Study: Sell BAJFINANCE when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BAJFINANCE 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 BAJFINANCE 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
1-184880124527241.943556.2616666.67-5136.19-25881.30.690.5-0.048-1490.97
2-249150124547043.555382.2219848.61-7711.28-33405.640.70.54-0.045-2009.28
3-347939124537142.746232.9731791.42-9553.34-45667.30.650.49-0.051-2805.96
4-294594124527241.947346.4141883.94-9397.32-53828.310.780.56-0.04-2375.75
5-256337124537142.747957.6531666.67-9550.6-46932.320.830.62-0.034-2067.23
6-329046124497539.528701.0533333.33-10071.97-47944.340.860.56-0.042-2653.6
7-436799124497539.529826.9933055.56-12244.28-57842.060.80.52-0.049-3522.57
8-471093124507440.3210216.6832777.78-13269.29-51361.70.770.52-0.05-3799.14
9-468710124497539.5210444.6328333.33-13073.29-72378.40.80.52-0.049-3779.92
10-547092124507440.3210338.9536111.11-14378.9-99687.640.720.49-0.052-4412.03
Although, strategy looks good but profit factor on day 3 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
atrtrail23.28-4554363198723227.2710511.2226371.81-5904.79-14680.611.780.67-0.034-1427.7
atrnil23.98-5530572877021724.3915078.8426371.81-7412.79-16544.482.030.66-0.039-1927.03
atrtrail33.75-5681513107623424.5210484.9537452.19-5833.37-14680.611.80.58-0.043-1832.75
atrnil35.75-8447872703923114.4422270.1837452.19-7416.99-16544.4830.51-0.058-3128.84
atrtrail-14.1-7066243107523524.198816.343293.96-5820.62-14680.611.510.48-0.059-2279.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. 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.
BAJFINANCE Performance, Profit Factor:0.668

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191018 Mar 2019 (0.8%), 28 Mar 2019 (-2.36%), 02 Apr 2019 (-1.68%), 05 Apr 2019 (4.4%), 20 May 2019 (-2.79%), 24 May 2019 (-0.92%), 04 Jun 2019 (-0.2%), 01 Jul 2019 (3.54%), 23 Sep 2019 (-0.99%), 27 Sep 2019 (0.86%)
20182404 Apr 2018 (-2.49%), 05 Apr 2018 (-2.5%), 09 Apr 2018 (4.77%), 17 May 2018 (-2.68%), 18 May 2018 (-0.72%), 22 May 2018 (0.41%), 11 Jun 2018 (-1.68%), 15 Jun 2018 (-0.75%), 22 Jun 2018 (-2.46%), 25 Jun 2018 (4.85%), 12 Jul 2018 (-2.09%), 13 Jul 2018 (-2.07%), 18 Jul 2018 (4.1%), 19 Jul 2018 (-2.39%), 20 Jul 2018 (-2.73%), 23 Jul 2018 (0.19%), 01 Aug 2018 (-0.95%), 07 Aug 2018 (-2.41%), 08 Aug 2018 (-0.37%), 14 Aug 2018 (-2.26%), 16 Aug 2018 (-1.6%), 23 Aug 2018 (-2.09%), 27 Aug 2018 (-1.36%), 29 Aug 2018 (3.94%)
20172025 Jan 2017 (-2.58%), 30 Jan 2017 (-1.46%), 02 Feb 2017 (-2.53%), 06 Feb 2017 (0.16%), 16 Mar 2017 (-2.67%), 28 Mar 2017 (-0.6%), 10 Apr 2017 (-2.66%), 11 Apr 2017 (-2.63%), 13 Apr 2017 (0.34%), 25 Apr 2017 (5.22%), 13 Jul 2017 (-2.38%), 17 Jul 2017 (-0.73%), 19 Jul 2017 (-2.56%), 20 Jul 2017 (-2.59%), 24 Jul 2017 (-2.64%), 26 Jul 2017 (-2.59%), 27 Jul 2017 (-2.71%), 01 Aug 2017 (-1.57%), 07 Aug 2017 (4.85%), 07 Sep 2017 (6.19%)
