Study: Sell CADILAHC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CADILAHC 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 CADILAHC 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
1-16244685335238.823283.1710611.38-5207.52-19707.820.630.4-0.081-1911.13
2-11186685355041.184364.4114466.45-5292.4-16086.260.820.58-0.049-1316.07
3-35547.5685404547.065805.0212498.04-5949.96-16669.10.980.87-0.013-418.21
41135.5985414448.247153.8220918.21-6640.25-19617.051.0810.0003613.36
517952.7185404547.067647.6822191.69-6398.99-22101.181.21.060.0055211.21
6-26542.9685434250.597039.1923195.6-7838.76-29785.440.90.92-0.0073-312.27
7-34468.8385444151.767314.5118017.54-8690.42-23638.090.840.9-0.0094-405.52
846785.6385483756.477527.9224865.26-8501.47-22261.610.891.150.013550.42
912192.1585454052.948201.324019.87-8921.66-44617.050.921.030.003143.44
10-11961185414448.249580.8126931.66-11646.01-54724.550.820.77-0.023-1407.19
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
atrtrail23.68-1031441876412334.229940.4721726.4-6010.85-11483.311.650.86-0.014-551.57
atrnil24.8-1277601685111730.3614351.9321726.4-7347.94-134201.950.85-0.017-760.48
atrnil37.56-3399021633013318.421148.2832589.6-7325.94-134202.890.65-0.042-2085.29
atrtrail34.34-2786071855912631.897952.9730147.19-5935.18-10993.061.340.63-0.043-1505.98
atrtrail-14.58-3583831855912631.896600.8326818.79-5935.18-10993.061.110.52-0.063-1937.21

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 34.22%, 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.
CADILAHC Performance, Profit Factor:0.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019124 Sep 2019 (6.85%)
2017516 Feb 2017 (-3.97%), 17 Feb 2017 (8.02%), 11 May 2017 (5.48%), 07 Jun 2017 (-3.89%), 12 Jun 2017 (7.4%)
2016607 Jul 2016 (-2.12%), 08 Jul 2016 (-2.3%), 11 Jul 2016 (0.25%), 15 Jul 2016 (-0.05%), 20 Jul 2016 (-2.32%), 26 Jul 2016 (5.14%)
2015601 Apr 2015 (-3.64%), 06 Apr 2015 (-3.77%), 07 Apr 2015 (7.88%), 29 May 2015 (6.76%), 16 Jul 2015 (5.45%), 23 Oct 2015 (6.5%)
20142008 Jan 2014 (-2.87%), 09 Jan 2014 (0.23%), 14 Jan 2014 (0.32%), 07 Feb 2014 (-3.1%), 10 Feb 2014 (-3.06%), 12 Feb 2014 (0.3%), 24 Feb 2014 (-3.18%), 28 Feb 2014 (-3.06%), 03 Mar 2014 (6.62%), 27 Jun 2014 (-2.73%), 03 Jul 2014 (-2.23%), 07 Jul 2014 (5.89%), 20 Aug 2014 (-3.74%), 26 Aug 2014 (0.19%), 05 Sep 2014 (-3.45%), 09 Sep 2014 (-0.94%), 30 Oct 2014 (-0.82%), 07 Nov 2014 (-3.11%), 11 Nov 2014 (3.78%), 03 Dec 2014 (6.53%)
2013714 May 2013 (6.28%), 06 Nov 2013 (-2.78%), 11 Nov 2013 (0.16%), 22 Nov 2013 (0.58%), 20 Dec 2013 (-2.32%), 23 Dec 2013 (-0.8%), 31 Dec 2013 (0.98%)
2012815 Mar 2012 (6.56%), 15 May 2012 (5.72%), 17 Jul 2012 (-2.53%), 18 Jul 2012 (-2.59%), 19 Jul 2012 (-0.66%), 31 Jul 2012 (-2.93%), 01 Aug 2012 (-2.08%), 11 Sep 2012 (5.23%)
2011320 Jan 2011 (-3.24%), 21 Jan 2011 (6.49%), 28 Apr 2011 (-0.9%)
