Study: Sell ALBK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ALBK 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 ALBK 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
1-95010.5370343648.573135.148333.33-5600.14-29729.730.560.53-0.052-1357.29
2-61018.2770323845.716401.4115329.77-6996.41-240000.910.77-0.025-871.69
3-97620.09703535507183.6118128.41-9972.75-40640.390.720.72-0.031-1394.57
4-10407370323845.719727.4929761.9-10930.35-41009.850.890.75-0.028-1486.76
5-14022770304042.869867.2833035.71-10906.14-39039.410.90.68-0.037-2003.25
6-1604577028424012013.4139217.88-11829.35-36234.11.020.68-0.038-2292.25
7-23788570264437.1411821.4133966.48-12391.85-34935.680.950.56-0.057-3398.36
8-14550970313944.2912559.735865.92-13714.36-33446.170.920.73-0.032-2078.71
9-19505570333747.1413257.7455771.43-17096.24-48434.930.780.69-0.035-2786.51
10-33163570333747.1411528.8641005.59-19245.6-54874.890.60.53-0.058-4737.64
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
atrnil34.96-2790671723214018.624487.4334547.31-7590.46-11840.113.230.74-0.032-1622.48
atrtrail22.72-2814511905413628.4211067.4822896.53-6463.93-11204.51.710.68-0.041-1481.32
atrnil23.26-3396711794413524.5815764.6223031.54-7654.18-11840.112.060.67-0.046-1897.6
atrtrail33.21-4194811885313528.198486.1930495.1-6438.88-11204.51.320.52-0.067-2231.28
atrtrail-13.4-4511781885313528.197888.1344854.08-6438.88-11204.51.230.48-0.074-2399.88

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ALBK Performance, Profit Factor:0.737

