Study: Sell DRREDDY when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell DRREDDY 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 DRREDDY 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
1-3067.88110644658.183041.9811851.75-4299.01-18708.20.710.98-0.0011-27.89
2-21723.44110535748.184779.1513090.91-4824.89-241080.990.92-0.0062-197.49
312520.73110585252.735142.0915760.87-5494.63-18615.330.941.040.0035113.82
4-101556110565450.915316.9320940.28-7394.51-29137.090.720.75-0.021-923.23
5-96076.53110535748.187190.7131120.49-8371.65-29914.980.860.8-0.017-873.42
6-9398.36110535748.188381.8844627.78-7958.56-29640.741.050.98-0.0016-85.44
759252.68110535748.189333.3248126.12-7638.83-23455.171.221.140.0098538.66
870484.26110575351.829238.6659989.77-8606.02-26279.291.071.150.011640.77
956193.571105555509984.3357188.54-8962.63-28366.141.111.110.0083510.85
1045960.9911055555010099.6554687.9-9264-31652.611.091.090.0066417.83
Although, strategy looks good but profit factor on day 4 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
atrtrail23.48-24311.832288014835.098790.6621463.7-4915.98-10477.161.790.97-0.0029-106.63
atrnil24.59-88839.322106414630.4812388.8521463.7-6039.22-11226.012.050.9-0.0097-423.04
atrtrail33.94-99192.282288014835.097853.8632195.55-4915.55-10477.161.60.86-0.011-435.05
atrtrail-14.31-1158402288014835.097645.7748698.43-4915.55-10477.161.560.84-0.013-508.07
atrnil36.7-1712442094516421.5318322.2932195.55-6071.63-11226.013.020.83-0.016-819.35

In the table above, row 1 shows the best exit criterion. Profit factor is 0.97. 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 35.09%, which is not acceptable. Avoid this strategy. Average return per trade is -0.053%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
DRREDDY Performance, Profit Factor:0.967

