Study: Sell GLENMARK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GLENMARK 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 GLENMARK 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
1-47457.8753639484003.5712058.13-4912.47-20032.690.810.75-0.024-632.77
2-11930175433257.334749.0616320.17-10109.73-42073.310.470.63-0.034-1590.69
3-90595.9975383750.677037.2723409.27-9676-66308.660.730.75-0.021-1207.95
4-64189.8675443158.677439.4225805.18-12629.82-92972.220.590.84-0.013-855.86
5-106694753936528116.3721217.53-11756.46-98248.890.690.75-0.02-1422.59
6-14790875344145.3310224.7138541.67-12086.54-79103.430.850.7-0.028-1972.11
7-15738375344145.3310101.8349122.81-12215.74-81811.810.830.69-0.028-2098.44
8-13680775344145.3310892.5434265.35-12369.6-83773.060.880.73-0.024-1824.1
9-85477.4475354046.6711951.8227083.33-12594.78-74807.380.950.83-0.015-1139.7
10-57753.657539365211603.0133388.16-14174.2-84286.710.820.89-0.0097-770.05
Although, strategy looks good but profit factor on day 2 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
atrnil25.12-24090.721524810431.5816832.2230274.38-8000.36-13833.622.10.97-0.003-158.49
atrnil36.84-91491.981453311222.7624365.1545411.57-7995.91-14621.343.050.9-0.01-630.98
atrtrail23.44-1055331765911733.5210575.2630274.38-6234.81-13216.781.70.86-0.014-599.62
atrtrail33.93-1361981715611532.7510193.6745411.57-6148.21-13216.781.660.81-0.018-796.48
atrtrail-14.3-2105991715611532.758865.0937979.85-6148.21-13216.781.440.7-0.031-1231.57

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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is -0.079%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GLENMARK Performance, Profit Factor:0.971

