Study: Sell CIPLA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CIPLA 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 CIPLA 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
1-32482.4598534554.083196.8614431.89-4487.02-16002.50.710.84-0.013-331.45
228184.0498504851.025154.920152.88-4782.52-24171.531.081.120.0084287.59
3-1984.4798574158.164999.620113.12-6999.06-24917.970.710.99-0.0005-20.25
410127198524653.068826.37132154-7776.08-32487.541.141.280.0131033.38
592864.8398554356.128887.73134423-9208.38-44010.310.971.230.011947.6
649745.4998514752.0410143.04138249-9947.86-60045.331.021.110.0055507.61
774804.1498544455.110451.86136420-11127.19-60618.710.941.150.0081763.31
820324.8598504851.0211297.2141505-11344.48-52864.6311.040.0021207.4
9-38535998445444.912274.51143157-17137.73-2478200.720.58-0.024-3932.24
10-41591098415741.8413434.24145438-16959.89-2277310.790.57-0.027-4243.98
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
atrtrail-14.11-70738.552146514930.3710632.11140998-5112.92-13347.092.080.91-0.0054-330.55
atrtrail23.12-97906.732196915031.519860.223748.36-5188.41-13347.091.90.87-0.012-447.06
atrnil24.08-159160200601403012410.8623748.36-6455.8-14242.191.920.82-0.018-795.8
atrtrail33.58-1368372156614930.79469.5331243.51-5112.92-13347.091.850.82-0.016-636.45
atrnil35.81-2338711914015120.9418248.2235622.53-6382.78-14242.192.860.76-0.024-1224.46

In the table above, row 1 shows the best exit criterion. Profit factor is 0.91. 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 30.37%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CIPLA Performance, Profit Factor:0.907

