Study: Sell CONCOR when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CONCOR 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 CONCOR 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
1-7208.6785444151.763348.2617928.29-3769.07-13205.930.890.95-0.004-84.81
2-73744.0485414448.243907.2417928.29-5316.84-18245.850.730.68-0.031-867.58
3-17396985384744.714319.8512432.96-7194.12-26713.140.60.49-0.06-2046.69
4-18187985384744.715776.3538725.1-8540.01-32288.790.680.55-0.048-2139.76
5-15942385355041.188913.87108367-9428.16-46979.190.950.66-0.027-1875.56
6-18626085355041.189488.22105598-10366.94-59262.970.920.64-0.029-2191.29
7-20724585384744.7110049.04100398-12534.21-72699.920.80.65-0.031-2438.17
8-19871885374843.5310374.6696414.34-12137.09-53246.430.850.66-0.03-2337.86
9-16940485414448.2410331.56104283-13477.24-50238.150.770.71-0.025-1992.99
10-19714685404547.0611401.17108367-14515.39-62672.350.790.7-0.027-2319.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.95. 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 51.76%, which is not acceptable. Avoid this strategy. Average return per trade is -0.042%, 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-11-7208.6785444151.763348.2617928.29-3769.07-13205.930.890.95-0.004-84.81
atrtrail23.14-4010932145416025.239904.4824181.54-5849.59-11410.291.690.57-0.054-1874.27
atrnil24.2-4891871974415322.3413880.6924181.54-7189.13-12229.581.930.56-0.062-2483.18
atrtrail33.54-4804042135016323.479269.6628201.53-5790.72-11410.291.60.49-0.065-2255.42
atrnil35.59-6750131932616713.4720137.8630092.76-7177.23-12229.582.810.44-0.083-3497.48
atrtrail-13.83-5593412104716322.387763.8729763.31-5670.21-11410.291.370.39-0.087-2663.53

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 51.76%, which is not acceptable. Avoid this strategy. Average return per trade is -0.042%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CONCOR Performance, X=1, Profit Factor:0.953

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019226 Jun 2019 (-0.16%), 23 Sep 2019 (0.54%)
2018210 Jan 2018 (3.4%), 17 Apr 2018 (1.48%)
2017606 Feb 2017 (0.86%), 06 Apr 2017 (-6.6%), 21 Apr 2017 (-0.8%), 18 Aug 2017 (2.57%), 06 Sep 2017 (0.83%), 26 Dec 2017 (2.34%)
2016120 Apr 2016 (1.37%)
2015220 Feb 2015 (-1.73%), 10 Mar 2015 (0.72%)
2014703 Mar 2014 (-1.77%), 24 Mar 2014 (-4.81%), 25 Apr 2014 (3.3%), 12 May 2014 (-1.88%), 26 May 2014 (1.1%), 01 Jul 2014 (-3.25%), 19 Nov 2014 (3.05%)
2013413 Feb 2013 (2.51%), 27 Feb 2013 (0.53%), 26 Apr 2013 (1.29%), 03 Nov 2013 (1.52%)
2012427 Jan 2012 (-1.13%), 22 Feb 2012 (1.61%), 08 Oct 2012 (-1.54%), 22 Oct 2012 (3.39%)
2010229 Mar 2010 (0.28%), 13 Apr 2010 (0.29%)
2009907 Jan 2009 (-4.64%), 31 Mar 2009 (1.98%), 20 Apr 2009 (0.32%), 06 May 2009 (-4.12%), 20 May 2009 (1.76%), 04 Jun 2009 (0.05%), 27 Jul 2009 (-2.21%), 18 Aug 2009 (0.67%), 29 Dec 2009 (-0.75%)
2008212 Aug 2008 (1.64%), 04 Sep 2008 (0.08%)
2007229 May 2007 (2.35%), 25 Jun 2007 (-2.35%)
2006614 Feb 2006 (-0.43%), 26 Apr 2006 (-2.32%), 10 May 2006 (-0.95%), 10 Oct 2006 (1.36%), 23 Oct 2006 (-1.39%), 08 Nov 2006 (3.3%)
2005610 May 2005 (0.48%), 15 Jul 2005 (-1.22%), 01 Aug 2005 (-0.23%), 16 Aug 2005 (0.18%), 05 Sep 2005 (-1.57%), 06 Dec 2005 (-1.4%)
2004828 Jan 2004 (-0.11%), 13 Apr 2004 (-1.16%), 29 Apr 2004 (0.88%), 06 Sep 2004 (-0.76%), 29 Sep 2004 (-0.38%), 03 Dec 2004 (0.21%), 17 Dec 2004 (-0.8%), 31 Dec 2004 (-0.26%)
2003906 May 2003 (0.16%), 20 May 2003 (-1.65%), 17 Jun 2003 (-3.12%), 20 Aug 2003 (-0.8%), 03 Sep 2003 (1.26%), 24 Sep 2003 (-1.04%), 09 Oct 2003 (-1.35%), 19 Nov 2003 (-1.91%), 04 Dec 2003 (0.41%)
2002514 Jan 2002 (2.86%), 28 Jan 2002 (3.74%), 11 Feb 2002 (1.83%), 04 Apr 2002 (-2.55%), 04 Dec 2002 (-0.3%)
2001214 Nov 2001 (1.89%), 29 Nov 2001 (-3.31%)
1999514 May 1999 (-4.01%), 13 Jul 1999 (0.28%), 27 Jul 1999 (4.03%), 13 Aug 1999 (-6.51%), 27 Aug 1999 (-0.0%)
1998128 May 1998 (8.96%)



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