20101624 Feb 2010 (-3.48%), 26 Feb 2010 (-3.77%), 02 Mar 2010 (-1.7%), 15 Mar 2010 (-2.08%), 19 Mar 2010 (-2.22%), 23 Mar 2010 (-1.07%), 06 Apr 2010 (-3.32%), 07 Apr 2010 (-2.0%), 15 Apr 2010 (6.41%), 17 May 2010 (6.09%), 23 Jun 2010 (1.23%), 01 Oct 2010 (6.21%), 12 Oct 2010 (-1.02%), 12 Nov 2010 (-3.33%), 16 Nov 2010 (-3.36%), 18 Nov 2010 (7.29%)
20092506 Apr 2009 (-3.0%), 16 Apr 2009 (-3.41%), 20 Apr 2009 (-3.33%), 24 Apr 2009 (-4.25%), 27 Apr 2009 (-4.51%), 28 Apr 2009 (-4.2%), 05 May 2009 (-4.66%), 06 May 2009 (2.13%), 25 Jun 2009 (-4.74%), 26 Jun 2009 (9.56%), 28 Jul 2009 (-4.77%), 29 Jul 2009 (9.79%), 30 Jul 2009 (-5.74%), 31 Jul 2009 (-4.07%), 05 Aug 2009 (3.69%), 03 Sep 2009 (-5.14%), 04 Sep 2009 (-3.41%), 25 Sep 2009 (-3.14%), 14 Oct 2009 (-5.19%), 17 Oct 2009 (-3.6%), 06 Nov 2009 (-1.15%), 01 Dec 2009 (-3.92%), 02 Dec 2009 (-3.92%), 04 Dec 2009 (-3.27%), 11 Dec 2009 (8.24%)
2008305 May 2008 (-5.37%), 16 May 2008 (8.09%), 11 Aug 2008 (8.02%)
2007618 Jun 2007 (-2.79%), 20 Jun 2007 (-2.85%), 21 Jun 2007 (1.07%), 26 Jun 2007 (7.49%), 13 Dec 2007 (-4.04%), 14 Dec 2007 (0.2%)
20062113 Feb 2006 (6.27%), 06 Mar 2006 (-3.43%), 08 Mar 2006 (-3.72%), 09 Mar 2006 (-3.79%), 13 Mar 2006 (-2.73%), 17 Mar 2006 (-3.77%), 21 Mar 2006 (-3.87%), 22 Mar 2006 (-0.87%), 28 Mar 2006 (-2.88%), 03 Apr 2006 (-3.38%), 05 Apr 2006 (-3.63%), 07 Apr 2006 (7.94%), 29 Apr 2006 (10.05%), 10 Aug 2006 (-3.62%), 14 Aug 2006 (-3.34%), 17 Aug 2006 (-3.28%), 18 Aug 2006 (-3.48%), 21 Aug 2006 (7.01%), 04 Sep 2006 (-0.31%), 30 Oct 2006 (-1.44%), 06 Nov 2006 (-3.27%)
2005502 Jun 2005 (-2.72%), 03 Jun 2005 (0.22%), 08 Jul 2005 (-2.86%), 11 Jul 2005 (-0.92%), 25 Jul 2005 (6.02%)
20041117 Feb 2004 (-4.11%), 18 Feb 2004 (-4.13%), 19 Feb 2004 (-4.31%), 25 Feb 2004 (8.36%), 13 Apr 2004 (1.0%), 07 Sep 2004 (-0.43%), 13 Sep 2004 (-0.86%), 17 Dec 2004 (-2.69%), 20 Dec 2004 (-2.86%), 21 Dec 2004 (-0.48%), 29 Dec 2004 (6.87%)
20032702 Jan 2003 (-2.44%), 03 Jan 2003 (0.07%), 17 Jan 2003 (5.26%), 02 Jun 2003 (-3.27%), 03 Jun 2003 (0.01%), 16 Jun 2003 (-3.42%), 17 Jun 2003 (0.58%), 27 Jun 2003 (-3.7%), 30 Jun 2003 (-4.07%), 01 Jul 2003 (-1.71%), 04 Jul 2003 (-2.53%), 11 Jul 2003 (-5.26%), 14 Jul 2003 (10.44%), 25 Jul 2003 (-5.04%), 28 Jul 2003 (-5.21%), 29 Jul 2003 (-1.61%), 04 Aug 2003 (-1.29%), 12 Aug 2003 (-1.64%), 21 Aug 2003 (-4.21%), 26 Aug 2003 (-5.5%), 29 Aug 2003 (-5.22%), 01 Sep 2003 (-1.6%), 05 Sep 2003 (-5.28%), 08 Sep 2003 (10.86%), 10 Nov 2003 (1.71%), 02 Dec 2003 (-3.54%), 03 Dec 2003 (1.9%)
2002504 Apr 2002 (-2.95%), 05 Apr 2002 (-3.07%), 08 Apr 2002 (-0.33%), 10 Apr 2002 (-0.64%), 16 Dec 2002 (-1.33%)
2001605 Sep 2001 (-3.56%), 06 Sep 2001 (7.12%), 22 Oct 2001 (-3.73%), 24 Oct 2001 (7.14%), 26 Nov 2001 (-3.73%), 27 Nov 2001 (7.58%)
2000608 Nov 2000 (1.99%), 22 Nov 2000 (-3.94%), 24 Nov 2000 (0.15%), 11 Dec 2000 (-3.75%), 12 Dec 2000 (-1.9%), 14 Dec 2000 (8.45%)



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