Study: Sell BANKINDIA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BANKINDIA 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 BANKINDIA 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
1-56478.2887355240.234982.8715300.55-4439.97-27278.291.120.76-0.021-649.18
2-14809587365141.385778.6826566.65-6982.89-45398.770.830.58-0.038-1702.24
3-15888687434449.436427.5640443.82-9892.52-50306.750.650.63-0.032-1826.27
4-12088387375042.538957.2639724.96-9046.04-35347.430.990.73-0.023-1389.46
5-23979287394844.838207.4835519.13-11664.24-35347.430.70.57-0.043-2756.23
6-31172487394844.838391.3140437.16-13312.18-47619.050.630.51-0.052-3583.03
7-32179587365141.3811169.145901.64-14193.78-52481.230.790.56-0.045-3698.79
8-39129187375042.5312098.6141594.68-16778.8-54761.90.720.53-0.05-4497.6
9-44269187384943.6811748.1440437.16-18145.31-750000.650.5-0.054-5088.4
10-45813287355240.2313844.2342622.95-18128.45-72023.810.760.51-0.055-5265.88

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.76. 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 40.23%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, we advise you not to use 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
atrnil35.15-2440142074116619.8125319.8833867.41-7723.67-13773.733.280.81-0.019-1178.81
atrnil23.66-2295372115715427.0116840.4126803.04-7723.64-13773.732.180.81-0.021-1087.85
atrtrail33.36-2214632286016826.3213982.9739374.26-6312.15-13135.32.220.79-0.019-971.33
atrtrail22.92-2569122306216826.9612960.8126803.04-6312.4-13135.32.050.76-0.025-1117.01
nilnil-11-56478.2887355240.234982.8715300.55-4439.97-27278.291.120.76-0.021-649.18
atrtrail-13.76-3251702286016826.3212254.5335845.72-6312.15-13135.31.940.69-0.03-1426.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.81. 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 19.81%, which is not acceptable. Avoid this strategy. Average return per trade is -0.59%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BANKINDIA Performance, Profit Factor:0.81

