Study: Sell BEL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BEL 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 BEL 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
1-20312097455246.393598.1212548.11-7019.92-26997.840.510.44-0.062-2094.02
2-28237497465147.425437.6724074.07-10441.31-41033.430.520.47-0.055-2911.07
3-27041297514652.586072.639506.17-12611.18-52227.720.480.53-0.044-2787.75
4-21173797465147.427672.3737654.32-11071.88-66955.270.690.63-0.034-2182.86
5-19101297455246.399112.5939649.51-11559.21-61183.260.790.68-0.028-1969.2
6-23174897445345.369109.5835925.52-11935.27-52560.650.760.63-0.035-2389.16
7-31642097415642.2710176.242592.59-13100.79-45899.170.780.57-0.045-3262.06
8-40371197455246.399225.4845370.37-15747.26-55411.260.590.51-0.052-4161.97
9-38531297425543.310289.9944444.44-14863.48-53968.250.690.53-0.051-3972.29
10-36681397465147.4210579.0653703.7-16734.31-66538.460.630.57-0.044-3781.58
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
atrtrail23.12-3183272437416930.4512078.6933213.52-7172.49-15171.161.680.74-0.027-1309.99
atrnil24.12-3837422256216327.5617033.6633213.52-8833.31-15171.161.930.73-0.03-1705.52
atrnil35.94-5106222204217819.0924986.7342332.66-8764.41-16606.762.850.67-0.035-2321.01
atrtrail33.55-4013142427017228.9311654.3941847.12-7076.29-15171.161.650.67-0.033-1658.32
atrtrail-14.04-4885522417017129.0510354.161734.08-7095.55-15171.161.460.6-0.042-2027.19

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
BEL Performance, Profit Factor:0.737

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019705 Mar 2019 (-3.53%), 06 Mar 2019 (1.82%), 19 Mar 2019 (2.16%), 02 Apr 2019 (6.99%), 23 May 2019 (-3.58%), 24 May 2019 (-3.68%), 27 May 2019 (1.59%)
2017712 Jan 2017 (5.74%), 16 Mar 2017 (4.22%), 11 Apr 2017 (1.05%), 21 Apr 2017 (-2.1%), 28 Apr 2017 (-0.34%), 01 Aug 2017 (-0.95%), 31 Oct 2017 (0.45%)
2016604 Jan 2016 (5.06%), 08 Jun 2016 (0.6%), 30 Nov 2016 (-1.38%), 06 Dec 2016 (-2.67%), 08 Dec 2016 (-2.6%), 09 Dec 2016 (5.11%)
20151307 Jan 2015 (-2.62%), 09 Jan 2015 (-4.82%), 13 Jan 2015 (1.35%), 27 Jan 2015 (-1.98%), 03 Feb 2015 (8.22%), 18 Feb 2015 (8.67%), 29 May 2015 (7.07%), 16 Jul 2015 (-1.72%), 23 Jul 2015 (-0.35%), 29 Jul 2015 (-2.86%), 03 Aug 2015 (5.75%), 29 Dec 2015 (-2.61%), 31 Dec 2015 (-2.52%)
