Study: Sell BHEL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell BHEL 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 BHEL 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
1-48141.996524454.172878.219263.85-4495.65-16017.080.640.76-0.021-501.48
2-58764.2896524454.174525.1618031.43-6683.47-28077.070.680.8-0.016-612.13
3-42259.9196514553.125890.9422181.08-7615.51-32674.850.770.88-0.0098-440.21
42877.0496514553.127501.4825950.86-8437.74-43480.250.891.010.0005529.97
5-38806.4396544256.257985.4727085.22-11191-53756.570.710.92-0.0062-404.23
6-14249496514553.128220.3228037.7-12482.9-47590.770.660.75-0.022-1484.32
7-19516796455146.889584.4825849.27-12283.71-50373.570.780.69-0.03-2032.99
8-1822579648485010570.631318.68-14367.62-48595.570.740.74-0.025-1898.51
9-1255479648485011308.0333276.1-13923.6-43924.50.810.81-0.017-1307.78
10-18497396455146.8812306.4241723.9-14485.52-44818.250.850.75-0.023-1926.8
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
atrtrail33.59-1293282286516328.5111735.0129401.66-5473.03-10613.192.140.86-0.012-567.23
atrnil35.93-1582621994515422.6120597.2530384.64-7046.35-11462.132.920.85-0.014-795.29
atrnil24.25-2120372045814628.4314034.9620256.43-7027.84-11462.1320.79-0.022-1039.4
atrtrail23.23-1952842316616528.5710722.8519601.11-5472.68-10613.191.960.78-0.021-845.38
atrtrail-14.18-2455962286316527.6310419.1745383.02-5466.69-10613.191.910.73-0.024-1077.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 28.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.28%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BHEL Performance, Profit Factor:0.855

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019329 Mar 2019 (-3.33%), 01 Apr 2019 (2.33%), 12 Apr 2019 (10.2%)
2018402 Jan 2018 (-2.53%), 04 Jan 2018 (-2.46%), 05 Jan 2018 (-1.22%), 10 Jan 2018 (7.6%)
20171027 Jan 2017 (-0.71%), 03 Feb 2017 (-2.55%), 07 Feb 2017 (-2.9%), 08 Feb 2017 (-0.4%), 28 Feb 2017 (-0.4%), 15 Mar 2017 (-2.91%), 06 Apr 2017 (0.97%), 26 Oct 2017 (-1.66%), 31 Oct 2017 (-2.72%), 03 Nov 2017 (9.45%)
2016513 Apr 2016 (2.46%), 04 Jul 2016 (-2.95%), 13 Jul 2016 (-2.0%), 28 Jul 2016 (9.18%), 07 Sep 2016 (4.59%)
2015303 Feb 2015 (9.35%), 16 Jul 2015 (-2.77%), 21 Jul 2015 (1.31%)
20141207 Mar 2014 (-3.34%), 10 Mar 2014 (-0.05%), 18 Mar 2014 (-1.32%), 25 Mar 2014 (-2.65%), 27 Mar 2014 (9.7%), 13 May 2014 (-2.75%), 16 May 2014 (-4.01%), 19 May 2014 (-4.36%), 20 May 2014 (0.5%), 23 May 2014 (-4.86%), 28 Oct 2014 (-2.52%), 27 Nov 2014 (1.19%)
2013502 Dec 2013 (-3.37%), 04 Dec 2013 (-3.24%), 05 Dec 2013 (-3.19%), 09 Dec 2013 (9.77%), 30 Dec 2013 (5.17%)
2012321 Feb 2012 (4.16%), 25 Sep 2012 (-0.79%), 04 Oct 2012 (10.15%)
2010301 Oct 2010 (-1.78%), 04 Oct 2010 (-1.81%), 06 Oct 2010 (5.24%)
20091018 May 2009 (-5.17%), 19 May 2009 (3.45%), 29 May 2009 (-2.5%), 05 Jun 2009 (-2.22%), 10 Jun 2009 (14.11%), 06 Oct 2009 (-2.52%), 07 Oct 2009 (-2.61%), 08 Oct 2009 (-0.46%), 14 Oct 2009 (8.43%), 14 Dec 2009 (2.73%)
20072822 May 2007 (-2.57%), 23 May 2007 (-2.07%), 28 May 2007 (-2.46%), 29 May 2007 (0.26%), 01 Jun 2007 (-0.07%), 21 Jun 2007 (-0.14%), 29 Jun 2007 (-2.71%), 06 Jul 2007 (-2.94%), 11 Jul 2007 (-2.86%), 12 Jul 2007 (-2.87%), 13 Jul 2007 (1.02%), 23 Jul 2007 (-3.24%), 24 Jul 2007 (10.21%), 03 Sep 2007 (-0.62%), 21 Sep 2007 (-2.76%), 24 Sep 2007 (-1.72%), 27 Sep 2007 (-0.45%), 03 Oct 2007 (-2.97%), 04 Oct 2007 (-3.0%), 05 Oct 2007 (-3.17%), 08 Oct 2007 (-3.33%), 10 Oct 2007 (-3.49%), 11 Oct 2007 (-0.42%), 15 Oct 2007 (11.33%), 29 Oct 2007 (-5.01%), 06 Nov 2007 (-5.09%), 07 Nov 2007 (-0.96%), 14 Nov 2007 (14.7%)
