Study: Sell CEATLTD when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CEATLTD 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 CEATLTD 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
1-13877747163134.044943.2814515.5-7028.05-25634.020.70.36-0.11-2952.7
2-10274147182938.37727.7226363.28-8339.32-40833.40.930.58-0.063-2185.99
3-17227847202742.556288.0916790.9-11038.51-45171.210.570.42-0.091-3665.49
4-27937247182938.37243.7515360.1-14129.63-50735.930.510.32-0.13-5944.08
5-23698147202742.557820.9915514.21-14570.41-73246.750.540.4-0.099-5042.15
6-28600547232448.946854.2518332.47-18485.51-1032030.370.36-0.094-6085.2
7-30704247212644.689385.0327550.49-19389.54-94025.970.480.39-0.096-6532.82
8-42984047173036.1711255.8822337.55-20706.34-1025110.540.31-0.12-9145.54
9-47945647173036.1711567.1524263.43-22536.58-1120350.510.29-0.13-10201.19
10-75268647192840.4311770.7932523.11-34868.96-2858870.340.23-0.11-16014.59
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
atrnil24.02-346144111258622.5217201.225976.41-9025.27-15492.181.910.55-0.084-3118.41
atrnil35.98-399902109179215.625008.9231935.71-8967.97-14911.082.790.52-0.088-3668.82
atrtrail23.23-338892125349127.210280.525976.41-7565.16-15492.181.360.51-0.088-2711.14
atrtrail33.65-409876124339126.618261.9529657.69-7500.22-14911.081.10.4-0.12-3305.45
atrtrail-13.73-448341124339126.617096.3525605.38-7500.22-14911.080.950.34-0.14-3615.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.55. 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.
CEATLTD Performance, Profit Factor:0.554

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20171420 Mar 2017 (-2.75%), 23 Mar 2017 (-2.63%), 06 Apr 2017 (-2.5%), 11 Apr 2017 (-2.55%), 26 Apr 2017 (-2.91%), 02 May 2017 (-3.14%), 03 May 2017 (-3.23%), 16 May 2017 (-3.27%), 17 May 2017 (7.2%), 02 Jun 2017 (-3.91%), 07 Jun 2017 (7.57%), 21 Dec 2017 (-2.59%), 22 Dec 2017 (-2.65%), 26 Dec 2017 (5.38%)
20161303 Mar 2016 (-3.77%), 21 Mar 2016 (6.57%), 07 Sep 2016 (-2.94%), 09 Sep 2016 (-2.84%), 15 Sep 2016 (-3.21%), 19 Sep 2016 (-3.33%), 21 Sep 2016 (-3.22%), 23 Sep 2016 (-3.15%), 28 Sep 2016 (-3.07%), 29 Sep 2016 (-3.54%), 30 Sep 2016 (-3.7%), 03 Oct 2016 (-3.6%), 06 Oct 2016 (6.67%)
20151110 Apr 2015 (-3.79%), 13 Apr 2015 (7.76%), 23 Jul 2015 (-3.65%), 29 Jul 2015 (-3.87%), 31 Jul 2015 (-3.73%), 04 Aug 2015 (-3.7%), 05 Aug 2015 (-3.89%), 10 Aug 2015 (-3.83%), 14 Aug 2015 (-3.96%), 18 Aug 2015 (-3.81%), 21 Aug 2015 (7.78%)
20141801 Jan 2014 (-4.46%), 02 Jan 2014 (-4.38%), 06 Jan 2014 (8.9%), 11 Mar 2014 (-5.11%), 12 Mar 2014 (-4.97%), 21 Mar 2014 (-4.95%), 25 Mar 2014 (9.89%), 06 Jun 2014 (8.19%), 18 Jun 2014 (-5.15%), 20 Jun 2014 (-5.13%), 23 Jun 2014 (-5.4%), 24 Jun 2014 (10.65%), 08 Sep 2014 (-4.27%), 09 Sep 2014 (-4.54%), 20 Oct 2014 (-4.59%), 21 Oct 2014 (-4.55%), 27 Oct 2014 (-4.17%), 12 Nov 2014 (7.71%)
20132223 Apr 2013 (-3.79%), 26 Apr 2013 (-3.77%), 03 May 2013 (-3.75%), 06 May 2013 (-3.68%), 07 May 2013 (-3.72%), 08 May 2013 (7.66%), 31 Jul 2013 (-4.28%), 01 Oct 2013 (-3.97%), 03 Oct 2013 (-4.04%), 07 Oct 2013 (-4.23%), 08 Oct 2013 (-4.36%), 22 Oct 2013 (-4.06%), 23 Oct 2013 (-4.3%), 28 Oct 2013 (-4.72%), 29 Oct 2013 (-4.77%), 05 Nov 2013 (-4.59%), 06 Nov 2013 (-4.77%), 08 Nov 2013 (10.43%), 20 Nov 2013 (-6.04%), 27 Nov 2013 (-5.66%), 28 Nov 2013 (-5.45%), 04 Dec 2013 (9.8%)
2012911 Jan 2012 (-4.29%), 13 Jan 2012 (9.1%), 15 Feb 2012 (8.7%), 04 Apr 2012 (-4.44%), 19 Apr 2012 (-4.37%), 23 Apr 2012 (8.84%), 16 Aug 2012 (-3.86%), 21 Aug 2012 (-4.43%), 22 Aug 2012 (9.04%)
2011207 Apr 2011 (8.12%), 28 Jun 2011 (7.48%)
2010223 Aug 2010 (8.74%), 06 Sep 2010 (9.47%)
20092006 Apr 2009 (-6.09%), 08 Apr 2009 (-6.46%), 13 Apr 2009 (-6.16%), 29 Apr 2009 (-6.91%), 04 May 2009 (-6.57%), 15 May 2009 (-6.94%), 18 May 2009 (12.99%), 19 May 2009 (-7.75%), 20 May 2009 (-7.31%), 21 May 2009 (-7.4%), 22 May 2009 (-7.17%), 25 May 2009 (-6.83%), 26 May 2009 (-7.46%), 21 Aug 2009 (-6.76%), 31 Aug 2009 (-5.87%), 08 Sep 2009 (-5.77%), 10 Sep 2009 (-5.92%), 29 Sep 2009 (-5.66%), 16 Oct 2009 (-5.31%), 20 Oct 2009 (10.4%)



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