20162101 Jan 2016 (-0.16%), 06 Jan 2016 (-1.91%), 08 Jan 2016 (4.14%), 08 Apr 2016 (-2.61%), 12 Apr 2016 (-2.48%), 13 Apr 2016 (4.91%), 12 May 2016 (-1.99%), 16 May 2016 (5.15%), 04 Jul 2016 (-0.87%), 11 Jul 2016 (-2.37%), 15 Jul 2016 (-1.49%), 22 Jul 2016 (-2.11%), 25 Jul 2016 (-2.08%), 26 Jul 2016 (-2.12%), 28 Jul 2016 (-2.91%), 01 Aug 2016 (-3.1%), 02 Aug 2016 (7.18%), 29 Aug 2016 (-2.97%), 31 Aug 2016 (-2.89%), 07 Sep 2016 (-2.71%), 08 Sep 2016 (6.08%)
20151514 Jan 2015 (-3.69%), 15 Jan 2015 (-2.41%), 27 Jan 2015 (-3.65%), 28 Jan 2015 (2.24%), 08 Apr 2015 (-3.1%), 09 Apr 2015 (-2.09%), 16 Apr 2015 (6.5%), 18 Jun 2015 (-3.26%), 19 Jun 2015 (-3.35%), 22 Jun 2015 (-0.86%), 26 Jun 2015 (-3.39%), 06 Jul 2015 (6.26%), 03 Aug 2015 (5.77%), 21 Dec 2015 (-2.17%), 29 Dec 2015 (-1.61%)
20141410 Mar 2014 (-2.67%), 28 Mar 2014 (5.32%), 28 Apr 2014 (-2.73%), 12 May 2014 (4.69%), 22 May 2014 (1.06%), 03 Jun 2014 (-3.84%), 05 Jun 2014 (7.9%), 04 Jul 2014 (-3.88%), 22 Aug 2014 (-2.85%), 27 Aug 2014 (-0.68%), 03 Sep 2014 (-0.67%), 08 Sep 2014 (0.64%), 17 Nov 2014 (6.92%), 15 Dec 2014 (6.38%)
2013909 May 2013 (-2.55%), 16 May 2013 (-3.46%), 17 May 2013 (-3.38%), 20 May 2013 (6.76%), 07 Nov 2013 (-2.27%), 19 Nov 2013 (1.4%), 10 Dec 2013 (-1.21%), 23 Dec 2013 (-0.28%), 31 Dec 2013 (-0.41%)
20122320 Jan 2012 (-3.08%), 24 Jan 2012 (-3.07%), 31 Jan 2012 (-3.1%), 01 Feb 2012 (-2.83%), 03 Feb 2012 (-2.8%), 08 Feb 2012 (1.41%), 17 Feb 2012 (-3.2%), 21 Feb 2012 (6.45%), 03 Apr 2012 (-0.97%), 03 Jul 2012 (0.71%), 12 Jul 2012 (-2.48%), 17 Jul 2012 (-2.6%), 19 Jul 2012 (-1.47%), 23 Jul 2012 (-2.94%), 24 Jul 2012 (5.87%), 09 Aug 2012 (6.27%), 28 Sep 2012 (-2.95%), 05 Oct 2012 (-1.37%), 16 Oct 2012 (-2.99%), 18 Oct 2012 (-1.44%), 23 Oct 2012 (-2.91%), 26 Oct 2012 (-2.98%), 29 Oct 2012 (1.19%)
2011330 Mar 2011 (-2.63%), 14 Jul 2011 (-4.2%), 19 Jul 2011 (8.37%)
20103204 Jan 2010 (-2.92%), 08 Jan 2010 (-3.64%), 12 Apr 2010 (-1.32%), 16 Apr 2010 (-3.65%), 19 Apr 2010 (-3.94%), 20 Apr 2010 (-4.01%), 21 Apr 2010 (-3.96%), 27 Apr 2010 (-3.71%), 30 Apr 2010 (-3.02%), 05 May 2010 (-1.34%), 10 May 2010 (-4.05%), 13 May 2010 (-5.42%), 14 May 2010 (10.72%), 09 Jul 2010 (-3.22%), 12 Jul 2010 (-3.38%), 13 Jul 2010 (-2.68%), 16 Jul 2010 (6.82%), 19 Jul 2010 (0.16%), 29 Jul 2010 (-4.49%), 06 Aug 2010 (-4.16%), 09 Aug 2010 (-2.54%), 16 Aug 2010 (-3.71%), 20 Aug 2010 (-4.22%), 23 Aug 2010 (-0.6%), 06 Sep 2010 (-4.35%), 07 Sep 2010 (-4.76%), 09 Sep 2010 (-3.58%), 16 Sep 2010 (-4.67%), 20 Sep 2010 (9.0%), 21 Sep 2010 (-4.51%), 28 Sep 2010 (-2.09%), 06 Oct 2010 (2.28%)
20092223 Mar 2009 (-6.71%), 24 Mar 2009 (-7.26%), 25 Mar 2009 (3.75%), 08 Apr 2009 (-5.58%), 15 Apr 2009 (-7.34%), 23 Apr 2009 (-5.87%), 05 May 2009 (-0.36%), 19 May 2009 (-6.85%), 20 May 2009 (-6.65%), 21 May 2009 (-2.69%), 27 May 2009 (-6.66%), 29 May 2009 (-6.55%), 01 Jun 2009 (-6.18%), 02 Jun 2009 (-5.87%), 04 Jun 2009 (-5.88%), 08 Jun 2009 (12.48%), 03 Aug 2009 (-6.14%), 04 Aug 2009 (2.77%), 01 Oct 2009 (-0.36%), 07 Oct 2009 (-5.6%), 14 Oct 2009 (12.48%), 29 Dec 2009 (-3.82%)
