Study: Sell CHOLAFIN when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CHOLAFIN 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 CHOLAFIN 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
1-73637.2297504751.554332.0426700.9-6175.3-20456.220.70.75-0.022-759.15
2-20262797455246.395516.2719359.06-8670.37-41185.650.640.55-0.04-2088.94
3-30177497415642.276484.2833870.97-10136.24-52124.650.640.47-0.05-3111.07
4-42029997445345.367428.1334532.37-14096.92-72345.680.530.44-0.056-4332.98
5-38186297425543.38305.5432635.98-13285.36-87160.490.630.48-0.05-3936.73
6-38598497445345.367999.1333751.74-13923.51-83950.620.570.48-0.051-3979.22
7-62082897425543.38037.1837377.96-17425.26-2174730.460.35-0.048-6400.29
8-66571297435444.338254.5437099.02-18901.07-2383780.440.35-0.049-6863.01
9-62660597445345.369858.8641004.18-20007.45-2605300.490.41-0.043-6459.85
10-64856697465147.429723.8836820.08-21487.54-2770670.450.41-0.043-6686.25

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.75. This strategy is not profitable and we advice you not to use it.

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-11-73637.2297504751.554332.0426700.9-6175.3-20456.220.70.75-0.022-759.15
atrnil24.85-3557882205816226.3617313.6828516.78-8394.95-16375.512.060.74-0.029-1617.22
atrtrail23.27-3451352457317229.811130.9328516.78-6730.77-16375.511.650.7-0.03-1408.71
atrnil36.89-4614122154017518.625327.0742775.17-8425.69-16375.513.010.69-0.033-2146.1
atrtrail33.64-4874042427017228.939576.7631969.21-6731.26-16375.511.420.58-0.046-2014.07
atrtrail-13.9-5551412406817228.338780.7143048.92-6699.01-16375.511.310.52-0.055-2313.09

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.
CHOLAFIN Performance, X=1, Profit Factor:0.746

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019606 Mar 2019 (0.8%), 27 Mar 2019 (-1.53%), 14 Jun 2019 (0.38%), 28 Jun 2019 (0.91%), 12 Jul 2019 (2.13%), 23 Sep 2019 (-0.26%)
2018227 Feb 2018 (-0.37%), 23 Apr 2018 (1.03%)
2017211 Apr 2017 (0.81%), 26 Apr 2017 (2.84%)
2016805 Feb 2016 (-1.81%), 01 Apr 2016 (-1.06%), 20 Apr 2016 (2.64%), 04 May 2016 (-0.36%), 30 May 2016 (-2.76%), 22 Jul 2016 (-0.35%), 05 Aug 2016 (-3.63%), 05 Oct 2016 (1.43%)
2015229 Jan 2015 (3.32%), 06 Jul 2015 (-4.2%)
2014728 Mar 2014 (0.64%), 28 Apr 2014 (3.33%), 19 May 2014 (-3.92%), 10 Jun 2014 (1.47%), 07 Jul 2014 (-2.74%), 08 Sep 2014 (-6.18%), 22 Sep 2014 (2.89%)
2013203 Jan 2013 (0.78%), 28 Feb 2013 (4.03%)
2012827 Jan 2012 (0.29%), 10 Feb 2012 (1.3%), 29 Mar 2012 (-2.95%), 06 Jul 2012 (1.53%), 30 Jul 2012 (-0.66%), 13 Aug 2012 (0.07%), 03 Oct 2012 (-0.15%), 13 Dec 2012 (-0.59%)
2011105 Jul 2011 (-1.39%)
2010708 Jan 2010 (-5.04%), 04 Mar 2010 (-1.49%), 29 Apr 2010 (-5.06%), 13 May 2010 (4.19%), 12 Jul 2010 (0.99%), 06 Sep 2010 (2.01%), 06 Oct 2010 (2.17%)
2009306 Apr 2009 (-7.49%), 17 Jun 2009 (4.97%), 08 Sep 2009 (-10.0%)
2007827 Apr 2007 (0.16%), 29 May 2007 (-0.51%), 12 Jun 2007 (0.36%), 27 Jun 2007 (-5.0%), 11 Jul 2007 (3.59%), 31 Oct 2007 (2.91%), 05 Dec 2007 (-4.75%), 26 Dec 2007 (0.61%)
2006217 Jan 2006 (3.93%), 10 Feb 2006 (-2.6%)
2005809 Mar 2005 (3.01%), 12 Apr 2005 (3.45%), 09 May 2005 (2.21%), 23 May 2005 (4.99%), 04 Jun 2005 (-1.37%), 12 Jul 2005 (1.67%), 29 Nov 2005 (1.94%), 13 Dec 2005 (-1.26%)
2004301 Jan 2004 (-4.22%), 30 Aug 2004 (1.01%), 07 Dec 2004 (-10.23%)
20031012 Feb 2003 (1.12%), 27 Feb 2003 (-1.17%), 28 May 2003 (-0.36%), 11 Jun 2003 (1.15%), 25 Jun 2003 (-0.67%), 30 Jul 2003 (0.4%), 10 Oct 2003 (-4.63%), 27 Oct 2003 (-0.95%), 11 Nov 2003 (-2.92%), 03 Dec 2003 (-1.27%)
2002515 Feb 2002 (-2.96%), 11 Mar 2002 (13.35%), 06 May 2002 (1.49%), 17 Jun 2002 (0.55%), 29 Nov 2002 (-1.73%)
1999309 Jul 1999 (-8.13%), 18 Aug 1999 (-8.07%), 13 Dec 1999 (-8.02%)
1998426 Mar 1998 (1.42%), 10 Apr 1998 (-0.72%), 28 Aug 1998 (0.57%), 18 Sep 1998 (2.37%)
1997219 Aug 1997 (-7.01%), 02 Sep 1997 (1.51%)
1996415 Feb 1996 (7.34%), 22 Apr 1996 (-0.55%), 06 May 1996 (-2.03%), 20 May 1996 (0.25%)



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