Study: Sell ADANIPOWER when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ADANIPOWER when RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ADANIPOWER 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. buy 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
1-61737.5633132039.393968.5410378.68-5666.43-24399.260.70.46-0.088-1870.84
2-75399.7433122136.365145.8315094.34-6530.94-18076.290.790.45-0.098-2284.84
3-10116233102330.39012.0432054.18-8316.63-37352.251.080.47-0.084-3065.52
4-1081423392427.2712464.3246952.6-9180.03-35697.41.360.51-0.077-3277.03
5-78362.2333141942.429755.0751467.27-11312.28-37825.060.860.64-0.05-2374.61
6-12399333151845.4511411.8551467.27-16398.38-35699.80.70.58-0.067-3757.37
7-12049933132039.3913465.5549887.13-14777.56-54361.050.910.59-0.059-3651.48
8-10466933151845.4514294.750564.33-17727.2-52738.340.810.67-0.047-3171.79
9-73452.9833122136.3616994.8650790.07-13209.11-42190.671.290.74-0.036-2225.85
10-77472.4433132039.3916401.2352370.2-14534.42-59634.891.130.73-0.035-2347.65
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
atrnil34.96-16678.9478205825.6423709.3733408.62-8463.21-14220.582.80.97-0.0047-213.83
atrnil23.62-12117278225628.2115992.6322794.42-8446.61-14220.581.890.74-0.044-1553.49
atrtrail33.51-11073282216125.6113951.1533408.62-6618.13-14220.582.110.73-0.04-1350.39
atrtrail-14.15-11415982216125.6113787.9553423.26-6618.13-14220.582.080.72-0.037-1392.18
atrtrail23.09-13241682216125.6112918.5922272.41-6618.13-14220.581.950.67-0.053-1614.83

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 25.64%, which is not acceptable. Avoid this strategy. Average return per trade is -0.11%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ADANIPOWER Performance, Profit Factor:0.966

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Jul 2019 (-4.77%), 02 Jul 2019 (-4.7%), 09 Jul 2019 (14.71%)
20181601 Jan 2018 (-4.23%), 03 Jan 2018 (-4.21%), 05 Jan 2018 (12.23%), 20 Jul 2018 (-6.03%), 24 Jul 2018 (-5.93%), 25 Jul 2018 (-5.99%), 30 Jul 2018 (-6.1%), 31 Jul 2018 (-5.97%), 06 Aug 2018 (-5.7%), 29 Aug 2018 (16.7%), 29 Oct 2018 (-7.11%), 30 Oct 2018 (-6.88%), 01 Nov 2018 (-6.67%), 28 Nov 2018 (-4.94%), 29 Nov 2018 (-4.9%), 03 Dec 2018 (13.88%)
2017911 Jan 2017 (-3.43%), 12 Jan 2017 (-3.61%), 18 Jan 2017 (10.28%), 06 Apr 2017 (-3.03%), 24 Jul 2017 (-3.4%), 26 Jul 2017 (9.97%), 06 Nov 2017 (10.52%), 22 Dec 2017 (-4.41%), 27 Dec 2017 (-4.07%)
2016701 Jan 2016 (10.99%), 23 Mar 2016 (-3.23%), 31 Mar 2016 (-4.25%), 04 Apr 2016 (12.4%), 05 Dec 2016 (-4.1%), 06 Dec 2016 (-4.02%), 07 Dec 2016 (13.3%)
2015523 Jan 2015 (-3.16%), 30 Jan 2015 (10.63%), 23 Feb 2015 (-3.91%), 12 Oct 2015 (-4.4%), 20 Oct 2015 (-4.41%)
20141207 Mar 2014 (-3.76%), 10 Mar 2014 (-3.77%), 19 Mar 2014 (-3.68%), 28 Mar 2014 (-3.63%), 31 Mar 2014 (-3.97%), 02 Apr 2014 (-4.04%), 04 Apr 2014 (-4.1%), 07 Apr 2014 (-4.2%), 10 Apr 2014 (12.85%), 19 May 2014 (-4.72%), 21 May 2014 (-4.59%), 23 May 2014 (-4.23%)
2013420 May 2013 (-4.07%), 21 May 2013 (13.04%), 06 Dec 2013 (-4.12%), 09 Dec 2013 (12.62%)
20121312 Jan 2012 (-5.02%), 17 Jan 2012 (-5.27%), 19 Jan 2012 (15.56%), 24 Sep 2012 (-3.9%), 25 Sep 2012 (-4.14%), 27 Sep 2012 (-4.16%), 04 Oct 2012 (11.76%), 30 Nov 2012 (-3.11%), 03 Dec 2012 (-3.05%), 06 Dec 2012 (-3.49%), 10 Dec 2012 (-3.45%), 11 Dec 2012 (-3.46%), 19 Dec 2012 (10.64%)
2010905 Jan 2010 (-2.92%), 06 Jan 2010 (9.1%), 16 Mar 2010 (-2.95%), 26 Mar 2010 (-2.66%), 07 Apr 2010 (-2.47%), 30 Apr 2010 (8.31%), 02 Aug 2010 (-2.51%), 10 Aug 2010 (-2.48%), 11 Aug 2010 (7.58%)



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