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018910 Jan 2018 (-2.07%), 12 Jan 2018 (-2.07%), 24 Jan 2018 (4.15%), 12 Jun 2018 (-3.23%), 21 Aug 2018 (-2.69%), 23 Aug 2018 (-2.73%), 31 Aug 2018 (-2.72%), 06 Sep 2018 (-2.77%), 10 Sep 2018 (5.7%)
2017219 Jul 2017 (-1.91%), 02 Nov 2017 (4.22%)
2016113 May 2016 (-2.37%)
2015924 Feb 2015 (5.6%), 09 Mar 2015 (-3.04%), 17 Jun 2015 (-3.25%), 18 Jun 2015 (-3.33%), 02 Jul 2015 (-2.96%), 09 Jul 2015 (-2.81%), 15 Jul 2015 (5.15%), 19 Aug 2015 (-3.62%), 21 Aug 2015 (7.62%)
20141028 Jan 2014 (-2.28%), 02 May 2014 (5.86%), 25 Jul 2014 (-3.08%), 28 Jul 2014 (-3.19%), 01 Aug 2014 (-3.21%), 13 Aug 2014 (-3.03%), 18 Aug 2014 (-3.28%), 04 Sep 2014 (5.98%), 07 Nov 2014 (-2.95%), 20 Nov 2014 (6.11%)
2013710 May 2013 (-2.94%), 15 May 2013 (-2.82%), 16 May 2013 (-2.82%), 20 May 2013 (-3.16%), 31 May 2013 (-3.27%), 04 Jun 2013 (6.56%), 10 Oct 2013 (6.56%)
2012903 May 2012 (-2.87%), 10 May 2012 (7.12%), 03 Aug 2012 (-3.13%), 07 Aug 2012 (-3.24%), 30 Aug 2012 (-2.99%), 31 Aug 2012 (5.99%), 17 Dec 2012 (-3.41%), 24 Dec 2012 (-3.41%), 26 Dec 2012 (6.8%)
2011214 Jul 2011 (6.63%), 14 Nov 2011 (6.4%)
2010623 Aug 2010 (-2.69%), 24 Aug 2010 (5.85%), 06 Oct 2010 (5.91%), 02 Nov 2010 (-3.83%), 08 Nov 2010 (7.51%), 07 Dec 2010 (8.54%)
2009315 Apr 2009 (-6.43%), 21 Apr 2009 (15.14%), 25 May 2009 (14.62%)
2008423 Apr 2008 (-5.14%), 28 Apr 2008 (-4.97%), 29 Apr 2008 (-4.82%), 05 May 2008 (9.73%)
20071122 Jan 2007 (8.29%), 10 Sep 2007 (-5.52%), 13 Sep 2007 (-5.03%), 25 Sep 2007 (-4.77%), 28 Sep 2007 (9.47%), 05 Oct 2007 (10.92%), 10 Oct 2007 (-6.61%), 11 Oct 2007 (-6.92%), 02 Nov 2007 (14.01%), 12 Dec 2007 (-5.3%), 18 Dec 2007 (11.36%)
20061613 Feb 2006 (-3.59%), 14 Feb 2006 (8.44%), 08 May 2006 (-4.92%), 12 May 2006 (9.38%), 17 Aug 2006 (-3.46%), 18 Aug 2006 (7.15%), 21 Aug 2006 (-4.18%), 22 Aug 2006 (-4.59%), 25 Aug 2006 (9.43%), 30 Oct 2006 (-5.09%), 07 Nov 2006 (-4.81%), 09 Nov 2006 (-5.91%), 13 Nov 2006 (-5.44%), 14 Nov 2006 (-5.74%), 15 Nov 2006 (-5.7%), 05 Dec 2006 (10.88%)
20051003 Jan 2005 (-4.17%), 04 Jan 2005 (9.05%), 05 Jan 2005 (-5.44%), 07 Jan 2005 (11.9%), 02 Mar 2005 (-4.08%), 03 Mar 2005 (-5.1%), 04 Mar 2005 (-5.33%), 11 Mar 2005 (10.83%), 25 Jul 2005 (5.95%), 15 Sep 2005 (8.92%)
20042213 Jan 2004 (-5.56%), 14 Jan 2004 (11.29%), 16 Jul 2004 (7.85%), 12 Aug 2004 (-3.45%), 19 Aug 2004 (-3.45%), 20 Aug 2004 (-3.59%), 23 Aug 2004 (-3.75%), 23 Sep 2004 (-3.51%), 24 Sep 2004 (-3.61%), 27 Sep 2004 (-3.7%), 28 Sep 2004 (-3.77%), 29 Sep 2004 (-4.11%), 30 Sep 2004 (8.85%), 01 Oct 2004 (-5.27%), 04 Oct 2004 (-5.51%), 03 Nov 2004 (-4.11%), 04 Nov 2004 (-4.34%), 18 Nov 2004 (-4.33%), 15 Dec 2004 (-3.91%), 28 Dec 2004 (-4.0%), 30 Dec 2004 (-4.11%), 31 Dec 2004 (-4.12%)
20031501 Jan 2003 (-3.76%), 13 Jan 2003 (-3.27%), 14 Jan 2003 (-3.28%), 15 Jan 2003 (-3.38%), 16 May 2003 (-3.43%), 06 Jun 2003 (-2.78%), 27 Jun 2003 (-3.15%), 30 Jun 2003 (-3.39%), 01 Jul 2003 (-3.8%), 02 Jul 2003 (7.86%), 04 Jul 2003 (8.83%), 29 Aug 2003 (-4.49%), 01 Sep 2003 (-4.59%), 08 Sep 2003 (-4.9%), 11 Sep 2003 (10.77%)
2002524 Jan 2002 (9.88%), 06 Feb 2002 (-6.03%), 10 Apr 2002 (-4.78%), 06 May 2002 (10.12%), 31 Dec 2002 (-3.76%)
20011110 Oct 2001 (-5.02%), 12 Oct 2001 (-5.06%), 17 Oct 2001 (-4.96%), 23 Oct 2001 (-4.75%), 24 Oct 2001 (-5.02%), 29 Oct 2001 (9.53%), 13 Nov 2001 (-4.48%), 15 Nov 2001 (-4.39%), 19 Nov 2001 (-4.41%), 23 Nov 2001 (-4.69%), 26 Nov 2001 (9.28%)



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