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Mar 2019 (-4.71%), 07 Mar 2019 (-4.85%), 08 Mar 2019 (14.58%)
2018231 Oct 2018 (14.37%), 03 Dec 2018 (13.85%)
2017803 Feb 2017 (8.99%), 28 Apr 2017 (-2.74%), 03 May 2017 (-3.04%), 04 May 2017 (-3.0%), 11 May 2017 (-3.54%), 12 May 2017 (10.61%), 25 Oct 2017 (-3.37%), 26 Oct 2017 (11.1%)
2016801 Apr 2016 (-3.9%), 21 Jun 2016 (-3.93%), 23 Jun 2016 (-3.96%), 27 Jun 2016 (-4.16%), 30 Jun 2016 (-3.7%), 04 Jul 2016 (-3.64%), 05 Jul 2016 (-3.58%), 11 Jul 2016 (11.07%)
20141128 Mar 2014 (-2.79%), 02 Apr 2014 (-3.09%), 25 Apr 2014 (-3.02%), 02 May 2014 (-3.32%), 06 May 2014 (9.6%), 19 May 2014 (-4.56%), 23 May 2014 (-4.44%), 26 May 2014 (-5.23%), 04 Jun 2014 (-5.22%), 09 Jun 2014 (14.12%), 04 Dec 2014 (11.49%)
2013501 Jan 2013 (-2.96%), 02 Jan 2013 (-2.96%), 04 Jan 2013 (-2.94%), 03 Nov 2013 (-4.2%), 05 Nov 2013 (12.67%)
20121727 Jan 2012 (-4.53%), 30 Jan 2012 (-4.71%), 01 Feb 2012 (-4.31%), 03 Feb 2012 (-4.27%), 07 Feb 2012 (-4.2%), 10 Feb 2012 (-4.07%), 14 Feb 2012 (-3.98%), 15 Feb 2012 (-3.91%), 17 Feb 2012 (-3.91%), 21 Feb 2012 (11.49%), 18 Sep 2012 (-2.98%), 21 Sep 2012 (-3.09%), 04 Oct 2012 (8.65%), 05 Dec 2012 (-3.28%), 07 Dec 2012 (-3.26%), 10 Dec 2012 (-3.26%), 19 Dec 2012 (-3.4%)
2011229 Mar 2011 (-3.59%), 05 Apr 2011 (10.67%)
20101806 Apr 2010 (-3.11%), 07 Apr 2010 (9.43%), 16 Jul 2010 (-2.29%), 19 Jul 2010 (-2.3%), 21 Jul 2010 (-2.29%), 23 Jul 2010 (-2.39%), 28 Jul 2010 (-2.38%), 29 Jul 2010 (-2.43%), 03 Aug 2010 (-2.46%), 10 Aug 2010 (-2.47%), 13 Aug 2010 (-2.66%), 16 Aug 2010 (-2.75%), 03 Sep 2010 (-3.02%), 13 Sep 2010 (-2.89%), 16 Sep 2010 (-2.82%), 04 Oct 2010 (-2.58%), 06 Oct 2010 (-2.51%), 25 Oct 2010 (-3.34%)
20091705 Jan 2009 (11.83%), 13 Apr 2009 (-4.88%), 15 Apr 2009 (-4.9%), 17 Apr 2009 (-5.92%), 05 May 2009 (-5.4%), 18 May 2009 (-5.31%), 19 May 2009 (-5.6%), 20 May 2009 (-5.61%), 28 May 2009 (17.27%), 08 Sep 2009 (-3.63%), 10 Sep 2009 (-3.67%), 11 Sep 2009 (-3.87%), 15 Sep 2009 (-4.02%), 23 Sep 2009 (-4.28%), 25 Sep 2009 (-4.99%), 15 Oct 2009 (-4.51%), 17 Oct 2009 (13.08%)
2008102 Jan 2008 (13.29%)
20071117 May 2007 (-3.11%), 21 May 2007 (9.55%), 13 Jul 2007 (-3.44%), 16 Jul 2007 (-3.58%), 17 Jul 2007 (-3.84%), 18 Jul 2007 (12.73%), 24 Sep 2007 (-3.54%), 28 Sep 2007 (-3.94%), 01 Oct 2007 (11.78%), 16 Nov 2007 (-5.21%), 19 Nov 2007 (15.09%)
2006909 May 2006 (-3.38%), 10 May 2006 (10.05%), 25 Aug 2006 (-3.45%), 14 Sep 2006 (-4.01%), 21 Sep 2006 (-4.19%), 28 Sep 2006 (-3.85%), 05 Oct 2006 (-4.03%), 31 Oct 2006 (-3.43%), 15 Nov 2006 (9.68%)
20051303 Jan 2005 (-4.03%), 05 Jan 2005 (15.25%), 07 Mar 2005 (-3.7%), 08 Mar 2005 (-3.62%), 09 Mar 2005 (-3.72%), 10 Mar 2005 (-3.93%), 11 Mar 2005 (-4.21%), 14 Mar 2005 (-4.36%), 21 Mar 2005 (-4.82%), 22 Mar 2005 (-5.14%), 20 Jul 2005 (-2.95%), 21 Jul 2005 (-3.02%), 26 Jul 2005 (8.82%)
20043202 Jan 2004 (-3.67%), 13 Jan 2004 (-3.71%), 14 Jan 2004 (-3.91%), 15 Jan 2004 (12.3%), 01 Apr 2004 (-3.86%), 08 Apr 2004 (-4.03%), 12 Apr 2004 (-4.33%), 15 Apr 2004 (-4.33%), 16 Apr 2004 (-4.28%), 17 Apr 2004 (12.53%), 04 May 2004 (-5.53%), 05 May 2004 (-5.59%), 06 May 2004 (-5.45%), 07 May 2004 (17.03%), 23 Sep 2004 (-3.24%), 24 Sep 2004 (-3.31%), 29 Sep 2004 (-3.33%), 30 Sep 2004 (-3.39%), 01 Oct 2004 (-3.62%), 04 Oct 2004 (-3.7%), 06 Oct 2004 (-3.54%), 07 Oct 2004 (-3.69%), 11 Oct 2004 (-4.13%), 08 Nov 2004 (-3.3%), 11 Nov 2004 (-3.29%), 17 Nov 2004 (-3.22%), 18 Nov 2004 (-3.28%), 01 Dec 2004 (-3.72%), 02 Dec 2004 (-3.87%), 23 Dec 2004 (-3.62%), 29 Dec 2004 (-4.4%), 30 Dec 2004 (-4.35%)
20031506 May 2003 (-4.04%), 13 May 2003 (-3.98%), 14 May 2003 (-3.88%), 15 May 2003 (-3.81%), 29 May 2003 (-4.54%), 30 May 2003 (15.09%), 09 Oct 2003 (-3.53%), 16 Oct 2003 (-3.97%), 17 Oct 2003 (-3.91%), 20 Oct 2003 (-4.28%), 21 Oct 2003 (-4.59%), 25 Oct 2003 (13.72%), 15 Dec 2003 (-4.11%), 24 Dec 2003 (-3.86%), 29 Dec 2003 (-3.73%)



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