Study: Sell AUROPHARMA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell AUROPHARMA 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 AUROPHARMA 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
1-459548103366734.954470.9421520.07-9261.23-2049930.480.26-0.044-4461.63
2-949375103445942.725036.222886.42-19846.91-6064520.250.19-0.032-9217.23
3-1.87569e+06103426140.785990.7427270.14-34873.77-1.42479e+060.170.12-0.027-18210.57
4-3.48936e+06103455843.697630.437517.79-66081.45-3.04626e+060.120.09-0.024-33877.24
5-6.86913e+06103426140.788943.3730230.57-118766-6.40561e+060.0750.052-0.022-66690.54
6-6.82889e+06103416239.819859.3437631.65-116663-6.22442e+060.0850.056-0.023-66299.91
7-6.95894e+06103396437.869609.6237688.59-114589-6.24498e+060.0840.051-0.023-67562.57
8-7.03135e+06103346933.0111269.538941.08-107457-6.21414e+060.10.052-0.023-68265.57
9-6.9431e+06103356833.9811743.0140364.36-108149-6.09463e+060.110.056-0.023-67408.76
10-6.90864e+06103376635.9213815.2994898.69-112421-6.12932e+060.120.069-0.023-67074.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.26. This strategy is not profitable and we advice you not to use it.

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
atrnil23.36-6462172736820524.9116224.527043.67-8534.07-13915.391.90.63-0.044-2367.1
atrtrail22.71-6296052978121627.2711541.5127043.67-7242.9-13915.391.590.6-0.046-2119.88
atrnil34.62-7688652654621917.3623731.3640565.5-8495.47-13915.392.790.59-0.048-2901.38
atrtrail33.06-6809332927721526.3711397.4640565.5-7249.01-13915.391.570.56-0.047-2331.96
atrtrail-13.37-7388352917621526.1210768.3861451.18-7242.94-13915.391.490.53-0.051-2538.95
nilnil-11-459548103366734.954470.9421520.07-9261.23-2049930.480.26-0.044-4461.63

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. 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.
AUROPHARMA Performance, Profit Factor:0.631

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Apr 2019 (4.87%)
2018423 Aug 2018 (-2.82%), 31 Aug 2018 (-2.77%), 06 Sep 2018 (-3.26%), 07 Sep 2018 (6.95%)
2017523 Jun 2017 (-2.99%), 30 Jun 2017 (-2.9%), 10 Jul 2017 (-2.52%), 14 Jul 2017 (-2.63%), 19 Jul 2017 (6.14%)
2016222 Sep 2016 (-2.52%), 28 Sep 2016 (5.06%)
20151330 Jan 2015 (5.01%), 07 Apr 2015 (-4.03%), 16 Apr 2015 (7.61%), 13 Jul 2015 (-5.0%), 14 Jul 2015 (-5.93%), 15 Jul 2015 (-6.4%), 16 Jul 2015 (-6.57%), 17 Jul 2015 (-6.71%), 20 Jul 2015 (-6.75%), 19 Aug 2015 (8.42%), 23 Oct 2015 (-2.84%), 28 Oct 2015 (5.31%), 29 Dec 2015 (4.02%)
