Study: Sell CANFINHOME when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CANFINHOME 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 CANFINHOME 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
137631.2288414746.595622.3116014.9-4103.9-14417.371.371.20.014427.63
258776.188414746.598660.5241607.57-6304.36-26295.591.371.20.014667.91
3-9816.56884444509791.3253427.9-10014.42-46065.260.980.98-0.0016-111.55
4-37796.59884444509534.0364775.41-10393.04-62871.480.920.92-0.0059-429.51
5-73765.9388414746.5910595.3358628.84-10812.22-60478.580.980.85-0.011-838.25
6-32199.1288454351.1411926.6265721.04-13230.16-53222.690.90.94-0.0043-365.9
7-10520988493955.6810975.5477068.56-16487.46-76204.820.670.84-0.013-1195.56
8-14955588464252.2712212.3569976.36-16936.25-59282.130.720.79-0.018-1699.49
9-53524.988484054.5512794.2476122.93-16691.21-67116.940.770.92-0.0064-608.24
10-29863.9288454351.1414224.869030.73-15580.93-74334.230.910.96-0.0036-339.36
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
atrnil24.23-292995200521482616536.0828287.26-7789.67-16364.82.120.75-0.028-1464.98
atrnil36.89-3389161943515918.0425344.7337918.13-7710.58-14143.633.290.72-0.029-1746.99
atrtrail22.99-3125252195816126.4812504.4728287.26-6445.87-12197.341.940.7-0.032-1427.06
atrtrail33.5-3688772175616125.8111820.1137918.13-6402.51-12091.541.850.64-0.037-1699.9
atrtrail-13.81-3967592175616125.8111322.2254813.66-6402.51-12091.541.770.62-0.038-1828.38

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CANFINHOME Performance, Profit Factor:0.746

