Study: Sell BAJAJFINSV when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BAJAJFINSV 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 BAJAJFINSV 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
1-98229.6362233937.13003.6214106.45-4290.07-12140.820.70.41-0.099-1584.35
2-10398262303248.393522.4921863.53-6551.78-20550.340.540.5-0.07-1677.13
3-21050362303248.394630.6929032.61-10919.5-31588.990.420.4-0.096-3395.21
4-25423062273543.554903.9528104.08-11046.75-43168.440.440.34-0.1-4100.48
5-31763962263641.944918.9234798.1-12375.85-55352.310.40.29-0.12-5123.2
6-39511962214133.875699.5629971.93-12556.33-68140.610.450.23-0.12-6372.89
7-46433462233937.15928.6828071.69-15402.39-69806.580.380.23-0.13-7489.25
8-45195561243739.345045.9427089.18-15488.03-67269.530.330.21-0.13-7409.09
9-47599961214034.436369.0925858.35-15243.75-49866.950.420.22-0.15-7803.26
10-42539261223936.077863.2926095.88-15343.19-59793.390.510.29-0.13-6973.64
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
atrtrail23.25-3662801674312425.758250.121121.74-5814.8-11519.381.420.49-0.089-2193.3
atrnil24.53-4228471462811819.1814419.9122131.35-7005.12-11629.182.060.49-0.098-2896.21
atrtrail33.48-4406111664012624.17215.0231682.61-5787.39-11519.381.250.4-0.11-2654.28
atrtrail-13.66-4665481664012624.16566.5929182.96-5787.39-11519.381.130.36-0.12-2810.53
atrnil36.03-570460142141289.8622728.9533197.03-6942.69-11629.183.270.36-0.13-4017.32

In the table above, row 1 shows the best exit criterion. Profit factor is 0.49. 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.
BAJAJFINSV Performance, Profit Factor:0.492

