Study: Sell BALRAMCHIN when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BALRAMCHIN 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 BALRAMCHIN 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
154760.7592573561.965230.7633846.15-6954.08-21028.970.751.220.015595.23
229270.4792543858.76790.2920855.94-8879.08-34165.830.761.090.0063318.16
347969.6992563660.878126.5929175.7-11308.87-45754.250.721.120.0084521.41
4-34541.4992494353.269564.9229788.06-11702.85-55744.260.820.93-0.0055-375.45
5-63621.1592484452.1710135.9931946.1-12503.37-57361.960.810.88-0.0093-691.53
680941.2992583463.0410022.2539873.17-14716.16-59740.260.681.160.012879.8
731492.0892533957.6111545.4634165.68-14882.5-56743.260.781.050.0043342.31
8-29467.9392484452.1712118.640665.87-13890.02-52097.90.870.95-0.0039-320.3
9-10599292484452.1713391.1545025.76-17017.44-64355.850.790.86-0.012-1152.09
10-15598092484452.1713718.7857391.99-18510.93-64034.250.740.81-0.017-1695.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.22. 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 61.96%, which is good. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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-1154760.7592573561.965230.7633846.15-6954.08-21028.970.751.220.015595.23
atrnil24.52-92196.421925813430.2118150.7426912.81-8544.32-13953.32.120.92-0.0081-480.19
atrnil36.17-2192811863814820.4327487.6538956.81-8539.27-13953.33.220.83-0.017-1178.93
atrtrail22.98-1851342086314530.2912300.8326912.81-6621.28-13953.31.860.81-0.019-890.07
atrtrail33.41-2194832076314430.4311722.0535702.76-6652.59-13953.31.760.77-0.021-1060.31
atrtrail-13.75-4104732076214529.958935.3542247.87-6651.48-13953.31.340.57-0.047-1982.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 61.96%, which is good. Average return per trade is 0.3%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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.
BALRAMCHIN Performance, X=1, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017502 Jan 2017 (-0.54%), 16 Jan 2017 (0.67%), 02 Feb 2017 (-0.07%), 17 Feb 2017 (0.63%), 03 Aug 2017 (0.97%)
2016608 Jan 2016 (-1.64%), 08 Mar 2016 (0.85%), 30 Mar 2016 (0.19%), 16 May 2016 (2.4%), 13 Jun 2016 (1.48%), 04 Jul 2016 (3.37%)
2015423 Jul 2015 (3.68%), 06 Aug 2015 (0.28%), 06 Oct 2015 (-3.71%), 18 Nov 2015 (11.33%)
2014606 Mar 2014 (1.41%), 31 Mar 2014 (-4.74%), 13 May 2014 (1.03%), 27 May 2014 (3.92%), 10 Jun 2014 (0.48%), 17 Nov 2014 (-4.45%)
2013217 Oct 2013 (1.1%), 20 Nov 2013 (5.41%)
2012527 Jan 2012 (2.84%), 13 Feb 2012 (-0.7%), 05 Jul 2012 (-0.18%), 23 Jul 2012 (-4.53%), 10 Aug 2012 (1.1%)
2009603 Feb 2009 (3.77%), 08 Apr 2009 (-6.22%), 18 May 2009 (3.93%), 05 Jun 2009 (-0.1%), 03 Aug 2009 (1.91%), 20 Oct 2009 (7.03%)
2008106 Aug 2008 (0.16%)
2007205 Apr 2007 (-1.42%), 19 Sep 2007 (3.37%)
2006617 Jan 2006 (0.11%), 07 Feb 2006 (1.24%), 07 Mar 2006 (6.69%), 29 Mar 2006 (-2.94%), 20 Apr 2006 (1.34%), 19 Oct 2006 (1.26%)
2005401 Feb 2005 (-6.34%), 19 Jul 2005 (1.09%), 03 Aug 2005 (-6.39%), 13 Dec 2005 (-0.0%)
2004607 Apr 2004 (-10.19%), 22 Apr 2004 (3.57%), 03 Aug 2004 (-5.02%), 27 Aug 2004 (1.82%), 03 Dec 2004 (-1.35%), 23 Dec 2004 (0.83%)
2003826 May 2003 (1.92%), 09 Jun 2003 (0.24%), 07 Jul 2003 (6.91%), 05 Aug 2003 (3.46%), 10 Nov 2003 (-2.59%), 01 Dec 2003 (-3.0%), 15 Dec 2003 (0.49%), 30 Dec 2003 (3.53%)
2002611 Feb 2002 (2.16%), 04 Mar 2002 (-4.58%), 21 Mar 2002 (0.25%), 17 Apr 2002 (2.04%), 05 Jul 2002 (-1.08%), 27 Nov 2002 (4.83%)
2001512 Feb 2001 (3.04%), 17 May 2001 (0.84%), 31 May 2001 (1.61%), 04 Dec 2001 (-2.98%), 24 Dec 2001 (1.66%)
2000211 Jul 2000 (-3.91%), 06 Sep 2000 (-0.28%)
1999414 Jan 1999 (2.81%), 14 May 1999 (1.3%), 12 Oct 1999 (-8.03%), 16 Nov 1999 (5.01%)
1998301 Jan 1998 (-5.97%), 02 Apr 1998 (-3.41%), 20 Apr 1998 (-1.65%)
1997820 Feb 1997 (0.62%), 05 Mar 1997 (2.71%), 30 Apr 1997 (-7.02%), 15 May 1997 (-2.9%), 09 Jun 1997 (0.08%), 26 Jun 1997 (-1.37%), 16 Jul 1997 (0.67%), 05 Aug 1997 (-1.89%)
1996313 Feb 1996 (-10.51%), 28 Feb 1996 (4.72%), 23 Dec 1996 (16.92%)



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