2008302 Jan 2008 (-3.51%), 04 Jan 2008 (-3.58%), 08 Jan 2008 (-2.81%)
2007609 Feb 2007 (9.09%), 14 May 2007 (-3.38%), 15 May 2007 (2.39%), 12 Dec 2007 (-4.72%), 13 Dec 2007 (-0.28%), 28 Dec 2007 (-5.61%)
20061417 Jan 2006 (-1.85%), 27 Jan 2006 (-3.4%), 30 Jan 2006 (-3.66%), 31 Jan 2006 (7.88%), 01 Feb 2006 (-2.52%), 07 Feb 2006 (-1.7%), 15 Feb 2006 (-4.11%), 16 Feb 2006 (-1.82%), 22 Feb 2006 (-2.71%), 02 Mar 2006 (8.65%), 31 Oct 2006 (-2.68%), 01 Nov 2006 (-2.69%), 02 Nov 2006 (-2.82%), 03 Nov 2006 (5.97%)
20053511 Feb 2005 (-3.3%), 16 Feb 2005 (0.68%), 22 Feb 2005 (-3.3%), 23 Feb 2005 (-3.39%), 24 Feb 2005 (-3.44%), 25 Feb 2005 (7.44%), 11 Mar 2005 (-3.78%), 14 Mar 2005 (7.64%), 09 May 2005 (-3.18%), 11 May 2005 (-3.21%), 16 May 2005 (0.9%), 25 May 2005 (-3.28%), 27 May 2005 (-3.29%), 30 May 2005 (-3.25%), 03 Jun 2005 (-3.26%), 04 Jun 2005 (-1.73%), 07 Jun 2005 (-1.99%), 15 Jun 2005 (6.95%), 22 Jun 2005 (-3.65%), 27 Jun 2005 (-3.43%), 30 Jun 2005 (-1.44%), 04 Jul 2005 (-3.57%), 05 Jul 2005 (-3.48%), 08 Jul 2005 (-3.3%), 11 Jul 2005 (-0.12%), 05 Aug 2005 (-0.09%), 19 Sep 2005 (-3.79%), 20 Sep 2005 (8.64%), 21 Sep 2005 (9.79%), 02 Dec 2005 (-3.99%), 05 Dec 2005 (-2.42%), 08 Dec 2005 (-3.59%), 12 Dec 2005 (-3.97%), 14 Dec 2005 (-2.88%), 19 Dec 2005 (7.34%)
20041302 Apr 2004 (-0.24%), 15 Apr 2004 (-4.41%), 22 Apr 2004 (8.1%), 07 Sep 2004 (5.8%), 30 Sep 2004 (-3.35%), 01 Oct 2004 (-3.54%), 04 Oct 2004 (-3.57%), 06 Oct 2004 (-0.94%), 12 Oct 2004 (-0.51%), 20 Oct 2004 (7.09%), 11 Nov 2004 (-3.6%), 12 Nov 2004 (-3.8%), 19 Nov 2004 (0.86%)
20031814 Jan 2003 (7.2%), 02 May 2003 (-3.09%), 05 May 2003 (-0.01%), 09 May 2003 (6.77%), 13 May 2003 (7.55%), 30 May 2003 (0.83%), 19 Jun 2003 (1.56%), 09 Sep 2003 (13.19%), 11 Nov 2003 (-3.29%), 13 Nov 2003 (0.09%), 18 Nov 2003 (-1.11%), 27 Nov 2003 (-3.36%), 28 Nov 2003 (-3.28%), 01 Dec 2003 (-3.56%), 02 Dec 2003 (-4.03%), 03 Dec 2003 (8.16%), 04 Dec 2003 (-0.22%), 17 Dec 2003 (1.03%)
20021016 Jan 2002 (-3.7%), 17 Jan 2002 (-4.02%), 18 Jan 2002 (-2.12%), 23 Jan 2002 (-1.47%), 12 Feb 2002 (-4.33%), 13 Feb 2002 (-4.32%), 15 Feb 2002 (-4.22%), 18 Feb 2002 (9.22%), 02 May 2002 (-4.63%), 06 May 2002 (3.9%)
2001221 Nov 2001 (-2.38%), 29 Nov 2001 (0.66%)
19991313 May 1999 (-2.11%), 20 May 1999 (9.48%), 16 Aug 1999 (-3.66%), 17 Aug 1999 (-3.72%), 18 Aug 1999 (7.54%), 19 Aug 1999 (8.52%), 23 Oct 1999 (-4.66%), 26 Oct 1999 (-4.82%), 27 Oct 1999 (9.61%), 21 Dec 1999 (-5.4%), 22 Dec 1999 (-5.17%), 23 Dec 1999 (-4.98%), 24 Dec 1999 (11.4%)
1998517 Apr 1998 (10.13%), 05 Nov 1998 (-0.72%), 01 Dec 1998 (-4.75%), 02 Dec 1998 (-4.8%), 03 Dec 1998 (1.78%)
1997601 Jan 1997 (-0.48%), 13 Jan 1997 (-4.7%), 14 Jan 1997 (-4.57%), 15 Jan 1997 (-4.43%), 26 Dec 1997 (-3.93%), 29 Dec 1997 (1.71%)
1995107 Jun 1995 (7.1%)



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