Study: Sell CENTURYTEX when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CENTURYTEX 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 CENTURYTEX 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
1-91136.5998445444.94677.1317531.04-5498.71-21491.90.850.69-0.028-929.97
2-20139998485048.985882.8817189.02-9675.54-57205.240.610.58-0.035-2055.09
3-16318198475147.968000.9224898.29-10573.02-56331.880.760.7-0.026-1665.11
4-23228598475147.968822.8929411.76-12685.51-72674.420.70.64-0.031-2370.26
5-37913398514752.049451.5533005.89-18322.61-1019790.520.56-0.036-3868.71
6-3626889849495010368.1837457.45-17769.98-1180230.580.58-0.033-3700.9
7-38325598455345.9213474.8136083.61-18672.09-1436050.720.61-0.032-3910.76
8-29663398465246.9416013.643811.39-19870.37-1162790.810.71-0.024-3026.87
9-32426198485048.9814664.3650932.71-20563.01-90988.370.710.68-0.028-3308.79
10-38811598455345.9216790.4949409.12-21579.01-96511.630.780.66-0.031-3960.36
Although, strategy looks good but profit factor on day 5 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
atrtrail22.88-1265072417716431.9512821.4826155.86-6791.23-16125.671.890.89-0.01-524.93
atrnil23.55-2173902216615529.8616482.6629759.27-8420.94-14906.321.960.83-0.017-983.66
atrtrail33.42-2015912377316430.812429.8136222.38-6761.99-16125.671.840.82-0.016-850.59
atrtrail-13.8-2586952377316430.811647.5583818.29-6761.99-16125.671.720.77-0.02-1091.54
atrnil35.2-5383442143917518.2224062.6344638.91-8438.78-14906.322.850.64-0.039-2515.63

In the table above, row 1 shows the best exit criterion. Profit factor is 0.89. 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 31.95%, which is not acceptable. Avoid this strategy. Average return per trade is -0.26%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CENTURYTEX Performance, Profit Factor:0.886

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Mar 2019 (-3.01%), 12 Mar 2019 (-0.81%), 19 Mar 2019 (-0.46%), 24 May 2019 (-2.38%)
20171203 Feb 2017 (-1.59%), 08 Feb 2017 (0.76%), 15 Mar 2017 (-0.41%), 28 Mar 2017 (-2.18%), 06 Apr 2017 (-2.1%), 07 Apr 2017 (-2.16%), 11 Apr 2017 (-0.97%), 17 Apr 2017 (0.5%), 20 Apr 2017 (-0.48%), 11 May 2017 (-0.09%), 08 Aug 2017 (5.5%), 03 Nov 2017 (4.66%)