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Feb 2019 (-2.03%), 25 Apr 2019 (-0.86%), 20 Sep 2019 (4.57%)
2018613 Jun 2018 (-2.74%), 15 Jun 2018 (-2.77%), 19 Jun 2018 (5.67%), 23 Aug 2018 (0.93%), 03 Sep 2018 (-0.79%), 07 Sep 2018 (5.5%)
2017121 Sep 2017 (6.37%)
2016830 Jun 2016 (-1.99%), 01 Jul 2016 (-2.05%), 04 Jul 2016 (-2.22%), 07 Jul 2016 (-2.15%), 11 Jul 2016 (-0.36%), 20 Jul 2016 (3.91%), 27 Oct 2016 (-1.85%), 28 Oct 2016 (3.76%)
20151006 Apr 2015 (-2.55%), 08 Apr 2015 (4.94%), 06 Jul 2015 (-2.13%), 14 Jul 2015 (-1.97%), 16 Jul 2015 (-1.35%), 23 Jul 2015 (3.8%), 31 Jul 2015 (-2.44%), 04 Aug 2015 (-2.39%), 06 Aug 2015 (-1.26%), 14 Aug 2015 (-0.44%)
20142110 Jan 2014 (-1.83%), 20 Jan 2014 (-0.82%), 24 Feb 2014 (-0.97%), 26 Feb 2014 (-1.97%), 28 Feb 2014 (4.1%), 30 Jun 2014 (-1.56%), 02 Jul 2014 (-0.96%), 04 Jul 2014 (-1.86%), 07 Jul 2014 (3.89%), 30 Jul 2014 (1.49%), 20 Aug 2014 (0.12%), 28 Aug 2014 (-1.96%), 03 Sep 2014 (-0.25%), 17 Sep 2014 (-1.66%), 18 Sep 2014 (-1.76%), 23 Sep 2014 (-1.94%), 25 Sep 2014 (4.04%), 07 Nov 2014 (-2.76%), 13 Nov 2014 (-1.32%), 19 Nov 2014 (-2.12%), 27 Nov 2014 (4.54%)
2013708 Jan 2013 (-1.23%), 16 Jan 2013 (0.31%), 08 Apr 2013 (4.5%), 30 Apr 2013 (-0.03%), 11 May 2013 (-2.16%), 12 Jul 2013 (0.39%), 26 Sep 2013 (0.32%)
2012519 Jan 2012 (4.04%), 30 Mar 2012 (3.91%), 12 Sep 2012 (-1.8%), 06 Dec 2012 (-1.48%), 10 Dec 2012 (1.62%)
2011128 Oct 2011 (1.32%)
20102117 Mar 2010 (-2.52%), 19 Mar 2010 (-2.46%), 23 Mar 2010 (0.66%), 01 Jun 2010 (-2.74%), 09 Jun 2010 (-3.18%), 10 Jun 2010 (6.27%), 15 Sep 2010 (-1.67%), 21 Sep 2010 (-2.4%), 24 Sep 2010 (1.1%), 07 Oct 2010 (-2.43%), 13 Oct 2010 (-2.27%), 14 Oct 2010 (-2.47%), 18 Oct 2010 (-0.52%), 25 Oct 2010 (-2.36%), 01 Nov 2010 (-1.73%), 03 Nov 2010 (-2.01%), 04 Nov 2010 (-2.0%), 08 Nov 2010 (-0.64%), 18 Nov 2010 (-1.51%), 24 Nov 2010 (-1.44%), 03 Dec 2010 (3.94%)
20091906 Apr 2009 (-4.68%), 13 Apr 2009 (-4.64%), 15 Apr 2009 (-1.38%), 20 Apr 2009 (-3.01%), 23 Apr 2009 (-1.02%), 22 May 2009 (1.68%), 09 Jun 2009 (-5.01%), 10 Jun 2009 (9.86%), 25 Jun 2009 (-4.64%), 30 Jun 2009 (-2.52%), 08 Jul 2009 (2.66%), 18 Sep 2009 (-2.66%), 24 Sep 2009 (-3.07%), 25 Sep 2009 (6.77%), 04 Nov 2009 (-4.0%), 09 Nov 2009 (-3.0%), 11 Nov 2009 (-0.71%), 01 Dec 2009 (7.01%), 18 Dec 2009 (-3.21%)
2008202 Jan 2008 (6.81%), 08 May 2008 (6.85%)
2007405 Dec 2007 (-2.11%), 12 Dec 2007 (-3.27%), 13 Dec 2007 (-2.1%), 31 Dec 2007 (-2.24%)
20061716 Jan 2006 (-1.2%), 25 Jan 2006 (-1.84%), 30 Jan 2006 (-2.32%), 01 Feb 2006 (6.64%), 06 Feb 2006 (-1.82%), 16 Feb 2006 (-3.82%), 20 Feb 2006 (-3.77%), 21 Feb 2006 (2.1%), 22 Mar 2006 (0.22%), 02 May 2006 (-1.91%), 05 May 2006 (-4.17%), 08 May 2006 (0.72%), 28 Aug 2006 (-5.24%), 11 Sep 2006 (-4.28%), 14 Sep 2006 (3.23%), 03 Nov 2006 (-2.28%), 07 Nov 2006 (-0.1%)
20051101 Jul 2005 (-2.54%), 04 Jul 2005 (-2.53%), 05 Jul 2005 (5.09%), 26 Jul 2005 (-2.47%), 27 Jul 2005 (-2.47%), 29 Jul 2005 (-1.88%), 03 Aug 2005 (4.98%), 03 Oct 2005 (-2.8%), 04 Oct 2005 (-2.99%), 07 Oct 2005 (-3.31%), 10 Oct 2005 (6.51%)
2004120 Dec 2004 (-0.63%)
20031601 Jan 2003 (-1.04%), 07 Jan 2003 (-2.31%), 09 Jan 2003 (-2.24%), 13 Jan 2003 (-1.68%), 15 Jan 2003 (4.41%), 04 Jun 2003 (-3.43%), 05 Jun 2003 (-2.22%), 16 Jun 2003 (-3.25%), 17 Jun 2003 (-3.31%), 18 Jun 2003 (-1.52%), 30 Jun 2003 (-3.19%), 03 Jul 2003 (7.13%), 14 Oct 2003 (8.51%), 03 Nov 2003 (-4.84%), 04 Nov 2003 (10.28%), 29 Dec 2003 (5.77%)
2002726 Feb 2002 (7.0%), 03 Apr 2002 (0.72%), 11 Dec 2002 (-2.24%), 17 Dec 2002 (-2.05%), 18 Dec 2002 (-2.31%), 19 Dec 2002 (0.17%), 24 Dec 2002 (-0.75%)
20011022 May 2001 (-0.89%), 29 May 2001 (-3.9%), 30 May 2001 (-2.84%), 04 Jun 2001 (-1.36%), 12 Jun 2001 (6.93%), 26 Jun 2001 (7.03%), 03 Aug 2001 (0.1%), 23 Oct 2001 (-3.26%), 24 Oct 2001 (-3.39%), 25 Oct 2001 (-3.52%)
2000325 Aug 2000 (-1.32%), 08 Sep 2000 (8.17%), 08 Nov 2000 (-3.63%)
19992306 Jan 1999 (-3.17%), 07 Jan 1999 (-3.2%), 08 Jan 1999 (6.48%), 03 Mar 1999 (-1.53%), 08 Mar 1999 (-3.32%), 10 Mar 1999 (-4.53%), 11 Mar 1999 (0.22%), 18 Mar 1999 (-3.4%), 22 Mar 1999 (-4.75%), 23 Mar 1999 (0.55%), 21 Jul 1999 (6.76%), 06 Aug 1999 (-2.68%), 11 Aug 1999 (-4.6%), 12 Aug 1999 (-2.76%), 25 Aug 1999 (-4.18%), 26 Aug 1999 (8.52%), 22 Sep 1999 (-4.35%), 23 Sep 1999 (-4.52%), 27 Sep 1999 (-4.58%), 29 Sep 1999 (-4.47%), 30 Sep 1999 (1.99%), 13 Oct 1999 (9.85%), 20 Dec 1999 (10.73%)
1998802 Mar 1998 (4.94%), 19 Mar 1998 (-2.96%), 20 Mar 1998 (-3.12%), 24 Mar 1998 (-3.04%), 25 Mar 1998 (6.19%), 09 Apr 1998 (1.98%), 22 Apr 1998 (8.27%), 07 Aug 1998 (8.32%)
19971404 Mar 1997 (-3.46%), 05 Mar 1997 (-3.4%), 06 Mar 1997 (6.69%), 18 Jun 1997 (-2.65%), 19 Jun 1997 (-2.04%), 24 Jun 1997 (5.54%), 04 Jul 1997 (-3.09%), 07 Jul 1997 (-2.83%), 09 Jul 1997 (-2.83%), 10 Jul 1997 (5.68%), 22 Jul 1997 (-3.45%), 23 Jul 1997 (0.4%), 07 Aug 1997 (5.58%), 17 Oct 1997 (6.59%)
1996912 Feb 1996 (-2.81%), 13 Feb 1996 (-2.86%), 19 Feb 1996 (0.77%), 18 Apr 1996 (-1.94%), 19 Apr 1996 (1.3%), 25 Apr 1996 (4.64%), 04 Jun 1996 (0.27%), 14 Jun 1996 (4.37%), 09 Jul 1996 (5.77%)
1995125 Jul 1995 (5.86%)



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