Study: Sell BEML when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BEML 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 BEML 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
1-79279.52114615353.514841.8519148.94-7068.54-40010.230.680.79-0.017-695.43
2-189323114546047.377068.8836914.89-9517.38-47224.150.740.67-0.027-1660.73
3-407817114546047.377837.2935744.68-13850.51-830000.570.51-0.044-3577.34
4-634940114526245.619650.5438844.77-18334.97-80660.380.530.44-0.056-5569.65
5-682604114526245.6110314.3146557.38-19660.45-94716.240.520.44-0.056-5987.76
6-656843114496542.9811329.8357049.18-18646.23-1185910.610.46-0.052-5761.78
7-841211114476741.2311075.9254302.69-20325.07-1174170.540.38-0.065-7379.05
8-1.0647e+06114456939.4712063.2254537.97-23297.76-1233330.520.34-0.073-9339.48
9-1.05655e+06114437137.7213859.6961808.13-23274.83-1576670.60.36-0.068-9267.95
10-1.15842e+06114437137.7215033.0168619.49-25420.22-1320000.590.36-0.073-10161.55

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 53.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, 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
nilnil-11-79279.52114615353.514841.8519148.94-7068.54-40010.230.680.79-0.017-695.43
atrnil24.33-6789972566219424.2218463.6231594.42-9400.73-17272.431.960.63-0.044-2652.33
atrtrail23.12-6785762897921027.3411838.8431594.42-7684.98-17272.431.540.58-0.048-2348.01
atrtrail33.46-7810472887920927.4310448.4947391.62-7686.49-17272.431.360.51-0.056-2711.97
atrtrail-13.81-8079082887920927.4310108.4770104.91-7686.49-17272.431.320.5-0.056-2805.24
atrnil35.86-1.01331e+062493721214.8626269.4247391.62-9364.54-15262.562.810.49-0.064-4069.53

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 53.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEML Performance, X=1, Profit Factor:0.788

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Jan 2019 (3.93%), 05 Mar 2019 (-0.31%), 19 Mar 2019 (0.48%)
2018117 Dec 2018 (-1.08%)
2017609 Jan 2017 (-1.74%), 23 Jan 2017 (-0.1%), 09 Feb 2017 (1.67%), 26 Apr 2017 (1.16%), 16 Jun 2017 (0.82%), 24 Jul 2017 (0.06%)
2016320 Jul 2016 (0.26%), 05 Aug 2016 (1.67%), 02 Sep 2016 (1.2%)
20151012 Jan 2015 (0.15%), 27 Jan 2015 (1.23%), 05 Mar 2015 (3.27%), 06 Apr 2015 (-0.17%), 04 Jun 2015 (-4.41%), 18 Jun 2015 (0.43%), 02 Jul 2015 (-2.1%), 16 Jul 2015 (-3.47%), 03 Aug 2015 (-0.55%), 18 Dec 2015 (1.04%)
2014907 Mar 2014 (-4.75%), 22 Mar 2014 (-8.59%), 04 Apr 2014 (2.48%), 23 Apr 2014 (2.56%), 13 May 2014 (-2.32%), 27 May 2014 (-3.73%), 10 Jun 2014 (2.2%), 24 Jun 2014 (-1.96%), 03 Dec 2014 (-5.03%)
2013404 Oct 2013 (2.01%), 03 Nov 2013 (-3.28%), 06 Dec 2013 (-3.34%), 23 Dec 2013 (-2.58%)
2012517 Jan 2012 (3.63%), 06 Feb 2012 (4.21%), 21 Feb 2012 (-0.45%), 05 Mar 2012 (-0.46%), 06 Dec 2012 (1.46%)
2010213 Jan 2010 (-0.52%), 02 Sep 2010 (-6.87%)
2009601 Apr 2009 (-0.41%), 21 Apr 2009 (3.98%), 18 May 2009 (-6.69%), 01 Jun 2009 (4.32%), 29 Jun 2009 (-0.67%), 29 Dec 2009 (1.28%)
2007504 Jan 2007 (0.09%), 18 Jun 2007 (1.6%), 06 Jul 2007 (2.65%), 03 Oct 2007 (-5.74%), 14 Nov 2007 (-3.34%)
2006718 Jan 2006 (-2.58%), 02 Feb 2006 (1.44%), 17 Feb 2006 (1.67%), 03 Mar 2006 (0.59%), 21 Mar 2006 (1.66%), 09 Oct 2006 (1.47%), 27 Oct 2006 (1.6%)
2005917 Feb 2005 (3.83%), 01 Apr 2005 (-20.01%), 18 Apr 2005 (-8.45%), 02 May 2005 (1.04%), 16 May 2005 (1.86%), 01 Jun 2005 (3.54%), 10 Aug 2005 (-1.21%), 19 Sep 2005 (1.09%), 14 Dec 2005 (-4.35%)
2004921 Jul 2004 (-0.73%), 04 Aug 2004 (0.17%), 27 Aug 2004 (-0.89%), 10 Sep 2004 (-0.27%), 24 Sep 2004 (1.45%), 05 Nov 2004 (-0.79%), 24 Nov 2004 (1.31%), 09 Dec 2004 (0.17%), 23 Dec 2004 (2.7%)
2003626 May 2003 (0.92%), 09 Sep 2003 (-0.87%), 23 Sep 2003 (-10.06%), 08 Oct 2003 (-5.04%), 31 Oct 2003 (-3.86%), 26 Dec 2003 (-1.09%)
2002814 Jan 2002 (-15.57%), 04 Feb 2002 (0.5%), 18 Feb 2002 (5.72%), 06 May 2002 (-1.95%), 20 May 2002 (9.13%), 03 Jun 2002 (-0.38%), 02 Dec 2002 (6.65%), 16 Dec 2002 (3.9%)
2001322 Jan 2001 (4.13%), 06 Feb 2001 (4.75%), 26 Nov 2001 (2.34%)
2000407 Apr 2000 (7.87%), 06 Jul 2000 (-1.01%), 27 Nov 2000 (1.45%), 11 Dec 2000 (1.55%)
1999302 Jul 1999 (-8.02%), 16 Jul 1999 (-0.41%), 21 Dec 1999 (-5.07%)
1998101 Apr 1998 (7.04%)
1997413 Jan 1997 (-1.37%), 28 Jan 1997 (1.22%), 11 Feb 1997 (-1.15%), 25 Apr 1997 (-4.41%)
1996619 Apr 1996 (2.02%), 13 Jun 1996 (-2.85%), 27 Jun 1996 (-10.27%), 11 Jul 1996 (0.62%), 24 Sep 1996 (9.57%), 26 Dec 1996 (2.83%)



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