20161806 Apr 2016 (-1.18%), 11 Apr 2016 (-3.43%), 12 Apr 2016 (-3.48%), 20 Apr 2016 (-1.29%), 27 Apr 2016 (-2.01%), 29 Apr 2016 (6.34%), 06 Sep 2016 (-2.88%), 07 Sep 2016 (-2.89%), 08 Sep 2016 (-2.87%), 09 Sep 2016 (-1.39%), 14 Sep 2016 (-1.61%), 19 Sep 2016 (-1.58%), 21 Sep 2016 (-3.43%), 23 Sep 2016 (-3.3%), 27 Sep 2016 (-3.1%), 30 Sep 2016 (-3.48%), 07 Oct 2016 (6.28%), 01 Nov 2016 (6.42%)
2015301 Apr 2015 (-4.27%), 07 Apr 2015 (-0.23%), 10 Apr 2015 (8.71%)
20141606 Mar 2014 (-2.31%), 27 Mar 2014 (-2.89%), 31 Mar 2014 (-2.91%), 04 Apr 2014 (-2.07%), 11 Apr 2014 (6.47%), 19 May 2014 (-4.39%), 21 May 2014 (-4.39%), 22 May 2014 (-4.3%), 23 May 2014 (8.55%), 26 May 2014 (-2.92%), 03 Jun 2014 (-4.53%), 04 Jun 2014 (-4.37%), 09 Jun 2014 (7.94%), 17 Jun 2014 (1.06%), 27 Jun 2014 (-3.97%), 01 Jul 2014 (0.61%)
20121101 Feb 2012 (-5.04%), 06 Feb 2012 (-2.77%), 10 Feb 2012 (-2.23%), 15 Feb 2012 (-4.59%), 17 Feb 2012 (8.96%), 05 Jul 2012 (-1.0%), 01 Oct 2012 (-3.11%), 04 Oct 2012 (-0.7%), 12 Oct 2012 (-0.51%), 18 Oct 2012 (6.16%), 06 Dec 2012 (-1.0%)
2011104 Apr 2011 (1.62%)
2010604 Jan 2010 (-3.21%), 07 Jan 2010 (1.86%), 15 Jan 2010 (6.96%), 13 Aug 2010 (-1.59%), 17 Aug 2010 (-2.69%), 23 Aug 2010 (5.42%)
20091231 Mar 2009 (-5.93%), 02 Apr 2009 (-1.73%), 13 Apr 2009 (12.36%), 18 May 2009 (-6.49%), 19 May 2009 (-7.45%), 20 May 2009 (-1.5%), 26 May 2009 (-8.06%), 27 May 2009 (-7.53%), 28 May 2009 (-5.07%), 03 Jun 2009 (13.08%), 05 Jun 2009 (1.11%), 17 Oct 2009 (6.82%)
2007803 Jul 2007 (-3.28%), 04 Jul 2007 (0.02%), 23 Jul 2007 (7.33%), 24 Sep 2007 (-0.4%), 04 Oct 2007 (9.07%), 10 Oct 2007 (-4.37%), 15 Oct 2007 (-4.14%), 17 Oct 2007 (-5.86%)
20062401 Mar 2006 (-1.52%), 03 Mar 2006 (-4.12%), 07 Mar 2006 (8.6%), 09 Mar 2006 (4.69%), 31 Mar 2006 (-4.43%), 05 Apr 2006 (-4.28%), 07 Apr 2006 (-4.57%), 12 Apr 2006 (-5.06%), 17 Apr 2006 (-4.94%), 19 Apr 2006 (-5.01%), 24 Apr 2006 (-1.97%), 27 Apr 2006 (-4.77%), 28 Apr 2006 (-4.96%), 29 Apr 2006 (-4.86%), 02 May 2006 (10.34%), 07 Sep 2006 (7.32%), 02 Nov 2006 (-3.69%), 07 Nov 2006 (-2.34%), 13 Nov 2006 (-2.32%), 15 Nov 2006 (-1.45%), 21 Nov 2006 (-3.63%), 28 Nov 2006 (-2.42%), 04 Dec 2006 (-2.99%), 06 Dec 2006 (5.88%)
2005804 Feb 2005 (-4.61%), 07 Feb 2005 (-4.53%), 09 Feb 2005 (8.79%), 25 Feb 2005 (-1.37%), 03 Mar 2005 (1.57%), 22 Apr 2005 (9.52%), 16 Sep 2005 (-3.05%), 19 Sep 2005 (6.3%)
20041119 Apr 2004 (-2.59%), 21 Apr 2004 (-4.17%), 22 Apr 2004 (8.11%), 05 May 2004 (-4.97%), 06 May 2004 (9.61%), 30 Aug 2004 (-4.46%), 31 Aug 2004 (-2.63%), 06 Sep 2004 (1.58%), 13 Sep 2004 (8.64%), 24 Nov 2004 (-3.25%), 29 Nov 2004 (6.76%)