20142106 Jan 2014 (7.62%), 21 Jan 2014 (-4.13%), 30 Jan 2014 (-4.16%), 31 Jan 2014 (-4.1%), 05 Feb 2014 (-3.87%), 07 Feb 2014 (-4.16%), 05 Mar 2014 (6.92%), 30 May 2014 (7.33%), 12 Jun 2014 (-3.44%), 24 Jun 2014 (-3.15%), 25 Jun 2014 (-3.1%), 26 Jun 2014 (-3.32%), 03 Jul 2014 (6.3%), 25 Aug 2014 (-3.19%), 08 Sep 2014 (-2.75%), 09 Sep 2014 (-2.74%), 12 Sep 2014 (5.68%), 07 Oct 2014 (7.47%), 12 Nov 2014 (-3.6%), 13 Nov 2014 (-3.55%), 18 Nov 2014 (6.67%)
20131402 May 2013 (8.14%), 01 Oct 2013 (-4.19%), 22 Oct 2013 (6.89%), 03 Nov 2013 (-3.44%), 07 Nov 2013 (-3.45%), 08 Nov 2013 (-3.66%), 11 Nov 2013 (-3.67%), 14 Nov 2013 (-3.57%), 26 Nov 2013 (-3.2%), 02 Dec 2013 (-3.04%), 16 Dec 2013 (-3.29%), 17 Dec 2013 (-3.41%), 18 Dec 2013 (-3.67%), 24 Dec 2013 (-3.66%)
20121211 Jan 2012 (8.49%), 19 Apr 2012 (-4.34%), 08 Sep 2012 (-3.84%), 10 Sep 2012 (-3.8%), 25 Sep 2012 (-4.0%), 28 Sep 2012 (-3.81%), 03 Oct 2012 (-4.12%), 10 Oct 2012 (-4.22%), 11 Oct 2012 (-4.2%), 01 Nov 2012 (-3.87%), 07 Nov 2012 (-3.57%), 04 Dec 2012 (7.22%)
20101209 Jul 2010 (-2.51%), 12 Jul 2010 (-2.5%), 13 Jul 2010 (-2.48%), 16 Jul 2010 (4.97%), 19 Aug 2010 (-3.12%), 13 Oct 2010 (-2.75%), 14 Oct 2010 (-2.82%), 22 Oct 2010 (-2.79%), 01 Nov 2010 (-2.9%), 03 Nov 2010 (-3.2%), 05 Nov 2010 (-2.95%), 08 Nov 2010 (5.92%)
20093206 Jan 2009 (12.79%), 31 Mar 2009 (-5.09%), 06 Apr 2009 (-5.14%), 09 Apr 2009 (-5.59%), 15 Apr 2009 (-5.54%), 16 Apr 2009 (-6.05%), 04 May 2009 (-6.96%), 05 May 2009 (-6.76%), 07 May 2009 (-6.34%), 11 May 2009 (-6.09%), 18 May 2009 (11.54%), 19 May 2009 (-6.83%), 21 May 2009 (-6.27%), 25 May 2009 (-6.31%), 28 May 2009 (-6.47%), 01 Jun 2009 (-5.97%), 04 Jun 2009 (-5.78%), 05 Jun 2009 (-5.58%), 10 Jun 2009 (-6.14%), 11 Jun 2009 (-6.22%), 25 Jun 2009 (12.58%), 31 Jul 2009 (-5.4%), 03 Aug 2009 (10.37%), 12 Aug 2009 (-6.04%), 13 Aug 2009 (-5.84%), 24 Aug 2009 (-4.92%), 25 Sep 2009 (-3.89%), 30 Sep 2009 (-3.95%), 07 Oct 2009 (-3.85%), 08 Oct 2009 (-3.85%), 20 Oct 2009 (7.8%), 03 Dec 2009 (7.35%)
2007403 Jan 2007 (6.74%), 21 Jun 2007 (6.78%), 22 Jun 2007 (-4.04%), 29 Jun 2007 (7.54%)
20061316 Jan 2006 (-4.48%), 27 Jan 2006 (-4.17%), 30 Jan 2006 (-4.36%), 02 Feb 2006 (-4.33%), 06 Feb 2006 (-4.32%), 07 Feb 2006 (8.53%), 21 Mar 2006 (-3.6%), 24 Mar 2006 (-3.47%), 27 Mar 2006 (-3.53%), 31 Mar 2006 (-3.44%), 04 Dec 2006 (-2.94%), 05 Dec 2006 (-2.93%), 08 Dec 2006 (6.13%)
2005403 Jun 2005 (7.29%), 29 Nov 2005 (-3.96%), 01 Dec 2005 (-4.01%), 09 Dec 2005 (-4.24%)
2004102 Jan 2004 (9.05%)
