Study: Sell COLPAL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell COLPAL 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 COLPAL 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
1-16245.31482424502671.748776.16-3348.63-10879.270.80.8-0.026-338.44
2-43522.7448202841.673375.8214392.22-3965.68-12114.770.850.61-0.054-906.72
3-62949.7148163233.335601.2617215.67-4767.81-30894.191.170.59-0.054-1311.45
4-79294.1448212743.754758.8616097.59-6638.15-30514.650.720.56-0.06-1651.96
5-78289.1148232547.924873.816859.23-7615.46-25740.090.640.59-0.056-1631.02
6-68461.2248202841.676080.3217704.77-6788.13-29573.40.90.64-0.049-1426.28
7-62785.7948232547.925733.8114380.69-7786.53-34530.140.740.68-0.042-1308.04
8-48793.7482424505446.8213969.23-7479.89-28320.940.730.73-0.034-1016.54
9-80338.8748212743.755504.8913768.31-7257.1-27840.810.760.59-0.056-1673.73
10-69406.8148212743.756098.4415513.42-7313.85-26165.170.830.65-0.05-1445.98

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.8. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, 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
atrnil37.5912908.0594237124.4716483.8926942.68-5158.05-10478.343.21.040.0041137.32
atrnil26.13-5034.6494306431.9110834.7417961.78-5157.45-10478.342.10.98-0.002-53.56
atrtrail34.38-46451.05104327230.777390.0926731.69-3929.64-8789.521.880.84-0.02-446.64
nilnil-11-16245.31482424502671.748776.16-3348.63-10879.270.80.8-0.026-338.44
atrtrail23.88-57212.79104327230.777053.7817821.12-3929.64-8789.521.80.8-0.027-550.12
atrtrail-14.87-103919103327131.075514.1818513.2-3948.91-8789.521.40.63-0.056-1008.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 24.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.069%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0041, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
COLPAL Performance, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019530 Aug 2019 (-2.03%), 16 Sep 2019 (-2.24%), 20 Sep 2019 (-2.36%), 23 Sep 2019 (-2.91%), 15 Oct 2019 (-2.66%)
20181112 Jan 2018 (-1.68%), 18 Jan 2018 (4.93%), 15 May 2018 (-1.75%), 16 May 2018 (-1.84%), 18 May 2018 (-1.95%), 21 May 2018 (-2.54%), 22 May 2018 (-2.81%), 25 May 2018 (7.86%), 26 Nov 2018 (-2.19%), 27 Nov 2018 (-2.29%), 03 Dec 2018 (-2.57%)
20171114 Mar 2017 (-1.79%), 16 Mar 2017 (-1.77%), 29 Mar 2017 (-1.49%), 30 Mar 2017 (-1.54%), 05 Apr 2017 (-1.68%), 07 Apr 2017 (-1.63%), 10 Apr 2017 (-1.74%), 25 Apr 2017 (5.73%), 19 Jun 2017 (-2.06%), 07 Sep 2017 (-1.84%), 12 Sep 2017 (5.7%)
2016529 Jun 2016 (-1.95%), 04 Jul 2016 (-1.81%), 05 Jul 2016 (-1.87%), 21 Jul 2016 (-1.71%), 08 Aug 2016 (7.55%)
2015109 Mar 2015 (-2.52%)
20141223 Apr 2014 (6.64%), 12 Jun 2014 (-2.34%), 13 Jun 2014 (-2.45%), 19 Jun 2014 (-2.48%), 02 Jul 2014 (-2.55%), 04 Jul 2014 (7.76%), 16 Sep 2014 (-2.15%), 30 Sep 2014 (-2.46%), 07 Nov 2014 (-2.14%), 10 Nov 2014 (-2.28%), 13 Nov 2014 (-2.52%), 14 Nov 2014 (8.09%)
2013430 Apr 2013 (-2.46%), 02 May 2013 (-2.51%), 10 May 2013 (6.32%), 30 Dec 2013 (-2.01%)
20121227 Feb 2012 (-3.39%), 12 Mar 2012 (-3.11%), 14 Mar 2012 (-3.17%), 03 Apr 2012 (-3.1%), 14 May 2012 (9.31%), 11 Sep 2012 (6.09%), 09 Nov 2012 (-1.94%), 27 Nov 2012 (-2.1%), 29 Nov 2012 (-2.14%), 20 Dec 2012 (-2.25%), 27 Dec 2012 (-2.08%), 31 Dec 2012 (6.26%)
2011513 Apr 2011 (-2.56%), 29 Jun 2011 (-3.05%), 01 Jul 2011 (9.1%), 02 Nov 2011 (-2.52%), 04 Nov 2011 (7.58%)
2010726 Apr 2010 (6.56%), 02 Jun 2010 (-3.04%), 07 Jun 2010 (-3.52%), 24 Jun 2010 (-2.86%), 23 Sep 2010 (-2.39%), 24 Sep 2010 (7.31%), 09 Nov 2010 (8.44%)
20091912 Feb 2009 (-2.41%), 18 Feb 2009 (-2.65%), 19 Feb 2009 (8.07%), 05 May 2009 (12.41%), 04 Jun 2009 (-4.4%), 10 Jun 2009 (-4.23%), 11 Jun 2009 (13.37%), 15 Jun 2009 (-5.24%), 29 Jun 2009 (-4.31%), 01 Jul 2009 (-4.22%), 03 Jul 2009 (-4.25%), 09 Jul 2009 (-4.12%), 10 Jul 2009 (12.17%), 07 Oct 2009 (-2.74%), 08 Oct 2009 (-2.74%), 09 Oct 2009 (-2.85%), 14 Oct 2009 (-2.81%), 23 Oct 2009 (-2.96%), 26 Oct 2009 (8.84%)
2008231 Jul 2008 (-4.37%), 06 Aug 2008 (13.47%)



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