Study: Sell BAJAJ-AUTO when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BAJAJ-AUTO 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 BAJAJ-AUTO 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
129824.3454332161.112918.3617054.11-3165.79-15510.810.921.450.037552.3
2-13746.8854292553.74446.9618356.71-5708.35-26498.770.780.9-0.011-254.57
3-58424.9454252946.34644.5416521.82-6018.57-41244.660.770.67-0.036-1081.94
4-30081.7354282651.855737.3117886.18-7335.63-44946.110.780.84-0.016-557.07
5-55811.16542727505870.4418396.79-7937.52-44807.010.740.74-0.028-1033.54
6-59785.6854282651.855993.215372.88-8753.66-51182.970.680.74-0.028-1107.14
7-47591.7854302455.566814.323884.76-10500.86-55169.140.650.81-0.02-881.33
8-18227.6254302455.567359.4525647.71-9958.79-57202.90.740.92-0.008-337.55
9-28871.5554262848.158205.626490.41-8650.62-51196.530.950.88-0.013-534.66
10-50620.6954282651.857123.228785.21-9618.09-47644.230.740.8-0.023-937.42

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.45. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.11%, which is good. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1129824.3454332161.112918.3617054.11-3165.79-15510.810.921.450.037552.3
atrnil25.82-28813.5794346036.1710967.5423241.41-6695.17-126171.640.93-0.01-306.53
atrtrail23.97-53911.93107406737.387770.1219797.23-5443.53-12250.41.430.85-0.02-503.85
atrnil37.99-96544.7693227123.6616591.634862.11-6500.84-126172.550.79-0.029-1038.12
atrtrail34.48-84540.69107396836.457182.9929695.84-5362.9-12250.41.340.77-0.03-790.1
atrtrail-14.86-101779107396836.456740.9928241.71-5362.9-12250.41.260.72-0.038-951.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.45. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.11%, which is good. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.037, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BAJAJ-AUTO Performance, X=1, Profit Factor:1.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019211 Mar 2019 (0.15%), 16 Apr 2019 (-0.03%)
2018210 Jul 2018 (-2.19%), 07 Sep 2018 (1.88%)
2017516 Mar 2017 (0.81%), 17 May 2017 (2.19%), 18 Sep 2017 (0.7%), 03 Oct 2017 (-0.36%), 17 Oct 2017 (1.02%)
2016513 Apr 2016 (1.47%), 20 Jul 2016 (0.31%), 05 Aug 2016 (-0.33%), 22 Aug 2016 (1.58%), 06 Sep 2016 (0.63%)
2015125 Jun 2015 (-1.62%)
2014709 Jun 2014 (0.43%), 23 Jun 2014 (-1.37%), 07 Jul 2014 (3.32%), 21 Aug 2014 (0.07%), 05 Sep 2014 (-0.84%), 23 Oct 2014 (0.48%), 14 Nov 2014 (-0.18%)
2013326 Jul 2013 (1.77%), 19 Sep 2013 (2.96%), 07 Oct 2013 (0.58%)
2012709 Feb 2012 (-2.02%), 09 Aug 2012 (0.88%), 21 Sep 2012 (-0.48%), 02 Nov 2012 (2.06%), 29 Nov 2012 (1.0%), 13 Dec 2012 (0.11%), 28 Dec 2012 (0.3%)
2011331 Mar 2011 (0.29%), 02 Sep 2011 (-2.39%), 25 Oct 2011 (-0.34%)
2010831 Mar 2010 (0.88%), 13 May 2010 (0.88%), 22 Jun 2010 (-0.89%), 27 Jul 2010 (-1.79%), 20 Aug 2010 (0.69%), 06 Sep 2010 (0.22%), 01 Oct 2010 (0.82%), 05 Nov 2010 (0.86%)
20091119 Jan 2009 (8.53%), 27 Feb 2009 (5.39%), 18 Mar 2009 (2.75%), 01 Apr 2009 (-1.0%), 13 May 2009 (-7.76%), 27 May 2009 (-4.13%), 16 Jul 2009 (-0.55%), 30 Jul 2009 (-0.28%), 15 Sep 2009 (-1.53%), 01 Oct 2009 (2.13%), 01 Dec 2009 (-3.18%)



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