Study: Sell CANBK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CANBK 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 CANBK 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
1-63561.3962233937.14416.268112.32-4234.24-29318.611.040.62-0.042-1025.18
2-42532.11623131506184.7616366.55-7556.76-35188.140.820.82-0.018-686
3-72489.4962332953.237393.135663.46-10912.48-36984.860.680.77-0.023-1169.19
4-82515.78623131508761.7526691.85-11423.55-46096.210.770.77-0.024-1330.9
5-10595362323051.618263.6926213.76-12346.38-43338.830.670.71-0.031-1708.92
6-75589.6962293346.7711146.4428774.68-12085.95-48613.820.920.81-0.021-1219.19
7-1592036231315010151.1931869.11-15286.78-81162.90.660.66-0.037-2567.79
8-19878962293346.7711939.5927040.6-16516.27-68844.60.720.64-0.044-3206.27
9-13503062303248.3912237.9645039.77-15692.78-57515.360.780.73-0.03-2177.9
10-18601462293346.7711769.6936082.04-15979.83-59283.680.740.65-0.041-3000.22
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
atrnil23.78-49639.81141439830.515715.1624517.76-7401.96-12526.962.120.93-0.0079-352.06
atrtrail33.68-75461.871504910132.6711208.7933581.04-6185.07-11765.731.810.88-0.012-503.08
atrtrail23.21-79041.451515010133.1110913.0222387.36-6185.07-11765.731.760.87-0.014-523.45
atrnil35.88-1938411392711219.4223595.1336776.64-7418.84-11875.953.180.77-0.027-1394.54
atrtrail-13.92-1677271504910132.679325.8362718.14-6185.07-11765.731.510.73-0.029-1118.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 30.5%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANBK Performance, Profit Factor:0.932

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019418 Mar 2019 (-3.18%), 19 Mar 2019 (-3.16%), 27 Mar 2019 (-3.0%), 28 Mar 2019 (6.15%)
2018130 Jul 2018 (-4.01%)
2017803 Feb 2017 (5.91%), 24 Apr 2017 (-2.48%), 28 Apr 2017 (-2.79%), 02 May 2017 (-2.85%), 04 May 2017 (-3.03%), 05 May 2017 (6.69%), 25 Oct 2017 (-3.79%), 26 Oct 2017 (8.84%)
2016804 Jul 2016 (-3.12%), 07 Jul 2016 (-3.05%), 11 Jul 2016 (-3.15%), 14 Jul 2016 (-3.26%), 20 Jul 2016 (7.03%), 06 Sep 2016 (-2.73%), 07 Sep 2016 (-3.03%), 09 Sep 2016 (6.08%)
20141128 Mar 2014 (-2.97%), 02 Apr 2014 (-3.34%), 09 Apr 2014 (6.74%), 14 May 2014 (-4.42%), 15 May 2014 (-4.71%), 16 May 2014 (-5.63%), 19 May 2014 (-5.49%), 20 May 2014 (-5.43%), 23 May 2014 (10.48%), 26 May 2014 (-6.26%), 09 Jun 2014 (10.15%)
2013301 Jan 2013 (-2.85%), 02 Jan 2013 (5.69%), 05 Nov 2013 (9.27%)
20121124 Jan 2012 (-3.83%), 03 Feb 2012 (-4.07%), 06 Feb 2012 (-4.04%), 10 Feb 2012 (-3.93%), 15 Feb 2012 (7.25%), 18 Sep 2012 (-3.55%), 20 Sep 2012 (-3.73%), 21 Sep 2012 (-3.74%), 24 Sep 2012 (-4.16%), 19 Oct 2012 (6.95%), 06 Dec 2012 (-3.2%)
2011103 Nov 2011 (7.17%)
20102104 Mar 2010 (6.02%), 05 Jul 2010 (-2.62%), 09 Jul 2010 (-2.33%), 12 Jul 2010 (-2.32%), 14 Jul 2010 (-2.55%), 19 Jul 2010 (5.37%), 17 Aug 2010 (-2.52%), 19 Aug 2010 (4.92%), 08 Sep 2010 (-2.77%), 09 Sep 2010 (-2.79%), 13 Sep 2010 (-2.84%), 16 Sep 2010 (-2.83%), 05 Oct 2010 (-2.84%), 06 Oct 2010 (-2.93%), 14 Oct 2010 (-2.91%), 21 Oct 2010 (-3.34%), 22 Oct 2010 (-3.42%), 02 Nov 2010 (-3.33%), 04 Nov 2010 (-3.14%), 08 Nov 2010 (-3.13%), 09 Nov 2010 (6.46%)
20091905 Jan 2009 (-5.0%), 15 Apr 2009 (-4.82%), 17 Apr 2009 (-4.87%), 20 Apr 2009 (-5.15%), 06 May 2009 (-5.5%), 07 May 2009 (10.65%), 18 May 2009 (-5.65%), 19 May 2009 (-5.73%), 20 May 2009 (11.88%), 15 Sep 2009 (-3.13%), 16 Sep 2009 (-3.14%), 07 Oct 2009 (-3.34%), 12 Oct 2009 (-3.27%), 14 Oct 2009 (-3.26%), 16 Oct 2009 (-3.12%), 20 Oct 2009 (-3.18%), 21 Oct 2009 (6.38%), 01 Dec 2009 (-4.23%), 02 Dec 2009 (8.42%)
2008501 Jan 2008 (-4.55%), 02 Jan 2008 (-4.75%), 03 Jan 2008 (9.84%), 06 Aug 2008 (-5.88%), 11 Aug 2008 (12.26%)
2007416 May 2007 (-3.95%), 17 May 2007 (-3.82%), 21 May 2007 (7.89%), 11 Dec 2007 (8.24%)
2006813 Feb 2006 (8.9%), 30 Aug 2006 (-3.27%), 04 Sep 2006 (-3.36%), 05 Sep 2006 (6.93%), 14 Sep 2006 (-3.74%), 21 Sep 2006 (-3.44%), 27 Sep 2006 (-3.14%), 28 Sep 2006 (6.56%)
20051003 Jan 2005 (-3.73%), 04 Jan 2005 (7.54%), 24 Jun 2005 (5.69%), 08 Jul 2005 (-3.07%), 11 Jul 2005 (-3.07%), 13 Jul 2005 (-3.22%), 15 Jul 2005 (-3.25%), 29 Jul 2005 (-3.79%), 01 Aug 2005 (7.5%), 19 Dec 2005 (7.23%)
20041609 Jan 2004 (-3.64%), 12 Jan 2004 (-3.68%), 13 Jan 2004 (-3.61%), 14 Jan 2004 (7.04%), 13 Apr 2004 (-4.44%), 15 Apr 2004 (-4.41%), 17 Apr 2004 (-4.33%), 23 Apr 2004 (8.71%), 03 Sep 2004 (-2.97%), 20 Sep 2004 (-2.83%), 22 Sep 2004 (5.7%), 05 Oct 2004 (6.47%), 25 Nov 2004 (-3.41%), 01 Dec 2004 (-3.86%), 02 Dec 2004 (7.68%), 23 Dec 2004 (-3.82%)
20031103 Apr 2003 (-4.62%), 07 Apr 2003 (-4.43%), 09 Apr 2003 (-4.7%), 10 Apr 2003 (9.7%), 05 May 2003 (-4.77%), 12 May 2003 (-4.63%), 14 May 2003 (-4.53%), 15 May 2003 (8.9%), 28 May 2003 (11.19%), 27 Aug 2003 (10.42%), 16 Oct 2003 (8.97%)



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