Study: Sell ASHOKLEY when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ASHOKLEY 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 ASHOKLEY 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
1-14715295494651.584528.4214488.64-8022.72-40938.170.560.6-0.037-1548.97
2-24713595504552.635478.5216574.59-11579.12-46908.320.470.53-0.045-2601.42
3-20903595504552.635882.1418633.54-11180.93-35937.50.530.58-0.04-2200.37
4-27885395455047.378427.9926175.69-13162.25-49466.950.640.58-0.041-2935.29
5-18617895484750.539915.8634338.95-14088.06-44444.440.70.72-0.026-1959.76
6-17677495445146.3211280.5629281.28-13198.4-43004.240.850.74-0.024-1860.77
7-24200295474849.4710391.4532120.67-15216.67-44562.90.680.67-0.031-2547.39
8-36138595405542.1111132.8832169.39-14667.28-57142.860.760.55-0.043-3804.06
9-40700395415443.1612400.1637674.57-16952.03-70281.540.730.56-0.042-4284.24
10-30165995435245.2613008.8871872.23-16558.47-64843.750.790.65-0.031-3175.35
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
atrnil24.16-2085962086214629.8116523.6826083.06-8445.65-14042.081.960.83-0.017-1002.87
atrtrail23.07-1858472327415831.911827.2626782.79-6715.59-14094.861.760.82-0.016-801.06
atrtrail33.54-2661752317215931.1711091.4940174.18-6696.62-14094.861.660.75-0.023-1152.27
atrtrail-13.88-3268512317215931.1710248.7770246.97-6696.62-14094.861.530.69-0.028-1414.94
atrnil35.86-4497342053916619.0224470.1239124.59-8458.24-14042.082.890.68-0.033-2193.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 29.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.5%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ASHOKLEY Performance, Profit Factor:0.831

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018708 Jan 2018 (-2.69%), 09 Jan 2018 (5.38%), 08 Mar 2018 (-2.76%), 13 Mar 2018 (5.5%), 20 Apr 2018 (-2.34%), 23 Apr 2018 (-2.32%), 25 Apr 2018 (4.71%)
2017927 Jan 2017 (-2.58%), 02 Feb 2017 (5.16%), 03 Jul 2017 (-2.53%), 06 Jul 2017 (-2.54%), 10 Jul 2017 (-2.69%), 17 Jul 2017 (5.19%), 12 Sep 2017 (5.54%), 10 Oct 2017 (-2.71%), 18 Oct 2017 (5.17%)
2016323 Mar 2016 (-3.16%), 31 Mar 2016 (-2.98%), 12 Apr 2016 (5.33%)
20151405 Jan 2015 (-3.66%), 07 Jan 2015 (-3.73%), 21 Jan 2015 (-3.4%), 27 Jan 2015 (-3.17%), 28 Jan 2015 (6.2%), 20 Jul 2015 (-2.68%), 21 Jul 2015 (-2.71%), 22 Jul 2015 (-2.69%), 28 Jul 2015 (-2.71%), 30 Jul 2015 (-2.71%), 04 Aug 2015 (-2.67%), 13 Aug 2015 (-2.9%), 17 Aug 2015 (-2.92%), 18 Aug 2015 (6.28%)
20142303 Jan 2014 (6.85%), 10 Mar 2014 (-3.13%), 24 Mar 2014 (-3.48%), 25 Mar 2014 (-3.5%), 26 Mar 2014 (-4.2%), 27 Mar 2014 (-4.6%), 31 Mar 2014 (-4.32%), 09 Apr 2014 (9.04%), 13 May 2014 (-4.16%), 16 May 2014 (-4.32%), 19 May 2014 (-4.31%), 21 May 2014 (-4.76%), 23 May 2014 (-5.14%), 26 May 2014 (-6.27%), 03 Jun 2014 (-5.6%), 24 Jun 2014 (-5.05%), 25 Jun 2014 (9.84%), 10 Sep 2014 (8.12%), 07 Nov 2014 (-3.18%), 10 Nov 2014 (-3.18%), 12 Nov 2014 (-3.27%), 13 Nov 2014 (-3.39%), 18 Nov 2014 (6.75%)
2013410 Oct 2013 (-3.92%), 11 Oct 2013 (-3.89%), 01 Nov 2013 (-2.97%), 05 Nov 2013 (6.45%)
2012824 Jan 2012 (-4.77%), 01 Feb 2012 (9.21%), 16 Feb 2012 (8.62%), 03 Apr 2012 (7.82%), 24 Sep 2012 (8.1%), 09 Nov 2012 (-3.11%), 12 Nov 2012 (-3.11%), 15 Nov 2012 (6.24%)
