Study: Sell CESC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CESC 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 CESC 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
1-40762.1598544455.1465916909.62-6644.27-22619.050.70.86-0.011-415.94
2-14076598514752.046719.6120022-10286.48-53886.550.650.71-0.024-1436.37
3-11436198554356.128374.5628865.98-13371.2-57304.280.630.8-0.016-1166.95
4-13283798554356.1210053.7728162.82-15948.72-68765.130.630.81-0.015-1355.48
5-20033598504851.0211097.4332302.41-15733.46-68765.130.710.73-0.023-2044.23
6-26548198534554.0810635.2733676.98-18425.56-84261.50.580.68-0.028-2708.99
7-13432898574158.1612216.6242268.04-20260.38-90234.060.60.84-0.013-1370.7
8-26047798564257.1411600.7936769.76-21669.55-87128.710.540.71-0.024-2657.93
9-27215498584059.1812706.2134364.26-25227.87-1102310.50.73-0.022-2777.09
10-20369698584059.1814012.0340040.44-25409.85-1016500.550.8-0.016-2078.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 55.1%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.

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
nilnil-11-40762.1598544455.1465916909.62-6644.27-22619.050.70.86-0.011-415.94
atrnil35.53-2658352084716122.625207.3446404.59-9009.81-16468.692.80.82-0.017-1278.05
atrtrail33.22-2391862387116729.8313577.9838502.93-7204.93-15398.051.880.8-0.018-1004.98
atrnil23.87-2897522156415129.7717110.831492.81-9171.15-17453.261.870.79-0.021-1347.68
atrtrail22.9-2960362417416730.7112259.2831492.81-7204.93-15398.051.70.75-0.024-1228.36
atrtrail-13.65-3728992377016729.5411827.7141853.72-7190.65-15398.051.640.69-0.03-1573.41

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 55.1%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CESC Performance, X=1, Profit Factor:0.861

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020130 Apr 2020 (3.99%)
2018208 Jan 2018 (0.67%), 21 Aug 2018 (0.18%)
2017911 Jan 2017 (0.45%), 25 Jan 2017 (0.17%), 09 Feb 2017 (-1.68%), 23 Feb 2017 (1.62%), 19 Apr 2017 (-0.77%), 04 May 2017 (0.91%), 02 Aug 2017 (-1.21%), 28 Aug 2017 (2.0%), 19 Sep 2017 (0.84%)
2016518 Apr 2016 (-3.97%), 23 May 2016 (1.29%), 04 Jul 2016 (1.95%), 18 Aug 2016 (-0.69%), 02 Sep 2016 (0.44%)
2015120 Jul 2015 (4.44%)
2014406 Mar 2014 (1.22%), 19 May 2014 (-1.58%), 30 Jun 2014 (2.96%), 09 Sep 2014 (1.49%)
2013620 May 2013 (-0.77%), 07 Jun 2013 (1.57%), 31 Oct 2013 (-1.34%), 14 Nov 2013 (0.78%), 13 Dec 2013 (-2.07%), 30 Dec 2013 (-2.2%)
2012527 Jan 2012 (1.92%), 10 Feb 2012 (3.45%), 13 Mar 2012 (-2.13%), 04 Jul 2012 (-3.14%), 06 Dec 2012 (-0.4%)
2011208 Jul 2011 (-2.78%), 25 Jul 2011 (1.24%)
2010205 Jan 2010 (-1.58%), 09 Jul 2010 (-2.67%)
2009509 Apr 2009 (1.69%), 18 May 2009 (-11.31%), 01 Jun 2009 (-2.91%), 29 Jul 2009 (2.61%), 28 Aug 2009 (2.53%)
2008204 Jan 2008 (1.57%), 19 Dec 2008 (1.35%)
2007629 Jan 2007 (1.84%), 06 Jul 2007 (-3.33%), 20 Jul 2007 (-0.26%), 24 Sep 2007 (3.72%), 16 Oct 2007 (3.23%), 15 Nov 2007 (4.06%)
2006416 Jan 2006 (1.75%), 10 Feb 2006 (0.31%), 06 Mar 2006 (-6.29%), 03 Apr 2006 (0.27%)
2005502 Feb 2005 (2.95%), 07 Mar 2005 (-9.83%), 07 Jun 2005 (-2.17%), 06 Sep 2005 (1.54%), 26 Nov 2005 (2.88%)
2004423 Jul 2004 (-1.62%), 04 Oct 2004 (2.69%), 04 Nov 2004 (3.25%), 24 Dec 2004 (-0.5%)
20031101 Jan 2003 (-0.23%), 05 May 2003 (3.05%), 22 May 2003 (-0.93%), 05 Jun 2003 (-2.9%), 19 Jun 2003 (-0.0%), 03 Jul 2003 (4.62%), 01 Aug 2003 (-5.26%), 06 Oct 2003 (-1.13%), 23 Oct 2003 (2.65%), 05 Nov 2003 (-5.67%), 18 Nov 2003 (5.89%)
2002613 Feb 2002 (1.44%), 11 Apr 2002 (5.0%), 17 May 2002 (8.45%), 05 Jun 2002 (0.5%), 04 Jul 2002 (0.39%), 17 Dec 2002 (-3.5%)
2001308 Feb 2001 (-8.14%), 25 May 2001 (1.61%), 22 Nov 2001 (1.94%)
2000325 May 2000 (-2.72%), 30 Nov 2000 (-1.81%), 14 Dec 2000 (4.12%)
1999308 Jan 1999 (0.6%), 30 Jun 1999 (-8.09%), 14 Jul 1999 (7.99%)
1998412 Mar 1998 (-6.59%), 27 Mar 1998 (1.88%), 15 Apr 1998 (3.84%), 16 Sep 1998 (-6.18%)
1997314 Jan 1997 (-7.0%), 07 Jul 1997 (-0.43%), 06 Aug 1997 (-3.21%)
1996214 Feb 1996 (-8.1%), 31 Dec 1996 (-7.07%)



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