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191311 Mar 2019 (-2.31%), 14 Mar 2019 (-2.03%), 22 Mar 2019 (-1.33%), 26 Mar 2019 (-1.46%), 01 Apr 2019 (-1.91%), 02 Apr 2019 (-1.89%), 03 Apr 2019 (-0.77%), 11 Apr 2019 (-0.54%), 24 Apr 2019 (-0.29%), 20 May 2019 (0.24%), 23 Sep 2019 (-2.5%), 27 Sep 2019 (5.93%), 05 Nov 2019 (-1.77%)
2018722 May 2018 (0.24%), 25 May 2018 (0.16%), 20 Jul 2018 (-2.6%), 23 Jul 2018 (-1.31%), 25 Jul 2018 (-1.86%), 01 Aug 2018 (-1.37%), 10 Aug 2018 (-0.28%)
20172301 Feb 2017 (-2.72%), 02 Feb 2017 (-1.68%), 06 Feb 2017 (0.64%), 17 Feb 2017 (-1.08%), 22 Feb 2017 (-2.79%), 23 Feb 2017 (-2.59%), 28 Feb 2017 (0.9%), 16 Mar 2017 (-0.71%), 22 Mar 2017 (-1.3%), 07 Apr 2017 (-2.48%), 10 Apr 2017 (-2.49%), 12 Apr 2017 (-2.49%), 13 Apr 2017 (5.1%), 19 Jul 2017 (-2.34%), 20 Jul 2017 (-2.46%), 21 Jul 2017 (-2.61%), 24 Jul 2017 (-2.57%), 27 Jul 2017 (-2.42%), 01 Aug 2017 (-1.12%), 03 Aug 2017 (-2.45%), 04 Aug 2017 (-2.5%), 07 Aug 2017 (5.03%), 28 Aug 2017 (0.83%)
20162018 Apr 2016 (-1.07%), 02 May 2016 (1.51%), 16 Jun 2016 (-1.21%), 27 Jun 2016 (-3.69%), 29 Jun 2016 (-3.86%), 01 Jul 2016 (-1.28%), 11 Jul 2016 (-3.38%), 12 Jul 2016 (-0.71%), 18 Jul 2016 (-3.27%), 20 Jul 2016 (-3.16%), 21 Jul 2016 (-2.97%), 26 Jul 2016 (0.18%), 28 Jul 2016 (-3.66%), 29 Jul 2016 (-3.67%), 01 Aug 2016 (-3.66%), 31 Aug 2016 (-3.08%), 01 Sep 2016 (-3.14%), 08 Sep 2016 (5.7%), 22 Sep 2016 (-3.3%), 23 Sep 2016 (6.79%)
20151128 Jan 2015 (-3.55%), 02 Feb 2015 (2.87%), 03 Jul 2015 (-3.11%), 06 Jul 2015 (-3.37%), 07 Jul 2015 (-0.12%), 15 Jul 2015 (2.02%), 29 Jul 2015 (-3.2%), 03 Aug 2015 (-3.0%), 04 Aug 2015 (1.32%), 07 Aug 2015 (7.62%), 27 Oct 2015 (0.77%)
20142028 Mar 2014 (-2.36%), 31 Mar 2014 (-1.61%), 02 Apr 2014 (-0.62%), 25 Apr 2014 (-1.95%), 09 May 2014 (5.15%), 12 May 2014 (5.76%), 19 May 2014 (-3.34%), 21 May 2014 (-3.46%), 27 May 2014 (2.47%), 05 Jun 2014 (-0.82%), 26 Aug 2014 (-2.67%), 27 Aug 2014 (-2.94%), 01 Sep 2014 (-2.8%), 02 Sep 2014 (-2.83%), 03 Sep 2014 (-0.72%), 11 Sep 2014 (5.72%), 28 Nov 2014 (-2.97%), 03 Dec 2014 (-3.19%), 08 Dec 2014 (-3.3%), 09 Dec 2014 (7.3%)
2013514 Nov 2013 (-2.6%), 18 Nov 2013 (-2.63%), 19 Nov 2013 (0.3%), 25 Nov 2013 (-1.9%), 29 Nov 2013 (-1.44%)
20122109 Feb 2012 (8.71%), 15 Feb 2012 (-4.47%), 17 Feb 2012 (-4.27%), 21 Feb 2012 (-4.15%), 29 Feb 2012 (1.29%), 13 Mar 2012 (1.43%), 03 Apr 2012 (-4.66%), 04 Apr 2012 (1.34%), 27 Apr 2012 (-3.18%), 02 May 2012 (8.25%), 06 Aug 2012 (-2.92%), 07 Aug 2012 (-2.98%), 08 Aug 2012 (-3.03%), 09 Aug 2012 (-3.36%), 13 Aug 2012 (-3.48%), 14 Aug 2012 (1.49%), 21 Aug 2012 (7.61%), 01 Oct 2012 (-3.53%), 03 Oct 2012 (-3.54%), 04 Oct 2012 (7.04%), 07 Dec 2012 (-0.22%)
2011503 Mar 2011 (-4.61%), 04 Mar 2011 (0.43%), 08 Mar 2011 (-5.61%), 09 Mar 2011 (4.18%), 29 Aug 2011 (-4.37%)
20101504 Jan 2010 (2.19%), 05 May 2010 (-4.37%), 06 May 2010 (-0.83%), 10 May 2010 (-3.78%), 12 May 2010 (-4.94%), 13 May 2010 (-5.11%), 14 May 2010 (10.56%), 12 Aug 2010 (-3.22%), 13 Aug 2010 (-1.59%), 19 Aug 2010 (-3.37%), 23 Aug 2010 (-0.3%), 03 Sep 2010 (-1.34%), 13 Sep 2010 (-2.76%), 17 Sep 2010 (-3.26%), 28 Sep 2010 (6.22%)
20092702 Jan 2009 (-5.46%), 06 Jan 2009 (-4.91%), 07 Jan 2009 (-5.07%), 12 Jan 2009 (-5.2%), 14 Jan 2009 (9.44%), 06 Apr 2009 (-5.39%), 16 Apr 2009 (-5.7%), 20 Apr 2009 (-5.28%), 21 Apr 2009 (-5.76%), 22 Apr 2009 (1.21%), 08 May 2009 (-4.31%), 13 May 2009 (3.58%), 21 May 2009 (-4.99%), 22 May 2009 (-4.75%), 25 May 2009 (-4.54%), 26 May 2009 (-4.52%), 27 May 2009 (-4.34%), 28 May 2009 (-4.18%), 29 May 2009 (-4.04%), 01 Jun 2009 (-3.95%), 02 Jun 2009 (-3.83%), 03 Jun 2009 (-3.73%), 04 Jun 2009 (8.56%), 09 Jun 2009 (-4.66%), 17 Jun 2009 (9.08%), 08 Oct 2009 (-4.03%), 14 Oct 2009 (10.21%)



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