Study: Buy TVSMOTOR when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TVSMOTOR 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 TVSMOTOR 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
194894.1522626508445.829653-4796.03-20164.611.761.760.051824.89
257846.6952242846.158667.7725867.51-5363.56-18276.761.621.390.0281112.44
3-14140.55522626509237.5733915.21-9781.44-246400.940.94-0.0053-271.93
4-12427.8152242846.1513374.3356691.6-11907.56-36489.411.120.96-0.0031-239
5-14747.7152252748.0813404.6451039.07-12957.91-438401.030.96-0.0038-283.61
6-6461.8552242846.1513484.5646716.54-11788.97-352001.140.98-0.0018-124.27
763284.8552252748.0814243.4250872.82-10844.47-416001.311.220.0161217.02
858167.5252292355.7712160.1852036.58-12803.38-36419.750.951.20.0151118.61
946906.2352272551.9213068.2153366.58-12237.41-34156.381.071.150.012902.04
10-17351.4152252748.0812969.4249044.06-12651.36-42819.841.030.95-0.0045-333.68

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.76. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, which is low, don't trade solely on the basis of this study.

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
nilnil-1194894.1522626508445.829653-4796.03-20164.611.761.760.051824.89
atrtrail24.23135097101386337.6217704.1251090.32-8534.28-23032.912.071.250.0191337.59
atrnil26.4955583.7993316233.3325577.951090.32-11892.44-29866.282.151.080.0072597.68
atrnil310.3939305.4390236725.5636862.2558411.95-12067.56-29866.283.051.050.0045436.73
atrtrail34.98120.3399366336.3615160.5656384.16-8534.28-23032.911.781.020.001382.02
atrtrail-15.29-91389.4898356335.7112724.2341416.25-8519.64-23032.911.490.83-0.016-932.55

In the table above, row 1 shows the best exit criterion. Profit factor is 1.76. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.05, 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.
TVSMOTOR Performance, X=1, Profit Factor:1.76

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019428 Jan 2019 (3.7%), 19 Jun 2019 (4.05%), 08 Jul 2019 (3.88%), 22 Jul 2019 (-2.59%)
2018523 Jan 2018 (0.08%), 07 Feb 2018 (2.73%), 22 Feb 2018 (5.77%), 18 May 2018 (-1.9%), 05 Oct 2018 (0.18%)
2016115 Nov 2016 (3.22%)
2015120 Apr 2015 (1.64%)
2013415 Mar 2013 (-1.45%), 02 Apr 2013 (6.76%), 20 Jun 2013 (-3.41%), 30 Jul 2013 (6.31%)
2012306 Mar 2012 (-1.03%), 26 Mar 2012 (-2.64%), 16 May 2012 (-1.93%)
2011310 Jan 2011 (1.14%), 28 Jan 2011 (1.59%), 12 Dec 2011 (2.37%)
2010123 Feb 2010 (6.32%)
2009209 Jan 2009 (-3.13%), 23 Jan 2009 (6.31%)
2008521 Jan 2008 (-10.08%), 04 Feb 2008 (-0.12%), 24 Mar 2008 (14.83%), 24 Jun 2008 (0.16%), 25 Nov 2008 (3.76%)
2007508 Jan 2007 (-0.19%), 25 Jan 2007 (-3.62%), 12 Feb 2007 (-0.49%), 27 Feb 2007 (-4.22%), 19 Oct 2007 (-1.18%)
2006522 May 2006 (6.28%), 08 Jun 2006 (5.29%), 18 Jul 2006 (-4.18%), 09 Nov 2006 (-0.4%), 11 Dec 2006 (-7.71%)
2004425 Mar 2004 (-2.25%), 11 May 2004 (6.17%), 31 May 2004 (6.97%), 24 Jun 2004 (3.65%)
2003311 Mar 2003 (-0.55%), 26 Mar 2003 (-2.81%), 09 Apr 2003 (-1.85%)
2002230 Jul 2002 (3.73%), 24 Sep 2002 (-0.64%)
2001206 Apr 2001 (-0.99%), 12 Sep 2001 (-2.22%)
2000213 Oct 2000 (2.9%), 26 Dec 2000 (-0.74%)



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