Study: Sell GMRINFRA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GMRINFRA 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 GMRINFRA 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
1921.1254322259.263989.5713402.06-5761.14-27133.220.691.010.0006517.06
2-4996.3854322259.265949.4417535.55-8880.85-30808.450.670.97-0.0026-92.53
3-53047.18542727507747.1129947.15-9711.82-47997.090.80.8-0.022-982.36
4-11699054233142.5911232.1342748.09-12107.39-45666.420.930.69-0.038-2166.48
5-90447.4754243044.4412133.6937386.49-12721.87-40203.930.950.76-0.029-1674.95
6-31350.845427275012047.935054.54-13209.04-32222.220.910.91-0.0098-580.57
7-1150675427275010694.5528909.95-14956.28-42296.510.720.72-0.035-2130.87
8-13466654282651.8511689.8332648.27-17768.5-45833.330.660.71-0.036-2493.81
9-15151154252946.312652.8629125.07-16132.16-59365.620.780.68-0.041-2805.76
10-15824454262848.1513691.1231353.51-18364.75-63663.660.750.69-0.038-2930.45

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.01. 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 59.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0085%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00065, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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-11921.1254322259.263989.5713402.06-5761.14-27133.220.691.010.0006517.06
atrtrail33.94-115230116397733.6211716.3240247.01-7430.74-15019.831.580.8-0.023-993.37
atrtrail23.51-149987116397733.6210825.1126831.34-7430.74-15019.831.460.74-0.034-1292.99
atrnil36.05-217902104218320.1926458.8540247.01-9319.73-15019.832.840.72-0.039-2095.21
atrtrail-14.28-174535116397733.6210195.6833501.01-7430.74-15019.831.370.69-0.039-1504.61
atrnil24.47-225884107297827.117504.626831.34-9404.07-15019.831.860.69-0.047-2111.07

In the table above, row 1 shows the best exit criterion. Profit factor is 1.01. 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 59.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0085%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00065, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GMRINFRA Performance, X=1, Profit Factor:1.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020408 Jan 2020 (0.21%), 02 Jun 2020 (0.51%), 19 Jun 2020 (2.31%), 21 Aug 2020 (-4.12%)
2019505 Mar 2019 (0.59%), 26 Mar 2019 (-0.26%), 11 Sep 2019 (1.18%), 18 Oct 2019 (-0.0%), 04 Nov 2019 (0.96%)
2018131 Aug 2018 (4.03%)
2017706 Feb 2017 (3.51%), 20 Feb 2017 (3.24%), 07 Mar 2017 (0.31%), 24 Apr 2017 (2.19%), 15 Jun 2017 (1.52%), 31 Oct 2017 (0.78%), 29 Dec 2017 (0.67%)
2016316 Jun 2016 (-0.39%), 05 Jul 2016 (1.43%), 08 Sep 2016 (1.32%)
2015202 Feb 2015 (4.25%), 26 Nov 2015 (-0.32%)
2014307 Apr 2014 (-5.71%), 13 May 2014 (0.87%), 28 May 2014 (1.04%)
2013518 Mar 2013 (1.89%), 11 Sep 2013 (0.83%), 25 Sep 2013 (-2.07%), 10 Oct 2013 (1.97%), 26 Dec 2013 (-0.41%)
2012510 Jan 2012 (-2.34%), 25 Jan 2012 (2.14%), 02 Jul 2012 (1.95%), 18 Sep 2012 (5.45%), 04 Oct 2012 (-0.97%)
2011107 Apr 2011 (3.99%)
2010127 Apr 2010 (6.7%)
2009502 Jan 2009 (1.88%), 25 Mar 2009 (-0.62%), 13 Apr 2009 (-4.45%), 18 May 2009 (-11.4%), 01 Jun 2009 (1.26%)
2007907 Feb 2007 (-1.47%), 25 Apr 2007 (2.74%), 18 May 2007 (1.65%), 13 Jun 2007 (-1.62%), 27 Jun 2007 (-0.75%), 11 Jul 2007 (-13.57%), 25 Jul 2007 (0.47%), 08 Nov 2007 (-1.33%), 30 Nov 2007 (-1.57%)
2006331 Oct 2006 (-7.75%), 14 Nov 2006 (-1.44%), 28 Nov 2006 (-0.83%)



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