Study: Sell CUMMINSIND when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell CUMMINSIND 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 CUMMINSIND 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
172904.371006337633788.2813250-4479.93-13962.320.851.440.029729.04
268749.511005644565539.121926.83-5487.28-24536.291.011.280.019687.5
364417.821005545556499.6330243.9-6512.48-24637.3711.220.015644.18
41323511005644567444.6436341.46-6467.03-24945.231.151.470.0281323.51
594828.081005248528274.7438024.39-6988.72-27898.821.181.280.018948.28
615594.61005248528006.5230731.71-8348.85-27976.190.961.040.0029155.95
7-21258.481005050508775.8331219.51-9201-41071.430.950.95-0.0036-212.58
8-77278.761004852489261.5428672.88-10035.25-43194.60.920.85-0.012-772.79
9-1376121005050509367.4733533.07-12119.72-51833.520.770.77-0.02-1376.12
10-1484551005248529350.132275.48-13222.09-44047.620.710.77-0.021-1484.55
Although, strategy looks good but profit factor on day 3 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
atrtrail23.59-1059522086913933.179356.1920832.85-5406.69-12009.441.730.86-0.013-509.39
atrnil25.29-1318901845712730.9813752.6820379.83-7210.97-12402.61.910.86-0.015-716.79
atrnil37.42-2238951813814320.9921007.5430569.74-7148.12-12402.62.940.78-0.022-1236.99
atrtrail34.1-1671002076614131.888839.4530569.74-5322.72-12009.441.660.78-0.02-807.24
atrtrail-14.45-2623062076614131.887396.9328847.49-5322.72-12009.441.390.65-0.035-1267.18

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 33.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.25%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
CUMMINSIND Performance, Profit Factor:0.859

