Jul 2015 (-1.62%), 21 Jul 2015 (-0.96%), 24 Jul 2015 (-3.19%), 27 Jul 2015 (1.15%), 13 Aug 2015 (3.73%), 24 Aug 2015 (5.24%)
2014714 Jan 2014 (-0.85%), 27 Jan 2014 (0.45%), 25 Sep 2014 (-0.28%), 01 Oct 2014 (0.73%), 11 Dec 2014 (-3.28%), 12 Dec 2014 (-3.57%), 16 Dec 2014 (0.44%)
20131713 Feb 2013 (0.25%), 21 Feb 2013 (-2.59%), 26 Feb 2013 (-0.74%), 28 Feb 2013 (2.13%), 21 Mar 2013 (-3.26%), 25 Mar 2013 (-3.44%), 28 Mar 2013 (-1.21%), 04 Apr 2013 (-1.92%), 11 Apr 2013 (1.71%), 12 Jun 2013 (-3.33%), 13 Jun 2013 (5.64%), 22 Jul 2013 (-3.31%), 25 Jul 2013 (-3.79%), 29 Jul 2013 (-4.02%), 31 Jul 2013 (-4.27%), 02 Aug 2013 (-2.04%), 06 Aug 2013 (14.79%)
2012614 May 2012 (-1.12%), 26 Jul 2012 (8.17%), 30 Aug 2012 (-2.87%), 03 Sep 2012 (-1.34%), 05 Sep 2012 (9.29%), 19 Nov 2012 (8.25%)
20111005 Aug 2011 (-2.55%), 08 Aug 2011 (-2.9%), 09 Aug 2011 (-3.28%), 16 Aug 2011 (-2.6%), 19 Aug 2011 (0.03%), 24 Aug 2011 (-3.7%), 26 Aug 2011 (12.58%), 03 Oct 2011 (13.27%), 21 Nov 2011 (-1.6%), 20 Dec 2011 (-0.41%)
2010704 May 2010 (-4.1%), 07 May 2010 (3.25%), 18 May 2010 (-4.54%), 20 May 2010 (-4.41%), 25 May 2010 (0.21%), 01 Jun 2010 (-3.3%), 07 Jun 2010 (2.39%)
20081821 Jan 2008 (-7.05%), 22 Jan 2008 (13.29%), 24 Mar 2008 (13.08%), 24 Jun 2008 (0.43%), 15 Sep 2008 (-5.7%), 17 Sep 2008 (-5.95%), 18 Sep 2008 (1.22%), 29 Sep 2008 (-6.27%), 30 Sep 2008 (-3.91%), 03 Oct 2008 (-7.47%), 06 Oct 2008 (-7.24%), 08 Oct 2008 (-9.97%), 10 Oct 2008 (-5.83%), 15 Oct 2008 (-10.29%), 22 Oct 2008 (-13.82%), 23 Oct 2008 (-16.5%), 24 Oct 2008 (17.27%), 25 Nov 2008 (46.73%)
2007117 Aug 2007 (-0.64%)
2006120 Nov 2006 (1.64%)
2005218 Apr 2005 (0.38%), 27 Oct 2005 (5.79%)
2004624 Mar 2004 (15.38%), 11 May 2004 (-2.94%), 14 May 2004 (-7.09%), 17 May 2004 (26.46%), 11 Aug 2004 (-2.68%), 23 Aug 2004 (20.08%)
2003207 Mar 2003 (-2.95%), 13 Mar 2003 (3.55%)
2002130 Jul 2002 (0.43%)
20011313 Mar 2001 (10.16%), 22 Jun 2001 (-1.29%), 29 Jun 2001 (0.09%), 04 Jul 2001 (13.77%), 05 Jul 2001 (-5.76%), 09 Jul 2001 (0.34%), 19 Jul 2001 (-3.59%), 23 Aug 2001 (-3.1%), 29 Aug 2001 (-3.14%), 31 Aug 2001 (1.48%), 14 Sep 2001 (-4.15%), 17 Sep 2001 (-2.81%), 27 Sep 2001 (15.97%)
2000929 Feb 2000 (-5.94%), 01 Mar 2000 (-6.73%), 03 Mar 2000 (-7.67%), 07 Mar 2000 (4.36%), 18 Sep 2000 (-3.22%), 19 Sep 2000 (-0.99%), 22 Sep 2000 (-0.73%), 10 Oct 2000 (-3.65%), 11 Oct 2000 (11.85%)
1999425 Mar 1999 (-4.91%), 30 Mar 1999 (2.68%), 12 Apr 1999 (-1.32%), 26 Apr 1999 (19.24%)
1998824 Jul 1998 (-3.38%), 03 Aug 1998 (-2.37%), 11 Aug 1998 (-5.04%), 31 Aug 1998 (-4.38%), 01 Sep 1998 (14.03%), 05 Oct 1998 (-0.09%), 15 Oct 1998 (-4.74%), 20 Oct 1998 (15.27%)
19971331 Mar 1997 (-4.36%), 01 Apr 1997 (-0.22%), 29 Aug 1997 (1.4%), 22 Sep 1997 (-1.1%), 28 Oct 1997 (2.97%), 18 Nov 1997 (-3.38%), 19 Nov 1997 (-3.47%), 20 Nov 1997 (-3.55%), 21 Nov 1997 (-4.08%), 24 Nov 1997 (0.67%), 28 Nov 1997 (-4.48%), 04 Dec 1997 (-4.35%), 09 Dec 1997 (13.31%)
1996909 Jan 1996 (-2.4%), 17 Jan 1996 (-3.88%), 23 Jan 1996 (11.96%), 24 Jan 1996 (14.79%), 09 Jul 1996 (-0.78%), 24 Jul 1996 (-5.53%), 30 Jul 1996 (1.7%), 16 Sep 1996 (2.97%), 04 Dec 1996 (3.77%)
1995328 Apr 1995 (-3.4%), 02 May 1995 (12.8%), 28 Nov 1995 (0.37%)



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