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019115 Apr 2019 (-0.8%)
2018315 Jun 2018 (-1.17%), 22 Jun 2018 (-0.07%), 03 Jul 2018 (1.56%)
2017217 Oct 2017 (3.71%), 06 Nov 2017 (4.15%)
2016430 Aug 2016 (-1.72%), 06 Sep 2016 (-2.15%), 08 Sep 2016 (1.95%), 22 Sep 2016 (2.32%)
2015527 Jan 2015 (3.75%), 05 Mar 2015 (3.2%), 30 Jul 2015 (-2.23%), 06 Aug 2015 (-0.18%), 14 Aug 2015 (4.85%)
20141618 Jun 2014 (-2.63%), 20 Jun 2014 (-2.26%), 27 Jun 2014 (-2.58%), 03 Jul 2014 (-2.38%), 18 Aug 2014 (-2.61%), 20 Aug 2014 (-2.66%), 25 Aug 2014 (-2.58%), 01 Sep 2014 (-2.42%), 02 Sep 2014 (-1.99%), 04 Sep 2014 (-2.77%), 09 Sep 2014 (-2.5%), 12 Sep 2014 (-2.62%), 15 Sep 2014 (0.38%), 19 Sep 2014 (3.83%), 29 Oct 2014 (-1.8%), 31 Oct 2014 (7.39%)
2013119 Jul 2013 (-0.55%)
20121001 Aug 2012 (-0.71%), 16 Aug 2012 (-1.74%), 21 Aug 2012 (-2.07%), 23 Aug 2012 (-2.01%), 27 Aug 2012 (-1.54%), 30 Aug 2012 (-2.02%), 31 Aug 2012 (-2.07%), 03 Sep 2012 (0.83%), 07 Sep 2012 (-2.08%), 08 Sep 2012 (6.73%)
2011318 Nov 2011 (-1.0%), 28 Nov 2011 (-2.53%), 01 Dec 2011 (-0.36%)
2010325 Mar 2010 (-0.97%), 11 Oct 2010 (1.78%), 25 Oct 2010 (-1.73%)
20091227 Mar 2009 (-2.19%), 02 Apr 2009 (-1.38%), 08 Apr 2009 (-1.26%), 15 Apr 2009 (3.42%), 16 Jun 2009 (-2.69%), 20 Jul 2009 (0.02%), 08 Oct 2009 (-3.52%), 12 Oct 2009 (1.24%), 23 Nov 2009 (-1.77%), 02 Dec 2009 (-3.3%), 03 Dec 2009 (-3.31%), 04 Dec 2009 (1.78%)
2008122 Jul 2008 (4.53%)
2007406 Dec 2007 (-0.93%), 13 Dec 2007 (-3.63%), 14 Dec 2007 (-3.24%), 18 Dec 2007 (-1.36%)
20062002 Feb 2006 (-2.39%), 07 Feb 2006 (-3.58%), 08 Feb 2006 (-3.73%), 10 Feb 2006 (-3.78%), 13 Feb 2006 (2.13%), 22 Feb 2006 (-2.5%), 06 Mar 2006 (-3.31%), 08 Mar 2006 (-2.1%), 21 Mar 2006 (-2.97%), 22 Mar 2006 (-2.48%), 24 Mar 2006 (-3.0%), 27 Mar 2006 (-1.69%), 31 Mar 2006 (-2.84%), 03 Apr 2006 (-2.97%), 05 Apr 2006 (7.81%), 24 Apr 2006 (-2.2%), 27 Apr 2006 (-6.67%), 05 May 2006 (5.31%), 14 Aug 2006 (-0.73%), 05 Sep 2006 (3.37%)
20051012 May 2005 (-1.03%), 27 May 2005 (-2.79%), 08 Jun 2005 (0.91%), 21 Jun 2005 (-3.0%), 22 Jun 2005 (-1.96%), 01 Jul 2005 (-2.67%), 04 Jul 2005 (1.72%), 18 Jul 2005 (-1.54%), 22 Jul 2005 (2.57%), 03 Oct 2005 (3.28%)
20041401 Jan 2004 (-3.28%), 02 Jan 2004 (2.45%), 21 Apr 2004 (-2.62%), 27 Apr 2004 (-1.14%), 30 Apr 2004 (-3.49%), 13 Sep 2004 (-2.98%), 14 Sep 2004 (-2.39%), 20 Sep 2004 (-2.83%), 21 Sep 2004 (-1.55%), 24 Sep 2004 (-1.49%), 30 Sep 2004 (7.28%), 20 Dec 2004 (-1.32%), 28 Dec 2004 (-2.23%), 31 Dec 2004 (16.85%)
20031507 Jan 2003 (9.4%), 03 Jun 2003 (-2.3%), 13 Jun 2003 (-2.83%), 17 Jun 2003 (1.28%), 02 Jul 2003 (-3.07%), 03 Jul 2003 (-3.13%), 04 Jul 2003 (-3.1%), 11 Jul 2003 (4.55%), 29 Aug 2003 (-3.71%), 01 Sep 2003 (0.76%), 10 Sep 2003 (1.92%), 15 Oct 2003 (-3.31%), 16 Oct 2003 (2.29%), 30 Oct 2003 (-3.24%), 31 Oct 2003 (12.38%)
2001312 Feb 2001 (10.61%), 03 Sep 2001 (-1.19%), 06 Sep 2001 (13.32%)
2000726 Oct 2000 (-0.97%), 03 Nov 2000 (-2.47%), 08 Nov 2000 (-0.72%), 14 Nov 2000 (-3.71%), 15 Nov 2000 (0.56%), 28 Nov 2000 (3.36%), 13 Dec 2000 (12.25%)
19994405 Jan 1999 (-2.46%), 06 Jan 1999 (-2.53%), 07 Jan 1999 (-2.62%), 08 Jan 1999 (3.56%), 28 Jan 1999 (3.76%), 10 Feb 1999 (-3.41%), 12 Feb 1999 (-3.32%), 15 Feb 1999 (-3.38%), 17 Feb 1999 (7.61%), 03 Mar 1999 (-1.51%), 09 Mar 1999 (-3.65%), 10 Mar 1999 (-3.69%), 11 Mar 1999 (4.31%), 06 Jul 1999 (-2.42%), 08 Jul 1999 (-2.42%), 09 Jul 1999 (-2.61%), 12 Jul 1999 (5.39%), 19 Jul 1999 (-3.86%), 20 Jul 1999 (-3.85%), 21 Jul 1999 (3.87%), 03 Aug 1999 (-3.79%), 04 Aug 1999 (-3.87%), 05 Aug 1999 (-3.9%), 09 Aug 1999 (-0.52%), 16 Aug 1999 (-4.11%), 17 Aug 1999 (-4.06%), 18 Aug 1999 (-4.02%), 19 Aug 1999 (-4.32%), 23 Aug 1999 (-4.09%), 26 Aug 1999 (0.52%), 03 Sep 1999 (-4.12%), 06 Sep 1999 (-4.1%), 07 Sep 1999 (-4.66%), 08 Sep 1999 (-4.77%), 14 Sep 1999 (-2.2%), 20 Sep 1999 (-4.19%), 21 Sep 1999 (-4.41%), 22 Sep 1999 (-4.32%), 23 Sep 1999 (-4.26%), 24 Sep 1999 (3.9%), 29 Sep 1999 (-0.41%), 07 Oct 1999 (-5.39%), 11 Oct 1999 (-5.3%), 12 Oct 1999 (70.5%)
19981002 Mar 1998 (1.04%), 25 Mar 1998 (-0.59%), 02 Apr 1998 (-2.62%), 03 Apr 1998 (0.52%), 09 Apr 1998 (-0.22%), 15 Apr 1998 (-3.47%), 16 Apr 1998 (-3.59%), 17 Apr 1998 (0.07%), 22 Apr 1998 (8.4%), 09 Sep 1998 (5.35%)
19971113 Jan 1997 (-3.14%), 15 Jan 1997 (5.99%), 19 Feb 1997 (3.65%), 03 Mar 1997 (-2.76%), 05 Mar 1997 (-0.45%), 19 Mar 1997 (2.93%), 07 May 1997 (-2.21%), 08 May 1997 (-2.3%), 09 May 1997 (1.97%), 20 May 1997 (-2.52%), 09 Jul 1997 (4.33%)
19961523 Feb 1996 (-3.97%), 26 Feb 1996 (3.94%), 28 Mar 1996 (-1.81%), 15 Apr 1996 (-2.13%), 16 Apr 1996 (-2.19%), 17 Apr 1996 (2.86%), 18 Jul 1996 (-2.46%), 19 Jul 1996 (12.24%), 28 Nov 1996 (-2.05%), 29 Nov 1996 (-1.42%), 06 Dec 1996 (-2.27%), 09 Dec 1996 (-2.35%), 10 Dec 1996 (-2.37%), 12 Dec 1996 (-2.36%), 16 Dec 1996 (5.09%)



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