20033509 Jan 2003 (-2.61%), 10 Jan 2003 (-2.66%), 13 Jan 2003 (-2.63%), 15 Jan 2003 (-2.62%), 16 Jan 2003 (-2.64%), 17 Jan 2003 (5.59%), 22 Jan 2003 (6.71%), 02 May 2003 (-2.81%), 05 May 2003 (-2.89%), 12 May 2003 (-3.16%), 15 May 2003 (-3.24%), 16 May 2003 (-3.3%), 27 May 2003 (-3.39%), 28 May 2003 (-3.42%), 30 May 2003 (-3.6%), 02 Jun 2003 (-3.84%), 05 Jun 2003 (7.9%), 27 Jun 2003 (-3.53%), 30 Jun 2003 (-3.83%), 01 Jul 2003 (-3.9%), 02 Jul 2003 (-4.27%), 07 Jul 2003 (8.42%), 29 Aug 2003 (-4.79%), 01 Sep 2003 (-4.81%), 04 Sep 2003 (-5.24%), 05 Sep 2003 (-5.11%), 08 Sep 2003 (10.42%), 30 Sep 2003 (-5.45%), 01 Oct 2003 (-5.33%), 08 Oct 2003 (11.51%), 09 Dec 2003 (-4.35%), 10 Dec 2003 (-4.37%), 12 Dec 2003 (-4.45%), 15 Dec 2003 (-4.35%), 18 Dec 2003 (-4.36%)
2002111 Apr 2002 (7.0%)
2001912 Nov 2001 (-4.07%), 13 Nov 2001 (-4.06%), 19 Nov 2001 (-4.01%), 20 Nov 2001 (-4.17%), 26 Nov 2001 (-4.07%), 27 Nov 2001 (-4.16%), 03 Dec 2001 (-4.01%), 06 Dec 2001 (-3.8%), 07 Dec 2001 (8.33%)
20001303 Jan 2000 (-5.95%), 04 Jan 2000 (-5.85%), 05 Jan 2000 (-6.24%), 06 Jan 2000 (-6.05%), 07 Jan 2000 (13.52%), 21 Jun 2000 (-4.41%), 22 Jun 2000 (9.62%), 04 Jul 2000 (-5.27%), 05 Jul 2000 (-5.34%), 06 Jul 2000 (-5.51%), 10 Jul 2000 (-5.43%), 14 Jul 2000 (10.39%), 22 Nov 2000 (11.09%)
19993708 Jan 1999 (-4.01%), 21 Jan 1999 (-4.51%), 22 Jan 1999 (-4.37%), 25 Jan 1999 (-4.38%), 27 Jan 1999 (-4.29%), 28 Jan 1999 (-5.38%), 01 Feb 1999 (-5.07%), 02 Feb 1999 (-5.22%), 03 Feb 1999 (-5.02%), 04 Feb 1999 (11.72%), 15 Feb 1999 (-5.93%), 16 Feb 1999 (-5.75%), 17 Feb 1999 (-5.61%), 18 Feb 1999 (11.18%), 15 Mar 1999 (-5.72%), 16 Mar 1999 (-5.44%), 17 Mar 1999 (-5.32%), 18 Mar 1999 (10.32%), 19 Jul 1999 (-3.19%), 21 Jul 1999 (-3.3%), 22 Jul 1999 (7.18%), 18 Aug 1999 (8.96%), 29 Sep 1999 (-4.57%), 30 Sep 1999 (8.93%), 07 Oct 1999 (-5.23%), 13 Oct 1999 (-5.25%), 06 Dec 1999 (-4.47%), 07 Dec 1999 (-4.37%), 08 Dec 1999 (-4.34%), 09 Dec 1999 (-4.59%), 10 Dec 1999 (-4.47%), 13 Dec 1999 (-4.7%), 16 Dec 1999 (-4.91%), 17 Dec 1999 (-4.79%), 20 Dec 1999 (-4.65%), 21 Dec 1999 (-4.7%), 22 Dec 1999 (9.31%)
19982401 Jan 1998 (7.47%), 27 Feb 1998 (-3.6%), 02 Mar 1998 (6.96%), 10 Apr 1998 (-4.3%), 15 Apr 1998 (-4.16%), 16 Apr 1998 (8.33%), 17 Apr 1998 (-4.67%), 22 Apr 1998 (10.52%), 19 May 1998 (-6.16%), 20 May 1998 (-5.85%), 21 May 1998 (-5.9%), 25 May 1998 (-5.56%), 27 May 1998 (-5.01%), 28 May 1998 (9.9%), 01 Jun 1998 (12.52%), 28 Jul 1998 (-5.14%), 29 Jul 1998 (-4.99%), 30 Jul 1998 (10.08%), 17 Sep 1998 (-4.12%), 28 Sep 1998 (-3.79%), 29 Sep 1998 (-3.88%), 30 Sep 1998 (7.72%), 07 Oct 1998 (-4.53%), 08 Oct 1998 (9.14%)
19971606 Jan 1997 (-2.77%), 09 Jan 1997 (5.95%), 03 Mar 1997 (-2.72%), 04 Mar 1997 (-2.93%), 05 Mar 1997 (-3.04%), 06 Mar 1997 (6.25%), 21 May 1997 (-3.14%), 22 May 1997 (-3.21%), 23 May 1997 (6.73%), 31 Jul 1997 (-4.22%), 05 Aug 1997 (-3.9%), 07 Aug 1997 (7.88%), 26 Dec 1997 (-3.21%), 29 Dec 1997 (-3.26%), 30 Dec 1997 (-3.16%), 31 Dec 1997 (6.6%)



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