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019402 Jan 2019 (-3.62%), 04 Jan 2019 (10.38%), 19 Mar 2019 (-3.87%), 28 Mar 2019 (10.41%)
2018224 Dec 2018 (-4.1%), 31 Dec 2018 (-3.64%)
20171702 Feb 2017 (-2.71%), 03 Feb 2017 (-2.83%), 09 Feb 2017 (9.36%), 31 Mar 2017 (-2.9%), 05 Apr 2017 (-2.81%), 11 Apr 2017 (-2.82%), 18 Apr 2017 (-3.05%), 25 Apr 2017 (-2.97%), 26 Apr 2017 (-3.07%), 27 Apr 2017 (-3.77%), 28 Apr 2017 (-4.02%), 05 May 2017 (14.11%), 25 Oct 2017 (-3.92%), 26 Oct 2017 (-4.23%), 03 Nov 2017 (-4.27%), 16 Nov 2017 (-4.37%), 17 Nov 2017 (13.18%)
2016628 Jun 2016 (-3.31%), 01 Jul 2016 (-3.07%), 04 Jul 2016 (-3.14%), 05 Jul 2016 (-3.16%), 11 Jul 2016 (-3.39%), 14 Jul 2016 (10.29%)
20141028 Mar 2014 (-3.31%), 31 Mar 2014 (-3.46%), 02 Apr 2014 (-3.64%), 10 Apr 2014 (11.07%), 14 May 2014 (-4.23%), 16 May 2014 (-4.81%), 19 May 2014 (-4.72%), 20 May 2014 (-4.63%), 22 May 2014 (-4.6%), 23 May 2014 (13.93%)
2013601 Jan 2013 (-3.03%), 09 Jan 2013 (-2.65%), 14 Jan 2013 (-2.86%), 18 Jan 2013 (8.26%), 01 Nov 2013 (-5.35%), 05 Nov 2013 (-5.01%)
20121124 Jan 2012 (-3.96%), 27 Jan 2012 (-4.11%), 08 Feb 2012 (-4.21%), 15 Feb 2012 (-3.71%), 10 Dec 2012 (-2.59%), 17 Dec 2012 (-2.79%), 18 Dec 2012 (-2.91%), 19 Dec 2012 (-2.88%), 21 Dec 2012 (-2.91%), 27 Dec 2012 (-3.06%), 31 Dec 2012 (-2.97%)
20101507 Apr 2010 (-2.62%), 06 Jul 2010 (-2.84%), 14 Jul 2010 (-2.65%), 15 Jul 2010 (-2.65%), 19 Jul 2010 (-2.65%), 21 Jul 2010 (-2.56%), 02 Aug 2010 (-2.72%), 12 Aug 2010 (-2.56%), 17 Aug 2010 (-2.57%), 09 Sep 2010 (-3.03%), 13 Sep 2010 (-2.97%), 28 Sep 2010 (-2.85%), 04 Oct 2010 (-2.64%), 05 Oct 2010 (-2.69%), 06 Oct 2010 (8.38%)
2009815 Apr 2009 (15.52%), 19 May 2009 (-6.57%), 21 May 2009 (-6.53%), 01 Jun 2009 (-5.59%), 15 Sep 2009 (-3.64%), 17 Sep 2009 (-3.71%), 14 Oct 2009 (-3.81%), 15 Oct 2009 (11.77%)
2008214 Jan 2008 (-5.1%), 16 Jan 2008 (15.34%)
2007822 May 2007 (11.37%), 29 Jun 2007 (-3.8%), 11 Jul 2007 (-3.61%), 13 Jul 2007 (10.79%), 01 Oct 2007 (-3.84%), 11 Oct 2007 (-4.85%), 15 Oct 2007 (14.77%), 30 Oct 2007 (-6.89%)
20061004 May 2006 (-3.84%), 05 May 2006 (11.79%), 09 Aug 2006 (-5.33%), 21 Aug 2006 (-4.63%), 29 Aug 2006 (-4.37%), 28 Sep 2006 (-4.19%), 15 Nov 2006 (-3.55%), 16 Nov 2006 (-3.66%), 23 Nov 2006 (-3.87%), 01 Dec 2006 (11.02%)
2005904 Jan 2005 (13.57%), 03 Mar 2005 (-4.23%), 07 Mar 2005 (-4.57%), 08 Mar 2005 (-4.47%), 11 Mar 2005 (14.11%), 09 Jun 2005 (12.45%), 18 Jul 2005 (-4.57%), 26 Jul 2005 (-5.2%), 29 Jul 2005 (16.93%)
20042301 Jan 2004 (-2.97%), 02 Jan 2004 (-3.1%), 05 Jan 2004 (-3.08%), 09 Jan 2004 (-3.61%), 13 Jan 2004 (-3.67%), 15 Jan 2004 (11.79%), 16 Apr 2004 (-4.88%), 19 Apr 2004 (-4.77%), 23 Apr 2004 (14.42%), 20 Sep 2004 (-3.2%), 22 Sep 2004 (-3.19%), 05 Oct 2004 (-3.15%), 06 Oct 2004 (10.17%), 03 Nov 2004 (-3.85%), 05 Nov 2004 (-4.12%), 16 Nov 2004 (-3.91%), 17 Nov 2004 (-3.86%), 19 Nov 2004 (-4.28%), 29 Nov 2004 (-4.52%), 02 Dec 2004 (-4.4%), 23 Dec 2004 (-4.02%), 24 Dec 2004 (-4.73%), 31 Dec 2004 (-4.74%)
20031314 Jan 2003 (-3.59%), 17 Jan 2003 (-3.57%), 21 Jan 2003 (11.04%), 04 Apr 2003 (-3.7%), 07 Apr 2003 (-3.84%), 15 May 2003 (-4.37%), 23 May 2003 (-4.99%), 27 May 2003 (-4.92%), 29 May 2003 (14.46%), 01 Sep 2003 (-4.63%), 22 Oct 2003 (-4.21%), 24 Oct 2003 (13.12%), 29 Dec 2003 (-2.86%)
20023029 Jan 2002 (-3.06%), 01 Feb 2002 (-2.81%), 04 Feb 2002 (-3.49%), 05 Feb 2002 (-3.52%), 06 Feb 2002 (-3.9%), 07 Feb 2002 (-4.21%), 11 Feb 2002 (-4.39%), 14 Feb 2002 (-4.47%), 15 Feb 2002 (13.25%), 27 Mar 2002 (-5.05%), 01 Apr 2002 (-4.8%), 18 Apr 2002 (-4.13%), 25 Apr 2002 (12.67%), 04 Jun 2002 (-3.91%), 05 Jun 2002 (-3.91%), 12 Jun 2002 (-4.1%), 17 Jun 2002 (-4.41%), 21 Jun 2002 (11.37%), 04 Nov 2002 (-2.31%), 08 Nov 2002 (-2.4%), 26 Nov 2002 (-2.72%), 27 Nov 2002 (-2.77%), 28 Nov 2002 (-2.81%), 09 Dec 2002 (-3.21%), 11 Dec 2002 (-3.22%), 12 Dec 2002 (-3.21%), 13 Dec 2002 (-3.55%), 16 Dec 2002 (-4.12%), 17 Dec 2002 (-4.31%), 18 Dec 2002 (-4.43%)
20011207 Feb 2001 (-4.91%), 08 Feb 2001 (-4.92%), 09 Feb 2001 (-4.99%), 12 Feb 2001 (16.67%), 31 May 2001 (-4.65%), 06 Jun 2001 (-4.72%), 11 Jun 2001 (-4.52%), 13 Jun 2001 (-4.57%), 14 Jun 2001 (13.51%), 10 Aug 2001 (-3.32%), 13 Aug 2001 (10.38%), 29 Oct 2001 (12.5%)
2000903 Nov 2000 (-3.84%), 06 Nov 2000 (-4.11%), 16 Nov 2000 (-4.77%), 17 Nov 2000 (-5.57%), 08 Dec 2000 (-4.77%), 11 Dec 2000 (-4.75%), 13 Dec 2000 (-4.53%), 14 Dec 2000 (-4.61%), 20 Dec 2000 (16.15%)
1999611 Jan 1999 (12.55%), 05 Mar 1999 (-4.7%), 08 Mar 1999 (14.34%), 19 May 1999 (-4.96%), 20 May 1999 (15.32%), 13 Jul 1999 (12.71%)
1998602 Mar 1998 (-3.34%), 19 Mar 1998 (-3.88%), 09 Apr 1998 (-4.5%), 13 Apr 1998 (-4.68%), 15 Apr 1998 (13.81%), 30 Dec 1998 (-3.72%)



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