20143326 Mar 2014 (-3.32%), 27 Mar 2014 (-3.5%), 28 Mar 2014 (-3.53%), 31 Mar 2014 (1.19%), 10 Apr 2014 (-3.62%), 15 Apr 2014 (-2.99%), 29 Apr 2014 (-0.45%), 13 May 2014 (-3.4%), 16 May 2014 (-5.16%), 19 May 2014 (-5.08%), 20 May 2014 (-5.03%), 22 May 2014 (-4.86%), 23 May 2014 (-4.99%), 26 May 2014 (-1.95%), 30 May 2014 (-5.23%), 03 Jun 2014 (-4.89%), 05 Jun 2014 (-4.55%), 09 Jun 2014 (-0.09%), 19 Jun 2014 (-3.7%), 25 Jun 2014 (-1.1%), 30 Jun 2014 (-4.49%), 07 Jul 2014 (8.37%), 27 Aug 2014 (-4.13%), 01 Sep 2014 (1.87%), 07 Nov 2014 (-3.64%), 10 Nov 2014 (-3.72%), 12 Nov 2014 (-0.92%), 02 Dec 2014 (-3.36%), 03 Dec 2014 (-3.45%), 04 Dec 2014 (-3.75%), 05 Dec 2014 (-1.58%), 09 Dec 2014 (-3.44%), 31 Dec 2014 (8.06%)
2013210 May 2013 (1.23%), 17 May 2013 (6.63%)
2012131 Dec 2012 (-1.85%)
2011506 Apr 2011 (-2.35%), 08 Apr 2011 (-2.35%), 18 Apr 2011 (-2.46%), 21 Apr 2011 (0.25%), 29 Jul 2011 (-0.03%)
2010605 Jan 2010 (-1.28%), 11 Jan 2010 (-0.04%), 14 Jan 2010 (-2.96%), 15 Jan 2010 (-3.15%), 18 Jan 2010 (6.37%), 19 Mar 2010 (5.49%)
20091902 Feb 2009 (-3.97%), 10 Feb 2009 (-2.37%), 06 Apr 2009 (-3.75%), 15 Apr 2009 (8.06%), 07 May 2009 (0.63%), 18 May 2009 (-3.98%), 19 May 2009 (-4.94%), 20 May 2009 (-5.06%), 21 May 2009 (-5.25%), 25 May 2009 (-0.37%), 29 May 2009 (-1.64%), 05 Jun 2009 (0.78%), 16 Jun 2009 (2.1%), 30 Sep 2009 (-3.12%), 01 Oct 2009 (-3.33%), 05 Oct 2009 (7.21%), 27 Nov 2009 (-3.7%), 02 Dec 2009 (-2.86%), 08 Dec 2009 (-0.57%)
20071025 Jan 2007 (-0.28%), 06 Feb 2007 (-4.23%), 07 Feb 2007 (-4.35%), 08 Feb 2007 (1.17%), 15 Feb 2007 (-1.12%), 30 May 2007 (-3.26%), 01 Jun 2007 (-3.74%), 04 Oct 2007 (-2.94%), 05 Oct 2007 (6.33%), 28 Dec 2007 (7.56%)
20061016 Jan 2006 (-1.62%), 19 Jan 2006 (-3.5%), 23 Jan 2006 (-3.5%), 24 Jan 2006 (-3.44%), 25 Jan 2006 (7.08%), 07 Mar 2006 (-3.95%), 08 Mar 2006 (-4.25%), 10 Mar 2006 (-1.1%), 16 Mar 2006 (-3.15%), 23 Mar 2006 (0.36%)
2005916 Feb 2005 (-4.14%), 18 Feb 2005 (-3.25%), 28 Feb 2005 (-1.92%), 03 Mar 2005 (6.91%), 22 Apr 2005 (1.16%), 30 Sep 2005 (8.1%), 26 Nov 2005 (-3.62%), 28 Nov 2005 (-3.59%), 29 Nov 2005 (0.7%)
20041202 Jan 2004 (6.46%), 30 Aug 2004 (-2.43%), 14 Sep 2004 (-2.81%), 20 Sep 2004 (-0.4%), 04 Oct 2004 (-2.81%), 05 Oct 2004 (5.56%), 18 Nov 2004 (0.11%), 24 Nov 2004 (-2.6%), 25 Nov 2004 (-1.47%), 06 Dec 2004 (-0.82%), 21 Dec 2004 (-2.74%), 22 Dec 2004 (5.79%)
