Study: Buy WOCKPHARMA when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy WOCKPHARMA 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 WOCKPHARMA 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
1-24092670224831.433124.4512315.81-6451.33-22614.940.480.22-0.12-3441.8
2-30009570244634.294527.0711478.21-8885.75-38798.870.510.27-0.11-4287.06
3-39031170244634.297328.422621.56-12308.53-42373.720.60.31-0.1-5575.87
4-32806070294141.438144.0934317.12-13761.92-58132.640.590.42-0.073-4686.57
5-2840987028424011331.137006.34-14318.29-72310.730.790.53-0.055-4058.54
6-31246670264437.1413178.0341826.64-14888.51-78683.460.890.52-0.055-4463.8
7-34170670323845.7110841.3538139.53-18121.82-84302.830.60.5-0.056-4881.51
8-34019470304042.8611811.635652.93-17363.55-90082.750.680.51-0.054-4859.91
9-28950270333747.1412715.143552.18-19164.88-95578.610.660.59-0.043-4135.75
10-29188770343648.5713014.0841525.42-20399.04-1007900.640.6-0.042-4169.81
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
atrnil39.7151565.1120318925.8336151.880626.4-12012.82-49779.243.011.050.0043429.71
atrnil26.25-85764.56122388431.1524331.7553750.94-12028.23-49779.242.020.92-0.0089-702.99
atrtrail24.74-102379138449431.8818216.7353750.94-9616.12-28545.91.890.89-0.011-741.88
atrtrail35.47-132457138449431.8817533.1459192.52-9616.12-28545.91.820.85-0.014-959.84
atrtrail-15.92-150565138439531.1617527.9796992.33-9518.6-28545.91.840.83-0.015-1091.05

In the table above, row 1 shows the best exit criterion. Profit factor is 1.05. 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 25.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0043, 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.
WOCKPHARMA Performance, Profit Factor:1.05

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019528 Jan 2019 (-3.84%), 04 Feb 2019 (-4.19%), 06 Feb 2019 (14.07%), 08 May 2019 (-3.65%), 13 May 2019 (12.23%)
2018602 Feb 2018 (-6.01%), 18 May 2018 (-4.72%), 16 Jul 2018 (-4.11%), 19 Jul 2018 (12.86%), 08 Oct 2018 (-6.99%), 26 Oct 2018 (19.2%)
20171205 May 2017 (-3.0%), 19 May 2017 (-2.57%), 22 May 2017 (-2.73%), 23 May 2017 (-3.05%), 24 May 2017 (-3.47%), 25 May 2017 (10.78%), 29 May 2017 (-4.06%), 21 Jun 2017 (-3.67%), 22 Jun 2017 (11.82%), 10 Aug 2017 (-3.44%), 11 Aug 2017 (-3.55%), 21 Aug 2017 (10.74%)
20161415 Jan 2016 (-5.7%), 18 Jan 2016 (-6.47%), 19 Jan 2016 (-6.79%), 03 Feb 2016 (-6.3%), 04 Feb 2016 (-7.69%), 10 Feb 2016 (-7.84%), 11 Feb 2016 (-9.03%), 12 Feb 2016 (33.76%), 24 May 2016 (-3.79%), 12 Aug 2016 (17.54%), 16 Nov 2016 (-4.82%), 21 Nov 2016 (-5.0%), 23 Nov 2016 (-4.97%), 26 Dec 2016 (9.8%)
2015427 Apr 2015 (-7.73%), 28 Apr 2015 (25.68%), 24 Aug 2015 (-6.23%), 07 Sep 2015 (20.77%)
20131323 May 2013 (-7.71%), 24 May 2013 (-9.09%), 29 May 2013 (-9.97%), 12 Jun 2013 (-8.63%), 05 Jul 2013 (-7.7%), 22 Jul 2013 (-8.19%), 24 Jul 2013 (-10.87%), 26 Jul 2013 (-12.46%), 30 Jul 2013 (-13.71%), 02 Aug 2013 (-14.27%), 08 Aug 2013 (40.31%), 11 Dec 2013 (-5.75%), 13 Dec 2013 (18.31%)
2011316 Dec 2011 (-5.72%), 19 Dec 2011 (-7.06%), 20 Dec 2011 (25.51%)
2010623 Feb 2010 (-4.21%), 25 Feb 2010 (-4.42%), 23 Mar 2010 (-3.85%), 06 May 2010 (-3.31%), 12 May 2010 (-3.41%), 17 May 2010 (10.73%)
2009420 Feb 2009 (-5.83%), 24 Feb 2009 (-6.69%), 03 Mar 2009 (-6.5%), 12 Mar 2009 (19.33%)
20082021 Jan 2008 (-5.47%), 22 Jan 2008 (-8.17%), 17 Mar 2008 (-6.65%), 19 Mar 2008 (22.72%), 04 Jun 2008 (-5.49%), 09 Jun 2008 (-5.83%), 20 Jun 2008 (-5.38%), 23 Jun 2008 (-6.18%), 24 Jun 2008 (-7.0%), 30 Jun 2008 (-7.61%), 02 Jul 2008 (-7.9%), 18 Sep 2008 (-5.31%), 29 Sep 2008 (-5.33%), 30 Sep 2008 (-5.51%), 10 Oct 2008 (-6.84%), 24 Oct 2008 (-6.78%), 27 Oct 2008 (-8.36%), 29 Oct 2008 (-10.45%), 18 Nov 2008 (-9.58%), 20 Nov 2008 (29.0%)
2007129 Nov 2007 (10.47%)
2006727 Apr 2006 (-4.78%), 19 May 2006 (-7.01%), 22 May 2006 (-8.69%), 08 Jun 2006 (28.31%), 30 Nov 2006 (-3.23%), 11 Dec 2006 (-3.23%), 12 Dec 2006 (10.94%)
2005319 Oct 2005 (-5.02%), 20 Oct 2005 (-6.01%), 27 Oct 2005 (20.14%)
2004229 Apr 2004 (-24.89%), 17 Jun 2004 (26.67%)
2003417 Mar 2003 (-2.7%), 28 Mar 2003 (-3.68%), 31 Mar 2003 (-4.18%), 02 May 2003 (12.94%)
2002617 May 2002 (-2.25%), 20 May 2002 (-2.37%), 21 May 2002 (-2.59%), 28 May 2002 (-2.76%), 09 Dec 2002 (-3.06%), 11 Dec 2002 (10.06%)
2001508 Mar 2001 (-3.65%), 09 Mar 2001 (-4.05%), 13 Mar 2001 (16.71%), 25 Jul 2001 (-2.67%), 26 Jul 2001 (8.6%)
2000523 May 2000 (21.14%), 24 Jul 2000 (-4.48%), 01 Aug 2000 (15.25%), 11 Oct 2000 (-4.65%), 19 Oct 2000 (13.94%)



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