2010703 May 2010 (-3.34%), 06 May 2010 (-3.58%), 12 May 2010 (-3.68%), 13 May 2010 (7.42%), 08 Jul 2010 (-3.09%), 15 Jul 2010 (6.11%), 19 Jul 2010 (-3.43%)
20091218 Mar 2009 (8.72%), 09 Apr 2009 (-5.07%), 13 Apr 2009 (-4.89%), 15 Apr 2009 (10.39%), 18 May 2009 (-6.1%), 19 May 2009 (-7.02%), 20 May 2009 (-6.99%), 01 Jun 2009 (-6.68%), 02 Jun 2009 (13.04%), 05 Nov 2009 (-4.57%), 06 Nov 2009 (-4.69%), 10 Nov 2009 (-4.44%)
2008407 Jan 2008 (12.32%), 23 Apr 2008 (-4.03%), 02 May 2008 (9.21%), 11 Aug 2008 (8.61%)
2007612 Jul 2007 (5.61%), 24 Sep 2007 (-3.51%), 25 Sep 2007 (-3.88%), 26 Sep 2007 (-4.08%), 28 Sep 2007 (8.57%), 12 Dec 2007 (-6.31%)
20061703 Feb 2006 (-3.58%), 07 Feb 2006 (-3.67%), 08 Feb 2006 (7.6%), 21 Feb 2006 (-3.77%), 02 Mar 2006 (-3.62%), 06 Mar 2006 (7.55%), 27 Apr 2006 (-3.99%), 28 Apr 2006 (-4.39%), 29 Apr 2006 (8.5%), 17 Aug 2006 (-4.24%), 01 Sep 2006 (-3.21%), 04 Sep 2006 (-3.14%), 05 Sep 2006 (6.56%), 04 Oct 2006 (-3.15%), 05 Oct 2006 (-3.09%), 06 Oct 2006 (-3.11%), 09 Oct 2006 (6.37%)
2005708 Jun 2005 (-2.69%), 09 Jun 2005 (5.82%), 18 Jul 2005 (-3.68%), 27 Jul 2005 (-3.72%), 29 Jul 2005 (-3.94%), 01 Aug 2005 (7.91%), 28 Nov 2005 (7.17%)
20041014 Jan 2004 (8.49%), 25 Nov 2004 (-3.29%), 02 Dec 2004 (-3.41%), 08 Dec 2004 (-3.31%), 16 Dec 2004 (-3.07%), 21 Dec 2004 (-2.98%), 22 Dec 2004 (-3.15%), 24 Dec 2004 (-3.07%), 27 Dec 2004 (-3.25%), 28 Dec 2004 (6.43%)
20031611 Feb 2003 (7.45%), 16 May 2003 (-4.06%), 03 Jun 2003 (-4.0%), 16 Jun 2003 (-3.91%), 26 Jun 2003 (-3.58%), 02 Jul 2003 (-3.49%), 13 Aug 2003 (-4.23%), 14 Aug 2003 (8.76%), 30 Sep 2003 (-4.07%), 01 Oct 2003 (-4.07%), 03 Oct 2003 (-4.2%), 07 Oct 2003 (-4.35%), 08 Oct 2003 (-4.89%), 04 Nov 2003 (8.36%), 01 Dec 2003 (8.74%), 31 Dec 2003 (-4.5%)
2002521 Feb 2002 (11.66%), 16 Apr 2002 (-6.12%), 17 Apr 2002 (-6.06%), 18 Apr 2002 (12.53%), 14 May 2002 (11.62%)
20011309 Feb 2001 (-4.74%), 14 Feb 2001 (-5.5%), 15 Feb 2001 (-5.6%), 20 Feb 2001 (12.06%), 23 Aug 2001 (8.07%), 02 Nov 2001 (-4.32%), 05 Nov 2001 (-4.49%), 06 Nov 2001 (-4.42%), 08 Nov 2001 (-4.83%), 12 Nov 2001 (-5.26%), 15 Nov 2001 (-5.05%), 19 Nov 2001 (-5.22%), 21 Nov 2001 (12.56%)
2000326 Oct 2000 (10.06%), 29 Nov 2000 (-3.94%), 08 Dec 2000 (8.08%)
19992218 May 1999 (-5.83%), 19 May 1999 (-5.54%), 25 May 1999 (-5.56%), 26 May 1999 (-6.48%), 27 May 1999 (-6.5%), 28 May 1999 (-6.6%), 31 May 1999 (-6.2%), 16 Jun 1999 (-5.38%), 22 Jun 1999 (-4.93%), 28 Jun 1999 (-5.1%), 06 Jul 1999 (-4.75%), 07 Jul 1999 (-4.66%), 12 Jul 1999 (9.35%), 20 Jul 1999 (-5.96%), 27 Jul 1999 (-6.3%), 28 Jul 1999 (12.46%), 05 Aug 1999 (-6.07%), 06 Aug 1999 (-5.75%), 09 Aug 1999 (-6.0%), 10 Aug 1999 (-6.25%), 17 Aug 1999 (12.13%), 20 Dec 1999 (10.81%)
19981219 Mar 1998 (-5.36%), 25 Mar 1998 (-4.99%), 07 Apr 1998 (-5.14%), 09 Apr 1998 (-5.2%), 15 Apr 1998 (-5.46%), 10 Nov 1998 (-5.46%), 16 Nov 1998 (-5.83%), 17 Nov 1998 (-5.55%), 18 Nov 1998 (10.86%), 28 Dec 1998 (-5.05%), 29 Dec 1998 (-4.99%), 30 Dec 1998 (9.64%)
1997209 Jul 1997 (-3.53%), 10 Jul 1997 (7.13%)
1996312 Feb 1996 (-3.54%), 14 Feb 1996 (7.37%), 16 Feb 1996 (8.7%)
1995125 Jul 1995 (-2.85%)



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