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019512 Mar 2019 (-4.52%), 25 Mar 2019 (-4.13%), 27 Mar 2019 (-3.93%), 29 Mar 2019 (-3.71%), 05 Apr 2019 (7.21%)
20171531 Jan 2017 (-3.19%), 01 Feb 2017 (-3.15%), 02 Feb 2017 (-3.24%), 07 Feb 2017 (6.06%), 03 Apr 2017 (-3.0%), 06 Apr 2017 (-2.92%), 12 Apr 2017 (-3.09%), 13 Apr 2017 (6.38%), 20 Apr 2017 (-3.57%), 25 Apr 2017 (-3.47%), 02 May 2017 (7.04%), 09 Jun 2017 (-3.42%), 13 Jun 2017 (-3.26%), 16 Jun 2017 (-2.93%), 21 Jun 2017 (5.6%)
20161929 Mar 2016 (-3.38%), 30 Mar 2016 (-3.47%), 01 Apr 2016 (-3.52%), 12 Apr 2016 (-3.33%), 13 Apr 2016 (6.84%), 25 Jul 2016 (-2.45%), 28 Jul 2016 (-2.38%), 29 Jul 2016 (-2.36%), 01 Aug 2016 (-2.63%), 02 Aug 2016 (-2.64%), 08 Aug 2016 (-2.65%), 24 Aug 2016 (-2.68%), 26 Aug 2016 (-2.65%), 01 Sep 2016 (-2.35%), 02 Sep 2016 (-2.31%), 06 Sep 2016 (-3.08%), 04 Oct 2016 (-2.9%), 14 Oct 2016 (-2.89%), 18 Oct 2016 (6.31%)
20151902 Jan 2015 (-3.37%), 05 Jan 2015 (-3.47%), 09 Jan 2015 (-4.04%), 15 Jan 2015 (-4.73%), 20 Jan 2015 (-4.56%), 21 Jan 2015 (9.1%), 09 Apr 2015 (-4.16%), 15 Apr 2015 (9.59%), 17 Jul 2015 (-3.33%), 21 Jul 2015 (-3.46%), 22 Jul 2015 (-3.61%), 23 Jul 2015 (7.24%), 29 Sep 2015 (-4.07%), 06 Oct 2015 (-4.05%), 08 Oct 2015 (-3.99%), 12 Oct 2015 (-3.94%), 21 Dec 2015 (-2.99%), 22 Dec 2015 (-3.09%), 23 Dec 2015 (6.29%)
20142404 Mar 2014 (-3.25%), 05 Mar 2014 (6.96%), 03 Apr 2014 (-3.23%), 04 Apr 2014 (-3.42%), 07 Apr 2014 (-3.41%), 09 Apr 2014 (-3.55%), 11 Apr 2014 (-3.52%), 15 Apr 2014 (-3.59%), 21 Apr 2014 (-3.92%), 25 Apr 2014 (-3.89%), 19 May 2014 (-4.08%), 20 May 2014 (-4.11%), 22 May 2014 (-4.6%), 23 May 2014 (-4.69%), 26 May 2014 (-5.51%), 02 Jun 2014 (-4.88%), 04 Jun 2014 (9.36%), 25 Jun 2014 (-4.64%), 27 Jun 2014 (-4.6%), 02 Jul 2014 (-4.56%), 07 Jul 2014 (9.04%), 09 Sep 2014 (10.17%), 07 Nov 2014 (-3.9%), 11 Nov 2014 (7.74%)
20131001 Mar 2013 (-4.21%), 08 Mar 2013 (-4.06%), 11 Mar 2013 (8.54%), 11 Oct 2013 (-3.85%), 24 Oct 2013 (-3.45%), 30 Oct 2013 (-3.73%), 05 Nov 2013 (-3.95%), 12 Dec 2013 (-2.6%), 23 Dec 2013 (-3.07%), 24 Dec 2013 (6.2%)
2012813 Jan 2012 (-2.9%), 17 Jan 2012 (-2.79%), 10 Feb 2012 (-2.95%), 13 Feb 2012 (5.96%), 18 Oct 2012 (8.0%), 12 Nov 2012 (-3.98%), 13 Nov 2012 (-3.9%), 16 Nov 2012 (8.15%)
2011213 Apr 2011 (-4.8%), 15 Apr 2011 (9.83%)
20101420 Apr 2010 (-2.34%), 21 Apr 2010 (-2.43%), 22 Apr 2010 (-2.63%), 29 Apr 2010 (-3.36%), 28 Jun 2010 (-3.83%), 29 Jun 2010 (-3.99%), 30 Jun 2010 (-4.18%), 01 Jul 2010 (-4.32%), 14 Jul 2010 (-4.85%), 15 Jul 2010 (-4.78%), 20 Jul 2010 (-4.85%), 06 Aug 2010 (-4.3%), 10 Aug 2010 (-4.2%), 13 Aug 2010 (8.42%)
20091015 Apr 2009 (7.24%), 05 May 2009 (11.24%), 20 May 2009 (-6.32%), 25 May 2009 (-6.05%), 28 May 2009 (-6.05%), 29 May 2009 (-6.02%), 01 Jun 2009 (14.14%), 02 Jun 2009 (-8.18%), 04 Jun 2009 (-7.93%), 02 Dec 2009 (8.23%)
2007802 Jan 2007 (-3.46%), 03 Jan 2007 (7.15%), 29 Oct 2007 (-4.21%), 30 Oct 2007 (-4.78%), 31 Oct 2007 (-4.96%), 08 Nov 2007 (-5.82%), 15 Nov 2007 (-5.8%), 16 Nov 2007 (11.5%)
20061219 Jan 2006 (-2.92%), 23 Jan 2006 (6.25%), 15 Feb 2006 (7.69%), 05 May 2006 (-3.11%), 10 May 2006 (6.06%), 11 May 2006 (-3.62%), 12 May 2006 (-3.79%), 15 May 2006 (-4.12%), 16 May 2006 (-4.43%), 17 May 2006 (-4.54%), 20 Oct 2006 (-3.0%), 26 Oct 2006 (-3.19%)
2005208 Feb 2005 (10.14%), 01 Sep 2005 (7.08%)
2004817 Nov 2004 (-2.77%), 18 Nov 2004 (-2.93%), 19 Nov 2004 (6.14%), 09 Dec 2004 (-3.57%), 14 Dec 2004 (-3.8%), 24 Dec 2004 (-3.89%), 27 Dec 2004 (-4.1%), 31 Dec 2004 (9.29%)
20031503 Mar 2003 (5.29%), 05 May 2003 (-2.79%), 06 May 2003 (-2.96%), 13 May 2003 (-3.39%), 15 May 2003 (-3.75%), 30 May 2003 (-3.85%), 05 Jun 2003 (9.16%), 07 Jul 2003 (-4.75%), 08 Jul 2003 (10.23%), 15 Oct 2003 (-4.17%), 16 Oct 2003 (-4.49%), 17 Oct 2003 (8.84%), 09 Dec 2003 (8.68%), 29 Dec 2003 (-4.8%), 30 Dec 2003 (-5.63%)
2002906 Feb 2002 (-3.2%), 07 Feb 2002 (-4.14%), 08 Feb 2002 (-4.11%), 14 Feb 2002 (-3.77%), 15 Feb 2002 (7.71%), 25 Feb 2002 (-4.38%), 26 Feb 2002 (-4.32%), 27 Feb 2002 (-4.62%), 14 Jun 2002 (11.49%)
2001309 Feb 2001 (7.68%), 28 May 2001 (-3.49%), 30 May 2001 (-3.66%)
2000225 Feb 2000 (10.44%), 27 Dec 2000 (8.7%)
1999903 Mar 1999 (12.64%), 21 May 1999 (-4.76%), 12 Jul 1999 (-3.95%), 13 Oct 1999 (-4.22%), 20 Oct 1999 (-5.67%), 21 Oct 1999 (-6.08%), 25 Oct 1999 (-5.48%), 26 Oct 1999 (-5.53%), 27 Oct 1999 (10.65%)
1998319 Mar 1998 (-3.25%), 25 Mar 1998 (6.31%), 15 Apr 1998 (6.97%)
1997117 Jun 1997 (8.56%)
1996213 Jun 1996 (-4.15%), 14 Jun 1996 (8.41%)



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