20032401 Jan 2003 (1.83%), 10 Jan 2003 (-4.35%), 13 Jan 2003 (-4.42%), 14 Jan 2003 (-4.37%), 15 Jan 2003 (8.69%), 07 May 2003 (-0.67%), 13 May 2003 (-4.03%), 15 May 2003 (-3.94%), 19 May 2003 (-4.24%), 20 May 2003 (-1.27%), 26 May 2003 (-4.45%), 27 May 2003 (-2.65%), 30 May 2003 (-0.59%), 20 Jun 2003 (-0.3%), 01 Jul 2003 (-4.72%), 02 Jul 2003 (-3.27%), 07 Jul 2003 (3.56%), 28 Jul 2003 (-1.58%), 01 Aug 2003 (-4.82%), 04 Aug 2003 (-4.58%), 07 Aug 2003 (-0.64%), 13 Aug 2003 (-3.69%), 18 Aug 2003 (11.06%), 26 Dec 2003 (9.46%)
20021213 May 2002 (9.33%), 07 Jun 2002 (-5.8%), 10 Jun 2002 (-5.77%), 11 Jun 2002 (-5.78%), 12 Jun 2002 (-2.5%), 14 Jun 2002 (0.58%), 24 Jun 2002 (-0.18%), 04 Jul 2002 (-6.13%), 05 Jul 2002 (2.2%), 25 Nov 2002 (-4.16%), 26 Nov 2002 (-1.2%), 02 Dec 2002 (0.39%)
20011203 Jan 2001 (10.3%), 24 Jan 2001 (-4.86%), 25 Jan 2001 (0.15%), 05 Feb 2001 (-5.48%), 06 Feb 2001 (-4.48%), 09 Feb 2001 (0.27%), 15 Feb 2001 (12.07%), 26 Nov 2001 (-2.51%), 28 Nov 2001 (-4.65%), 03 Dec 2001 (-4.93%), 04 Dec 2001 (-5.12%), 05 Dec 2001 (11.95%)
20001109 Jun 2000 (-6.37%), 12 Jun 2000 (-6.45%), 13 Jun 2000 (13.01%), 04 Jul 2000 (-5.97%), 05 Jul 2000 (11.65%), 08 Nov 2000 (9.53%), 23 Nov 2000 (-4.9%), 29 Nov 2000 (-3.17%), 07 Dec 2000 (-4.35%), 11 Dec 2000 (-1.61%), 14 Dec 2000 (9.4%)
19991512 Jan 1999 (-5.54%), 13 Jan 1999 (10.78%), 11 May 1999 (-5.72%), 12 May 1999 (-5.45%), 13 May 1999 (-5.22%), 14 May 1999 (-5.02%), 17 May 1999 (-4.84%), 18 May 1999 (-4.69%), 19 May 1999 (-4.56%), 20 May 1999 (9.8%), 28 Jun 1999 (11.79%), 08 Jul 1999 (-5.73%), 09 Jul 1999 (-5.52%), 12 Jul 1999 (3.01%), 19 Jul 1999 (11.27%)
1998802 Mar 1998 (8.88%), 25 Mar 1998 (9.78%), 13 Apr 1998 (-5.97%), 15 Apr 1998 (0.47%), 21 Sep 1998 (10.16%), 23 Dec 1998 (-4.96%), 24 Dec 1998 (-4.97%), 28 Dec 1998 (9.67%)
19971309 Jan 1997 (-3.77%), 10 Jan 1997 (-3.67%), 15 Jan 1997 (-3.18%), 16 Jan 1997 (6.5%), 03 Mar 1997 (-1.77%), 05 Mar 1997 (5.94%), 30 Jun 1997 (-2.37%), 01 Jul 1997 (-2.43%), 02 Jul 1997 (1.19%), 09 Jul 1997 (-2.73%), 10 Jul 1997 (5.52%), 04 Aug 1997 (-2.55%), 07 Aug 1997 (5.27%)
1996512 Feb 1996 (-2.8%), 14 Feb 1996 (-2.72%), 26 Feb 1996 (-1.31%), 01 Mar 1996 (4.5%), 15 Mar 1996 (4.51%)
1995718 Jul 1995 (-1.83%), 20 Jul 1995 (-1.9%), 21 Jul 1995 (-2.42%), 24 Jul 1995 (-2.51%), 25 Jul 1995 (-2.47%), 26 Jul 1995 (4.92%), 28 Jul 1995 (1.92%)



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