Study: Sell GODFRYPHLP when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP 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 GODFRYPHLP 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
1-26412692405243.483809.9817541.76-8010.1-37323.780.480.37-0.069-2870.93
2-43921492365639.135781.618525.05-11559.86-41249.60.50.32-0.079-4774.07
3-61489492375540.227474.4121559.63-16208.13-66974.820.460.31-0.082-6683.63
4-56468192434946.748150.7433329.97-18676.79-71500.650.440.38-0.071-6137.83
5-52592492425045.659304.0544315.55-18333.87-93239.150.510.43-0.061-5716.56
6-53337992434946.749378.0347251.08-19114.98-76113.590.490.43-0.061-5797.59
7-63922692405243.489892.8346655.91-19902.67-89231.660.50.38-0.066-6948.1
8-59914692405243.4811254.6449006.36-20179.45-83436.640.560.43-0.061-6512.45
9-61867992415144.5711355.0248401.09-21259.51-84539.370.530.43-0.062-6724.77
10-56822992395342.3912684.1846534.85-20054.95-77617.760.630.47-0.056-6176.4
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
atrnil23.56-2714682346716728.6315917.0126919.94-8011.42-12678.851.990.8-0.022-1160.12
atrnil35.2-3770892264418219.4724216.9440379.9-7926.56-12678.853.060.74-0.026-1668.54
atrtrail22.75-3344522497417529.7211543.6726919.94-6792.48-12678.851.70.72-0.029-1343.18
atrtrail33.26-4251142446917528.2810942.340379.9-6743.62-12678.851.620.64-0.037-1742.27
atrtrail-13.75-4453882446917528.2810648.4854741.77-6743.62-12678.851.580.62-0.038-1825.36

In the table above, row 1 shows the best exit criterion. Profit factor is 0.8. 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 28.63%, which is not acceptable. Avoid this strategy. Average return per trade is -0.58%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODFRYPHLP Performance, Profit Factor:0.797

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019615 Jan 2019 (7.15%), 12 Mar 2019 (-3.9%), 15 Mar 2019 (-3.75%), 18 Mar 2019 (-3.74%), 29 Mar 2019 (-3.22%), 15 Apr 2019 (6.31%)
2018511 Jan 2018 (5.24%), 30 Aug 2018 (6.2%), 07 Sep 2018 (-3.62%), 14 Sep 2018 (7.44%), 28 Nov 2018 (8.35%)
2017315 Mar 2017 (-3.45%), 16 Mar 2017 (-3.44%), 17 Mar 2017 (6.98%)
2016812 Jul 2016 (-3.76%), 13 Jul 2016 (-4.02%), 21 Jul 2016 (-4.51%), 22 Jul 2016 (8.79%), 02 Sep 2016 (-4.25%), 06 Sep 2016 (-4.21%), 07 Sep 2016 (-4.21%), 08 Sep 2016 (8.15%)
20151515 Apr 2015 (7.81%), 13 Jul 2015 (-3.71%), 16 Jul 2015 (-3.55%), 17 Jul 2015 (-3.68%), 11 Aug 2015 (8.81%), 18 Sep 2015 (-4.34%), 28 Sep 2015 (-4.82%), 16 Oct 2015 (-4.83%), 19 Oct 2015 (9.96%), 16 Nov 2015 (-5.46%), 17 Nov 2015 (-5.74%), 23 Nov 2015 (-6.08%), 27 Nov 2015 (-6.26%), 02 Dec 2015 (-5.91%), 03 Dec 2015 (11.59%)
20141006 Feb 2014 (-3.47%), 07 Feb 2014 (-3.75%), 14 Feb 2014 (-3.49%), 17 Feb 2014 (-3.46%), 18 Feb 2014 (-3.58%), 19 Feb 2014 (7.26%), 04 Sep 2014 (-2.96%), 08 Sep 2014 (5.78%), 05 Nov 2014 (4.9%), 24 Nov 2014 (5.42%)
2013508 May 2013 (-4.86%), 09 May 2013 (-5.03%), 10 May 2013 (-4.93%), 14 May 2013 (-4.8%), 15 May 2013 (9.59%)
20121019 Jan 2012 (-3.65%), 01 Feb 2012 (8.38%), 16 Mar 2012 (-5.19%), 19 Mar 2012 (-5.66%), 10 Apr 2012 (-4.15%), 11 Apr 2012 (-4.21%), 12 Apr 2012 (-4.23%), 18 Apr 2012 (8.22%), 26 Sep 2012 (5.95%), 27 Sep 2012 (-3.39%)
