Study: Sell ARVIND when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ARVIND 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 ARVIND 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
11030.8191514056.044452.7621481.48-5651.5-22335.030.7910.0003411.33
213070.4391454649.456932.0133333.33-6497.17-29195.091.071.040.0031143.63
333789.9791484352.758131.237777.78-8290.87-39914.160.981.090.0068371.32
412628.5991523957.148597.5834814.81-11139.64-51713.40.771.030.0022138.78
518073.0291504154.9510795.2236296.3-12724.1-72961.370.851.030.0025198.6
626999.3691523957.1411334.0842231.08-14419.81-75536.480.791.050.0033296.7
7-14417391424946.1512615.5132711.31-13755.61-93562.230.920.79-0.017-1584.32
8-23066791464550.5511782.2537321.62-17170.02-84978.540.690.7-0.026-2534.81
9-23549291494253.8511757.1444785.95-19323.62-76824.030.610.71-0.025-2587.83
10-17632991504154.9513751.7451811.2-21071.12-99141.630.650.8-0.017-1937.68
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
atrnil35.63-1729351944415022.6826595.3243769.18-8954.19-15671.732.970.87-0.012-891.42
atrnil23.9-1632571965913730.117958.0730886.35-8925.42-15671.732.010.87-0.013-832.94
atrtrail23.09-1644572127313934.4311136.6229536.29-7031.88-15671.731.580.83-0.015-775.74
atrtrail33.63-2423272117114033.6510435.5438190.11-7023.22-15671.731.490.75-0.022-1148.47
atrtrail-13.95-2819122117114033.659878.0144605.04-7023.22-15671.731.410.71-0.026-1336.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 22.68%, which is not acceptable. Avoid this strategy. Average return per trade is -0.45%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ARVIND Performance, Profit Factor:0.871

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017408 Sep 2017 (-2.65%), 13 Sep 2017 (7.67%), 03 Nov 2017 (-2.76%), 07 Nov 2017 (8.56%)
2016431 May 2016 (-2.87%), 07 Jul 2016 (8.15%), 25 Oct 2016 (-3.66%), 27 Oct 2016 (10.92%)
2015607 Jul 2015 (-3.86%), 20 Jul 2015 (-3.27%), 19 Nov 2015 (-3.12%), 24 Dec 2015 (-2.9%), 28 Dec 2015 (-2.9%), 31 Dec 2015 (8.22%)
20141302 Jan 2014 (-3.78%), 06 Jan 2014 (11.73%), 31 Mar 2014 (-3.37%), 01 Apr 2014 (-3.48%), 11 Apr 2014 (-3.42%), 17 Apr 2014 (-3.63%), 26 Jun 2014 (-4.14%), 03 Jul 2014 (11.04%), 25 Aug 2014 (-4.4%), 28 Aug 2014 (-4.0%), 03 Sep 2014 (-3.67%), 04 Sep 2014 (-3.75%), 12 Sep 2014 (10.6%)
20131102 Jan 2013 (9.76%), 07 Oct 2013 (-3.6%), 08 Oct 2013 (-3.84%), 17 Oct 2013 (-4.01%), 21 Oct 2013 (-3.75%), 29 Oct 2013 (-3.83%), 05 Nov 2013 (-3.58%), 08 Nov 2013 (-3.9%), 13 Nov 2013 (-4.01%), 18 Nov 2013 (-3.9%), 02 Dec 2013 (-3.77%)
2012519 Jan 2012 (-5.05%), 31 Jan 2012 (-4.71%), 28 Sep 2012 (-3.9%), 01 Oct 2012 (-3.83%), 03 Dec 2012 (-3.14%)
2011603 Jan 2011 (14.42%), 31 Mar 2011 (-4.66%), 06 Apr 2011 (-4.64%), 15 Apr 2011 (-4.87%), 21 Apr 2011 (-4.53%), 19 Oct 2011 (12.32%)
20101507 Jan 2010 (11.65%), 01 Jul 2010 (-3.67%), 04 Aug 2010 (-3.16%), 09 Aug 2010 (-3.24%), 10 Aug 2010 (-3.35%), 11 Aug 2010 (-3.65%), 13 Aug 2010 (-3.8%), 17 Aug 2010 (-3.84%), 13 Oct 2010 (-4.35%), 19 Oct 2010 (-4.57%), 27 Oct 2010 (-4.45%), 28 Oct 2010 (-4.66%), 08 Nov 2010 (-4.21%), 10 Nov 2010 (11.88%), 31 Dec 2010 (-4.89%)