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018604 Jan 2018 (5.09%), 21 Aug 2018 (-3.38%), 23 Aug 2018 (-2.35%), 28 Aug 2018 (1.97%), 12 Nov 2018 (-1.95%), 15 Nov 2018 (2.4%)
20171302 Feb 2017 (-1.33%), 06 Feb 2017 (5.15%), 28 Mar 2017 (-1.67%), 31 Mar 2017 (-2.03%), 05 Apr 2017 (-1.03%), 07 Apr 2017 (-2.04%), 10 Apr 2017 (-2.07%), 13 Apr 2017 (4.38%), 26 Apr 2017 (-1.18%), 03 May 2017 (-0.85%), 21 Jul 2017 (-2.33%), 24 Jul 2017 (4.85%), 26 Dec 2017 (0.06%)
2016221 Jul 2016 (-2.15%), 25 Jul 2016 (4.19%)
2015407 Jul 2015 (-0.88%), 06 Aug 2015 (-3.3%), 07 Aug 2015 (0.97%), 14 Aug 2015 (8.15%)
20141728 Feb 2014 (-0.01%), 10 Mar 2014 (-2.43%), 13 Mar 2014 (-2.95%), 14 Mar 2014 (-3.03%), 18 Mar 2014 (-3.35%), 19 Mar 2014 (6.58%), 27 Mar 2014 (-3.33%), 28 Mar 2014 (-3.28%), 23 May 2014 (-3.88%), 26 May 2014 (-2.15%), 09 Jun 2014 (0.07%), 07 Nov 2014 (-3.56%), 10 Nov 2014 (-2.87%), 14 Nov 2014 (-3.55%), 18 Nov 2014 (-3.32%), 19 Nov 2014 (7.05%), 04 Dec 2014 (6.82%)
2013403 Jan 2013 (1.54%), 02 Dec 2013 (-1.75%), 06 Dec 2013 (-3.0%), 20 Dec 2013 (-1.49%)
20121312 Jan 2012 (-3.26%), 13 Jan 2012 (-2.25%), 19 Jan 2012 (-3.12%), 20 Jan 2012 (-3.21%), 24 Jan 2012 (-3.07%), 01 Feb 2012 (-2.72%), 03 Feb 2012 (0.4%), 10 Feb 2012 (-4.13%), 15 Feb 2012 (-0.0%), 08 Aug 2012 (5.7%), 26 Sep 2012 (6.02%), 10 Dec 2012 (-0.73%), 28 Dec 2012 (-1.44%)
20101706 Jan 2010 (-1.26%), 08 Jan 2010 (-1.05%), 01 Feb 2010 (-1.48%), 19 Mar 2010 (-2.37%), 26 Mar 2010 (-2.9%), 05 Apr 2010 (-2.0%), 29 Apr 2010 (-0.3%), 30 Jul 2010 (4.99%), 10 Aug 2010 (-2.09%), 12 Aug 2010 (-2.72%), 13 Aug 2010 (-2.79%), 16 Aug 2010 (5.79%), 25 Aug 2010 (-3.06%), 27 Aug 2010 (-3.09%), 30 Aug 2010 (-2.68%), 13 Sep 2010 (-0.58%), 29 Oct 2010 (5.03%)
20091931 Mar 2009 (-2.48%), 09 Apr 2009 (-4.12%), 16 Apr 2009 (-4.86%), 17 Apr 2009 (-4.89%), 20 Apr 2009 (0.48%), 08 May 2009 (-1.3%), 18 May 2009 (-5.02%), 19 May 2009 (-5.74%), 20 May 2009 (-6.0%), 21 May 2009 (3.58%), 29 May 2009 (-0.41%), 03 Aug 2009 (-4.5%), 11 Aug 2009 (-3.43%), 13 Aug 2009 (-4.73%), 15 Sep 2009 (-2.11%), 17 Sep 2009 (8.89%), 15 Oct 2009 (8.31%), 11 Nov 2009 (7.31%), 31 Dec 2009 (-1.49%)
2008324 Jul 2008 (-2.0%), 05 Aug 2008 (-3.86%), 12 Aug 2008 (0.19%)
2007503 May 2007 (2.14%), 19 Jul 2007 (-2.68%), 23 Jul 2007 (-1.62%), 24 Sep 2007 (-3.42%), 27 Sep 2007 (-1.17%)
20061401 Feb 2006 (-4.33%), 02 Feb 2006 (-4.41%), 03 Feb 2006 (-2.9%), 08 Feb 2006 (-0.5%), 15 Feb 2006 (0.79%), 01 Mar 2006 (-3.93%), 06 Mar 2006 (-3.83%), 07 Mar 2006 (0.49%), 10 Mar 2006 (8.48%), 05 Oct 2006 (-2.62%), 31 Oct 2006 (-2.53%), 02 Nov 2006 (-2.28%), 08 Nov 2006 (-4.04%), 09 Nov 2006 (8.06%)
20051213 May 2005 (0.7%), 04 Jun 2005 (-2.88%), 06 Jun 2005 (-2.97%), 07 Jun 2005 (-3.07%), 08 Jun 2005 (-1.45%), 10 Jun 2005 (6.78%), 12 Jul 2005 (-4.04%), 13 Jul 2005 (8.25%), 26 Nov 2005 (-3.31%), 28 Nov 2005 (-0.57%), 01 Dec 2005 (-3.46%), 02 Dec 2005 (-0.8%)
2004806 Apr 2004 (-3.83%), 07 Apr 2004 (-3.73%), 08 Apr 2004 (-0.83%), 15 Apr 2004 (7.96%), 07 Sep 2004 (-2.2%), 10 Sep 2004 (0.04%), 20 Sep 2004 (1.21%), 01 Oct 2004 (6.94%)
20032203 Feb 2003 (-2.31%), 06 Feb 2003 (-1.82%), 27 Feb 2003 (6.21%), 28 Apr 2003 (-2.53%), 02 May 2003 (-3.14%), 05 May 2003 (-3.1%), 14 May 2003 (-3.23%), 15 May 2003 (-3.21%), 19 May 2003 (0.73%), 22 May 2003 (0.72%), 29 May 2003 (1.68%), 29 Jul 2003 (-3.75%), 30 Jul 2003 (-1.45%), 04 Aug 2003 (-1.7%), 07 Aug 2003 (-4.32%), 11 Aug 2003 (0.01%), 31 Oct 2003 (-4.89%), 03 Nov 2003 (-0.12%), 05 Nov 2003 (10.42%), 08 Dec 2003 (-2.19%), 18 Dec 2003 (-4.19%), 19 Dec 2003 (2.26%)
2002313 Feb 2002 (8.61%), 17 Jun 2002 (1.6%), 08 Jul 2002 (8.1%)
2001328 Aug 2001 (0.58%), 02 Nov 2001 (-2.46%), 21 Nov 2001 (9.47%)
2000722 Jun 2000 (-3.83%), 23 Jun 2000 (7.86%), 07 Jul 2000 (10.19%), 27 Nov 2000 (-2.14%), 05 Dec 2000 (-3.51%), 06 Dec 2000 (-3.95%), 07 Dec 2000 (7.97%)
19991408 Jan 1999 (-3.07%), 11 Jan 1999 (-0.1%), 13 Jan 1999 (-0.75%), 15 Jan 1999 (-3.43%), 18 Jan 1999 (-3.79%), 19 Jan 1999 (7.43%), 10 Mar 1999 (7.24%), 04 Jun 1999 (1.69%), 26 Jul 1999 (7.52%), 10 Aug 1999 (-4.34%), 12 Aug 1999 (-4.55%), 17 Aug 1999 (-4.27%), 18 Aug 1999 (1.63%), 30 Aug 1999 (8.66%)
1998606 Apr 1998 (5.32%), 24 Sep 1998 (-4.13%), 25 Sep 1998 (-4.18%), 28 Sep 1998 (-4.35%), 29 Sep 1998 (-4.85%), 30 Sep 1998 (9.86%)
19971018 Jun 1997 (-1.19%), 25 Jun 1997 (4.68%), 02 Jul 1997 (-2.51%), 03 Jul 1997 (-2.71%), 04 Jul 1997 (-2.89%), 07 Jul 1997 (1.14%), 05 Sep 1997 (-2.29%), 09 Sep 1997 (4.67%), 28 Nov 1997 (-2.95%), 02 Dec 1997 (-3.16%)
1996502 Jan 1996 (4.4%), 29 Mar 1996 (4.34%), 24 Apr 1996 (-0.67%), 13 Jun 1996 (-2.6%), 14 Jun 1996 (5.43%)
1995117 Aug 1995 (4.57%)



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