Study: Sell BPCL when RSI is overbought

home > technical-strategy > bpcl > 61

In this study, we evaluate the performance of strategy "Sell BPCL 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 BPCL 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
11746.8587493856.323979.7213976.26-5085.77-22930.680.781.010.0006820.08
2-862.8587444350.576387.9219483.54-6556.54-33340.620.971-0.00022-9.92
3-76253.887444350.577174.6224156.48-9114.81-55639.710.790.81-0.014-876.48
4-47595.5887444350.578520.0528997.56-9825.06-36642.780.870.89-0.0094-547.08
5-60965.1887434449.438627.336283.62-9816.8-42824.970.880.86-0.012-700.75
6-73671.2787483955.177554.9627823.96-11187.43-35783.010.680.83-0.014-846.8
7-64277.787454251.728668.4327278.93-10818.02-44503.580.80.86-0.012-738.82
8-83585.2587434449.4310314.4333018.24-11979.67-47574.210.860.84-0.014-960.75
9-14674487434449.4310913.7534049.46-14000.79-50767.660.780.76-0.021-1686.71
10-14976587424548.2811020.529370.31-13613.9-45977.480.810.76-0.023-1721.43

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.01. 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 56.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.01%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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-111746.8587493856.323979.7213976.26-5085.77-22930.680.781.010.0006820.08
atrnil24.26-99168.47175561193214160.9422785.39-7497.32-12657.131.890.89-0.011-566.68
atrtrail23.37-99469.271986713133.849782.0622296.84-5762.35-12514.931.70.87-0.012-502.37
atrtrail33.85-1094131986713133.849633.6433445.26-5762.35-12514.931.670.86-0.012-552.59
atrnil36.42-2138311713713421.6421170.6733445.26-7441.38-12657.132.840.79-0.021-1250.47
atrtrail-14.15-2842371976513232.997212.428175.06-5704.87-12514.931.260.62-0.039-1442.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 56.32%, which is not acceptable. Avoid this strategy. Average return per trade is 0.01%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00068, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. 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.
BPCL Performance, X=1, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Mar 2019 (-0.81%), 13 Sep 2019 (6.99%), 27 Sep 2019 (-0.06%), 18 Oct 2019 (-2.65%)
2018119 Dec 2018 (-2.58%)
2017425 Jan 2017 (0.91%), 12 Apr 2017 (-1.92%), 02 Aug 2017 (-0.76%), 01 Sep 2017 (1.16%)
2016930 Mar 2016 (-0.35%), 13 Apr 2016 (-4.78%), 06 Jun 2016 (1.81%), 20 Jun 2016 (-0.37%), 04 Jul 2016 (0.74%), 19 Jul 2016 (-0.41%), 08 Aug 2016 (1.83%), 05 Oct 2016 (-3.2%), 24 Oct 2016 (0.11%)
2015229 Jan 2015 (-2.04%), 03 Jul 2015 (-3.1%)
2014805 Mar 2014 (-3.52%), 25 Mar 2014 (0.09%), 22 Apr 2014 (1.59%), 13 May 2014 (-1.82%), 05 Jun 2014 (-1.4%), 19 Aug 2014 (1.05%), 03 Sep 2014 (0.54%), 05 Nov 2014 (-2.55%)
2013207 Jan 2013 (1.23%), 21 Jan 2013 (1.61%)
2012516 Feb 2012 (0.59%), 02 Mar 2012 (-1.65%), 21 Mar 2012 (2.25%), 16 May 2012 (2.16%), 12 Jul 2012 (1.57%)
2011105 Aug 2011 (-0.09%)
2010404 Jan 2010 (1.51%), 28 Jun 2010 (1.13%), 13 Jul 2010 (0.04%), 23 Aug 2010 (2.05%)
2009518 May 2009 (3.35%), 07 Aug 2009 (4.69%), 07 Sep 2009 (1.23%), 25 Nov 2009 (0.96%), 09 Dec 2009 (0.17%)
2007415 May 2007 (1.8%), 25 Sep 2007 (-4.51%), 15 Nov 2007 (-1.84%), 31 Dec 2007 (0.71%)
2006218 Aug 2006 (0.91%), 12 Oct 2006 (1.65%)
2005102 Aug 2005 (0.08%)
2004312 Jan 2004 (4.81%), 05 Nov 2004 (1.6%), 30 Dec 2004 (0.96%)
2003807 May 2003 (1.9%), 20 Jun 2003 (-0.04%), 04 Jul 2003 (-1.6%), 22 Aug 2003 (3.92%), 10 Sep 2003 (-4.47%), 29 Sep 2003 (0.85%), 11 Dec 2003 (-0.57%), 29 Dec 2003 (1.89%)
2002204 Feb 2002 (-5.63%), 06 Dec 2002 (4.53%)
2001515 Jan 2001 (2.74%), 02 Feb 2001 (-11.47%), 20 Feb 2001 (6.14%), 22 Nov 2001 (3.05%), 07 Dec 2001 (-2.24%)
2000301 Nov 2000 (-2.51%), 15 Nov 2000 (3.61%), 05 Dec 2000 (-1.53%)
1999414 May 1999 (-8.02%), 14 Jul 1999 (3.89%), 24 Nov 1999 (-8.0%), 15 Dec 1999 (3.02%)
1997613 Jan 1997 (-1.24%), 28 Jan 1997 (2.2%), 12 Feb 1997 (-1.47%), 07 May 1997 (-2.5%), 16 Jun 1997 (-0.87%), 30 Jun 1997 (0.69%)
1996412 Feb 1996 (-3.51%), 27 Feb 1996 (4.68%), 11 Apr 1996 (-0.54%), 26 Apr 1996 (0.54%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play