20091708 Apr 2009 (-5.82%), 13 Apr 2009 (-5.97%), 16 Apr 2009 (-6.28%), 17 Apr 2009 (-6.37%), 20 Apr 2009 (-7.72%), 20 May 2009 (-7.84%), 21 May 2009 (-7.74%), 22 May 2009 (-7.47%), 25 May 2009 (-7.16%), 27 May 2009 (-7.48%), 29 May 2009 (21.88%), 26 Aug 2009 (-4.9%), 27 Aug 2009 (-5.01%), 28 Aug 2009 (-4.92%), 11 Sep 2009 (-5.5%), 17 Sep 2009 (-5.21%), 30 Sep 2009 (16.49%)
2008123 Apr 2008 (16.93%)
2007604 Jul 2007 (-3.19%), 04 Sep 2007 (-4.75%), 26 Sep 2007 (-5.1%), 28 Sep 2007 (-5.45%), 04 Oct 2007 (-6.11%), 15 Oct 2007 (20.35%)
2006305 Apr 2006 (10.98%), 04 Sep 2006 (-4.1%), 07 Sep 2006 (12.0%)
2005124 May 2005 (10.29%)
20041502 Jan 2004 (13.38%), 15 Apr 2004 (-4.27%), 22 Apr 2004 (14.03%), 07 May 2004 (15.26%), 16 Nov 2004 (-3.15%), 18 Nov 2004 (-3.85%), 22 Nov 2004 (-3.89%), 24 Nov 2004 (-4.08%), 25 Nov 2004 (-4.33%), 29 Nov 2004 (-4.19%), 21 Dec 2004 (-3.45%), 22 Dec 2004 (-3.43%), 27 Dec 2004 (-3.29%), 28 Dec 2004 (-3.31%), 29 Dec 2004 (9.94%)
20032009 Apr 2003 (-3.66%), 15 Apr 2003 (-4.2%), 22 Apr 2003 (-4.11%), 05 May 2003 (-4.0%), 12 May 2003 (-3.95%), 13 May 2003 (-3.85%), 14 May 2003 (-3.76%), 15 May 2003 (-3.91%), 16 May 2003 (-4.01%), 20 May 2003 (-4.79%), 21 May 2003 (-4.85%), 22 May 2003 (-4.79%), 17 Jun 2003 (-5.1%), 02 Jul 2003 (-4.45%), 03 Jul 2003 (13.38%), 01 Sep 2003 (16.59%), 24 Nov 2003 (-5.39%), 02 Dec 2003 (-4.67%), 26 Dec 2003 (-3.68%), 29 Dec 2003 (-3.64%)
20021923 Jan 2002 (-4.97%), 24 Jan 2002 (-4.91%), 28 Jan 2002 (-4.8%), 05 Feb 2002 (-4.81%), 06 Feb 2002 (-4.7%), 15 Feb 2002 (-5.76%), 18 Feb 2002 (-5.65%), 19 Feb 2002 (-6.65%), 26 Feb 2002 (-6.35%), 01 Mar 2002 (-7.07%), 04 Mar 2002 (20.75%), 07 May 2002 (17.47%), 11 Jun 2002 (-6.18%), 17 Jun 2002 (-5.86%), 24 Jun 2002 (-6.13%), 05 Jul 2002 (-5.76%), 08 Jul 2002 (16.9%), 25 Nov 2002 (-3.62%), 02 Dec 2002 (11.01%)
2001628 May 2001 (-5.44%), 30 May 2001 (17.16%), 16 Aug 2001 (-4.8%), 03 Dec 2001 (-4.75%), 04 Dec 2001 (-4.72%), 05 Dec 2001 (15.91%)
20001131 May 2000 (21.0%), 11 Sep 2000 (-6.16%), 12 Sep 2000 (-6.58%), 13 Sep 2000 (19.1%), 02 Nov 2000 (-6.45%), 03 Nov 2000 (-6.37%), 24 Nov 2000 (-6.5%), 27 Nov 2000 (-6.4%), 08 Dec 2000 (-6.08%), 11 Dec 2000 (-5.82%), 14 Dec 2000 (18.31%)
1999405 Jan 1999 (-4.74%), 06 Jan 1999 (-4.85%), 19 May 1999 (-4.94%), 12 Jul 1999 (14.9%)
1998609 Apr 1998 (-4.88%), 13 Apr 1998 (-5.2%), 15 Apr 1998 (15.55%), 28 Dec 1998 (-3.95%), 29 Dec 1998 (-4.17%), 30 Dec 1998 (-4.16%)
1997901 Jan 1997 (-2.84%), 03 Jan 1997 (-3.0%), 06 Jan 1997 (-3.07%), 08 Jan 1997 (-3.28%), 15 Jan 1997 (9.21%), 01 Mar 1997 (-3.3%), 03 Mar 1997 (-3.47%), 05 Mar 1997 (10.69%), 09 Jul 1997 (10.04%)
1996718 Apr 1996 (-3.32%), 19 Apr 1996 (-3.37%), 24 Apr 1996 (-3.93%), 30 Apr 1996 (-4.46%), 01 May 1996 (13.24%), 11 Jun 1996 (8.93%), 31 Dec 1996 (-2.83%)
1995519 Jun 1995 (-2.0%), 20 Jun 1995 (-2.11%), 21 Jun 1995 (6.31%), 29 Sep 1995 (-3.27%), 10 Oct 1995 (10.2%)



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