20032613 Jan 2003 (7.26%), 03 Feb 2003 (7.54%), 09 Apr 2003 (6.88%), 15 Apr 2003 (-3.95%), 21 Apr 2003 (-3.77%), 22 Apr 2003 (-1.78%), 28 Apr 2003 (-2.8%), 05 May 2003 (-2.77%), 12 May 2003 (-3.5%), 13 May 2003 (-2.15%), 19 May 2003 (-3.31%), 21 May 2003 (-3.27%), 22 May 2003 (-3.37%), 23 May 2003 (6.64%), 26 May 2003 (-1.89%), 09 Jun 2003 (-1.51%), 17 Jun 2003 (-4.03%), 18 Jun 2003 (-2.36%), 25 Jun 2003 (-3.86%), 26 Jun 2003 (-2.46%), 01 Jul 2003 (-5.0%), 02 Jul 2003 (1.88%), 08 Sep 2003 (9.6%), 03 Dec 2003 (-3.34%), 19 Dec 2003 (-2.82%), 29 Dec 2003 (-1.52%)
20021510 Jan 2002 (-5.25%), 11 Jan 2002 (-5.99%), 14 Jan 2002 (-0.39%), 16 Jan 2002 (-7.43%), 17 Jan 2002 (16.61%), 05 Feb 2002 (-7.59%), 06 Feb 2002 (2.95%), 21 Feb 2002 (-7.16%), 22 Feb 2002 (-2.22%), 09 Apr 2002 (-2.57%), 12 Apr 2002 (2.61%), 02 May 2002 (-5.79%), 03 May 2002 (-5.83%), 06 May 2002 (0.4%), 09 May 2002 (11.96%)
2001929 May 2001 (9.86%), 22 Nov 2001 (-3.51%), 23 Nov 2001 (-4.11%), 26 Nov 2001 (-4.24%), 27 Nov 2001 (0.52%), 03 Dec 2001 (-3.92%), 05 Dec 2001 (-5.09%), 06 Dec 2001 (-5.62%), 10 Dec 2001 (10.77%)
20001106 Jan 2000 (-6.48%), 07 Jan 2000 (-6.94%), 10 Jan 2000 (13.17%), 28 Jan 2000 (-0.93%), 02 Feb 2000 (-6.85%), 04 Feb 2000 (13.58%), 11 Dec 2000 (-4.75%), 13 Dec 2000 (-4.69%), 15 Dec 2000 (-4.9%), 20 Dec 2000 (-5.56%), 21 Dec 2000 (11.56%)
19992916 Feb 1999 (-6.11%), 17 Feb 1999 (-5.78%), 18 Feb 1999 (-5.75%), 27 Feb 1999 (-6.84%), 01 Mar 1999 (-6.41%), 03 Mar 1999 (12.08%), 14 Jun 1999 (-5.3%), 15 Jun 1999 (-5.08%), 16 Jun 1999 (10.03%), 24 Jun 1999 (11.08%), 06 Jul 1999 (-5.06%), 07 Jul 1999 (-1.24%), 12 Jul 1999 (-2.18%), 14 Jul 1999 (2.94%), 23 Jul 1999 (-5.81%), 26 Jul 1999 (-5.59%), 27 Jul 1999 (-5.43%), 28 Jul 1999 (-5.2%), 29 Jul 1999 (12.4%), 24 Aug 1999 (4.77%), 11 Oct 1999 (-6.11%), 12 Oct 1999 (-5.79%), 13 Oct 1999 (-6.03%), 14 Oct 1999 (-5.71%), 15 Oct 1999 (-6.91%), 18 Oct 1999 (-6.74%), 20 Oct 1999 (0.99%), 21 Dec 1999 (-6.44%), 22 Dec 1999 (12.9%)
19981307 Jan 1998 (7.17%), 09 Apr 1998 (-4.64%), 10 Apr 1998 (-4.57%), 15 Apr 1998 (-4.31%), 16 Apr 1998 (8.77%), 17 Apr 1998 (9.73%), 22 Apr 1998 (-1.25%), 30 Apr 1998 (-6.3%), 05 May 1998 (-6.4%), 06 May 1998 (12.38%), 22 May 1998 (-7.22%), 27 May 1998 (12.54%), 01 Jun 1998 (13.95%)



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