20062020 Jan 2006 (-3.76%), 24 Jan 2006 (-3.6%), 27 Jan 2006 (-2.52%), 31 Jan 2006 (-3.51%), 01 Feb 2006 (-3.59%), 03 Feb 2006 (-2.81%), 13 Feb 2006 (-2.44%), 15 Feb 2006 (-0.2%), 21 Feb 2006 (-3.13%), 23 Feb 2006 (-3.04%), 28 Feb 2006 (-3.12%), 01 Mar 2006 (-3.12%), 02 Mar 2006 (-3.28%), 07 Mar 2006 (-3.04%), 08 Mar 2006 (-2.67%), 21 Mar 2006 (0.58%), 03 Apr 2006 (-3.01%), 07 Apr 2006 (8.32%), 17 Aug 2006 (-1.76%), 07 Dec 2006 (6.95%)
20051803 Jan 2005 (8.93%), 02 Feb 2005 (-3.19%), 10 Feb 2005 (-4.01%), 14 Feb 2005 (-0.57%), 24 Feb 2005 (-1.38%), 26 May 2005 (8.36%), 20 Jul 2005 (-2.62%), 22 Jul 2005 (-1.93%), 29 Jul 2005 (-2.29%), 04 Aug 2005 (-1.16%), 16 Aug 2005 (4.22%), 29 Sep 2005 (-3.57%), 04 Oct 2005 (11.42%), 24 Nov 2005 (-3.2%), 25 Nov 2005 (-3.2%), 26 Nov 2005 (-3.19%), 28 Nov 2005 (-0.23%), 30 Nov 2005 (-3.5%)
20041301 Jan 2004 (-3.36%), 02 Jan 2004 (10.3%), 05 Jan 2004 (-4.58%), 08 Jan 2004 (-1.96%), 13 Jan 2004 (13.67%), 08 Oct 2004 (-0.11%), 06 Dec 2004 (0.15%), 10 Dec 2004 (-3.05%), 14 Dec 2004 (-2.94%), 15 Dec 2004 (-1.78%), 21 Dec 2004 (-2.12%), 28 Dec 2004 (-1.43%), 31 Dec 2004 (-2.98%)
20032517 Jan 2003 (7.89%), 22 Jan 2003 (-3.43%), 24 Jan 2003 (3.2%), 06 Feb 2003 (-1.42%), 17 Feb 2003 (-3.59%), 21 Feb 2003 (-0.28%), 26 Feb 2003 (9.56%), 02 Apr 2003 (-0.42%), 06 May 2003 (-3.11%), 08 May 2003 (1.12%), 16 May 2003 (-1.99%), 22 May 2003 (-2.46%), 26 May 2003 (-0.57%), 08 Jul 2003 (-1.22%), 18 Aug 2003 (-2.64%), 22 Aug 2003 (-3.69%), 26 Aug 2003 (-5.31%), 27 Aug 2003 (0.29%), 23 Sep 2003 (-4.16%), 24 Sep 2003 (-0.45%), 30 Sep 2003 (-4.02%), 06 Oct 2003 (-2.38%), 17 Oct 2003 (10.41%), 30 Oct 2003 (-4.6%), 31 Oct 2003 (1.73%)
2002304 Feb 2002 (-3.02%), 06 Feb 2002 (3.83%), 15 Feb 2002 (6.57%)
2001231 May 2001 (1.5%), 06 Nov 2001 (-1.99%)
2000707 Jul 2000 (14.57%), 14 Nov 2000 (5.3%), 04 Dec 2000 (-2.63%), 07 Dec 2000 (-4.85%), 11 Dec 2000 (-4.53%), 12 Dec 2000 (-4.44%), 13 Dec 2000 (6.51%)
19991007 Jan 1999 (-3.54%), 08 Jan 1999 (10.82%), 25 Jun 1999 (0.83%), 06 Jul 1999 (-2.07%), 09 Jul 1999 (-4.44%), 12 Jul 1999 (-4.35%), 13 Jul 1999 (-4.51%), 14 Jul 1999 (-4.52%), 15 Jul 1999 (-4.93%), 19 Jul 1999 (14.21%)
1998820 Mar 1998 (-3.51%), 23 Mar 1998 (-1.89%), 01 Apr 1998 (-3.34%), 02 Apr 1998 (-3.56%), 03 Apr 1998 (5.45%), 24 Sep 1998 (-3.94%), 25 Sep 1998 (-3.96%), 28 Sep 1998 (11.98%)
19971628 Feb 1997 (-3.01%), 01 Mar 1997 (-3.08%), 03 Mar 1997 (-2.69%), 05 Mar 1997 (-3.24%), 06 Mar 1997 (1.3%), 11 Mar 1997 (-3.77%), 12 Mar 1997 (-2.54%), 25 Mar 1997 (3.22%), 03 Apr 1997 (-4.36%), 07 Apr 1997 (-2.98%), 28 Apr 1997 (-2.82%), 30 Apr 1997 (-2.82%), 05 May 1997 (-2.78%), 06 May 1997 (0.57%), 04 Jun 1997 (6.8%), 04 Aug 1997 (0.0%)
19962012 Feb 1996 (-3.51%), 13 Feb 1996 (-3.84%), 14 Feb 1996 (2.61%), 23 Feb 1996 (3.33%), 03 Apr 1996 (-4.13%), 04 Apr 1996 (-4.32%), 08 Apr 1996 (-3.07%), 16 Apr 1996 (-3.68%), 18 Apr 1996 (-3.69%), 19 Apr 1996 (-3.72%), 24 Apr 1996 (-2.06%), 26 Apr 1996 (-2.43%), 30 Apr 1996 (-4.13%), 03 May 1996 (-0.87%), 08 May 1996 (-1.39%), 14 May 1996 (0.72%), 09 Dec 1996 (-3.18%), 10 Dec 1996 (-3.24%), 11 Dec 1996 (0.34%), 17 Dec 1996 (4.29%)



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