Study: Buy TECHM when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TECHM 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 TECHM 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
1-51298.0441192246.343755.5712999.92-5575.17-22943.160.670.58-0.052-1251.17
2-77837.4841202148.784204.1311608.9-7710.48-39259.450.550.52-0.059-1898.48
3-87761.6541221953.666535.2724767.54-12186.19-62963.920.540.62-0.042-2140.53
4-11217241192246.348945.4121956.52-12824.29-53412.920.70.6-0.047-2735.9
5-12522341202148.788945.7521037.56-14482.74-51233.320.620.59-0.053-3054.21
6-11993241172441.4611567.5528708.63-13190.86-66908.90.880.62-0.044-2925.18
7-12456841192246.3410891.8726479.16-15068.8-74643.140.720.62-0.045-3038.25
8-10149641182343.912480.8432344.37-14180.48-81131.590.880.69-0.035-2475.51
9-10007941192246.3411233.9734488.08-14251.13-72826.370.790.68-0.036-2440.96
10-55616.9441202148.7811764.734419.48-13852.91-56977.250.850.81-0.021-1356.51
Although, strategy looks good but profit factor on day 2 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
atrtrail24.06-12594.2387285932.1815304.1155376.99-7476.43-24452.292.050.97-0.003-144.76
atrnil25.21-33764.0478235529.492088855376.99-9348.88-28945.592.230.93-0.0075-432.87
atrnil38.84-56985.1476175922.3728911.4378551.72-9296.26-31390.823.110.9-0.011-749.8
atrtrail34.85-12810085265930.5911376.2934872.84-7184.47-24452.291.580.7-0.039-1507.06
atrtrail-15.15-15857585265930.5910204.1927728.76-7184.47-24452.291.420.63-0.053-1865.58

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 32.18%, which is not acceptable. Avoid this strategy. Average return per trade is -0.072%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TECHM Performance, Profit Factor:0.971

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019822 May 2019 (-2.33%), 24 May 2019 (0.85%), 05 Jul 2019 (-2.29%), 08 Jul 2019 (-2.34%), 11 Jul 2019 (1.4%), 25 Jul 2019 (-2.55%), 30 Jul 2019 (-2.52%), 31 Jul 2019 (-2.73%)
2017405 Apr 2017 (-2.5%), 12 Apr 2017 (-2.45%), 17 Apr 2017 (1.34%), 29 May 2017 (7.91%)
20161202 Feb 2016 (-2.73%), 09 Feb 2016 (-3.21%), 11 Feb 2016 (-3.28%), 17 Feb 2016 (-0.78%), 23 Feb 2016 (-3.26%), 25 Feb 2016 (6.55%), 25 Aug 2016 (-2.06%), 29 Aug 2016 (5.11%), 28 Sep 2016 (-2.41%), 29 Sep 2016 (-2.28%), 07 Oct 2016 (-1.87%), 17 Oct 2016 (5.28%)
2015630 Mar 2015 (6.19%), 24 Apr 2015 (-3.48%), 27 Apr 2015 (7.22%), 28 May 2015 (-1.73%), 29 Jun 2015 (-3.17%), 06 Jul 2015 (7.35%)
2013205 Apr 2013 (0.48%), 23 Apr 2013 (6.77%)
2012214 May 2012 (-2.08%), 17 May 2012 (8.07%)
2011609 Feb 2011 (-4.75%), 11 Feb 2011 (11.62%), 18 Aug 2011 (-4.08%), 19 Aug 2011 (-0.98%), 25 Aug 2011 (9.93%), 03 Oct 2011 (10.22%)
20101831 Mar 2010 (-1.94%), 19 Apr 2010 (-2.13%), 27 Apr 2010 (-2.54%), 28 Apr 2010 (-2.07%), 04 May 2010 (-3.06%), 05 May 2010 (-3.11%), 07 May 2010 (-0.73%), 11 May 2010 (0.0%), 14 May 2010 (-3.51%), 18 May 2010 (-3.59%), 19 May 2010 (-4.01%), 21 May 2010 (-2.57%), 25 May 2010 (8.64%), 26 Aug 2010 (-2.53%), 30 Aug 2010 (-2.69%), 01 Sep 2010 (5.44%), 19 Nov 2010 (-2.9%), 25 Nov 2010 (8.42%)
20081716 Jan 2008 (-5.97%), 18 Jan 2008 (-6.08%), 21 Jan 2008 (-7.72%), 22 Jan 2008 (-5.6%), 31 Jan 2008 (6.68%), 12 Feb 2008 (-1.74%), 18 Sep 2008 (-0.26%), 06 Oct 2008 (-6.65%), 07 Oct 2008 (-8.28%), 08 Oct 2008 (-9.35%), 10 Oct 2008 (23.16%), 14 Oct 2008 (-10.66%), 15 Oct 2008 (-12.23%), 17 Oct 2008 (27.69%), 24 Oct 2008 (-11.96%), 18 Nov 2008 (-11.32%), 20 Nov 2008 (3.82%)
20071228 Feb 2007 (-3.1%), 05 Mar 2007 (4.31%), 29 Jun 2007 (-0.45%), 31 Jul 2007 (-3.63%), 02 Aug 2007 (-2.88%), 06 Aug 2007 (7.43%), 07 Aug 2007 (-0.84%), 10 Aug 2007 (-3.25%), 27 Aug 2007 (9.85%), 06 Nov 2007 (-5.98%), 08 Nov 2007 (-3.41%), 22 Nov 2007 (12.55%)



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