20111203 Jan 2011 (-4.31%), 07 Jan 2011 (7.62%), 15 Jun 2011 (-3.23%), 17 Jun 2011 (-3.43%), 20 Jun 2011 (-3.43%), 24 Jun 2011 (-3.73%), 30 Jun 2011 (-4.06%), 01 Jul 2011 (-4.03%), 07 Jul 2011 (-3.95%), 11 Jul 2011 (7.83%), 18 Jul 2011 (9.23%), 06 Sep 2011 (-4.04%)
2010630 Mar 2010 (7.39%), 03 Nov 2010 (-3.0%), 04 Nov 2010 (-3.05%), 05 Nov 2010 (-3.05%), 08 Nov 2010 (-3.66%), 11 Nov 2010 (7.52%)
20091806 Apr 2009 (10.55%), 15 Apr 2009 (-5.76%), 27 Apr 2009 (10.08%), 20 May 2009 (-5.77%), 21 May 2009 (-6.34%), 25 May 2009 (-6.16%), 15 Jul 2009 (-4.18%), 17 Jul 2009 (-4.2%), 24 Jul 2009 (-3.83%), 28 Jul 2009 (8.61%), 29 Jul 2009 (-4.93%), 31 Jul 2009 (-5.13%), 03 Aug 2009 (11.28%), 17 Sep 2009 (-3.7%), 22 Sep 2009 (-3.98%), 29 Sep 2009 (-4.44%), 24 Dec 2009 (-3.06%), 29 Dec 2009 (6.85%)
2008701 Jan 2008 (-4.44%), 02 Jan 2008 (-4.39%), 04 Jan 2008 (-4.2%), 07 Jan 2008 (-4.53%), 08 Jan 2008 (-6.24%), 09 Jan 2008 (13.46%), 21 Apr 2008 (-3.62%)
2007916 Apr 2007 (-3.23%), 19 Apr 2007 (-3.25%), 26 Apr 2007 (-3.39%), 27 Apr 2007 (-3.66%), 30 Apr 2007 (-3.74%), 08 May 2007 (6.95%), 07 Sep 2007 (-4.28%), 14 Sep 2007 (-4.32%), 17 Sep 2007 (8.79%)
2006716 Jan 2006 (8.74%), 05 Apr 2006 (6.65%), 29 Nov 2006 (-3.98%), 30 Nov 2006 (-4.01%), 01 Dec 2006 (-3.89%), 04 Dec 2006 (-3.78%), 05 Dec 2006 (8.87%)
20052803 Jan 2005 (-3.72%), 10 Jan 2005 (-3.21%), 20 Jan 2005 (-3.3%), 27 Jan 2005 (-3.41%), 31 Jan 2005 (7.71%), 08 Mar 2005 (-3.58%), 10 Mar 2005 (-4.18%), 11 Mar 2005 (-4.77%), 14 Mar 2005 (-5.79%), 15 Mar 2005 (-5.7%), 16 Mar 2005 (-6.13%), 17 Mar 2005 (11.89%), 05 Aug 2005 (-2.94%), 01 Sep 2005 (-3.99%), 05 Sep 2005 (-4.02%), 06 Sep 2005 (-4.04%), 16 Sep 2005 (7.58%), 07 Nov 2005 (-2.56%), 08 Nov 2005 (-2.63%), 09 Nov 2005 (-2.58%), 10 Nov 2005 (-2.92%), 11 Nov 2005 (-2.95%), 26 Nov 2005 (-3.47%), 29 Nov 2005 (-4.08%), 30 Nov 2005 (-4.1%), 01 Dec 2005 (-3.98%), 02 Dec 2005 (-3.86%), 05 Dec 2005 (7.76%)
2004913 Jan 2004 (8.41%), 01 Sep 2004 (-2.79%), 02 Sep 2004 (-2.77%), 17 Sep 2004 (5.21%), 24 Nov 2004 (-2.11%), 25 Nov 2004 (4.7%), 29 Nov 2004 (5.24%), 07 Dec 2004 (5.92%), 22 Dec 2004 (-2.95%)
2003922 May 2003 (5.34%), 30 Jun 2003 (-3.08%), 02 Jul 2003 (-2.97%), 13 Aug 2003 (-3.16%), 14 Aug 2003 (6.45%), 03 Dec 2003 (-2.31%), 04 Dec 2003 (-2.66%), 09 Dec 2003 (-2.75%), 10 Dec 2003 (5.4%)
2001823 Jan 2001 (6.86%), 30 Oct 2001 (-3.76%), 08 Nov 2001 (-4.65%), 04 Dec 2001 (-3.96%), 05 Dec 2001 (-4.2%), 06 Dec 2001 (-4.29%), 07 Dec 2001 (-4.3%), 12 Dec 2001 (8.93%)
2000512 Jul 2000 (7.29%), 13 Dec 2000 (-4.56%), 14 Dec 2000 (-4.58%), 19 Dec 2000 (-4.53%), 20 Dec 2000 (-4.65%)
19992501 Feb 1999 (-3.61%), 04 Feb 1999 (-4.14%), 05 Feb 1999 (8.51%), 12 Feb 1999 (-4.73%), 15 Feb 1999 (-4.59%), 16 Feb 1999 (-4.48%), 17 Feb 1999 (-4.38%), 18 Feb 1999 (10.17%), 22 Feb 1999 (-5.6%), 23 Feb 1999 (-5.58%), 24 Feb 1999 (-5.33%), 25 Feb 1999 (10.65%), 27 Feb 1999 (-6.15%), 03 Mar 1999 (12.54%), 07 Jul 1999 (-4.08%), 08 Jul 1999 (-4.06%), 09 Jul 1999 (-4.07%), 12 Jul 1999 (9.68%), 14 Jul 1999 (11.15%), 02 Sep 1999 (-3.89%), 03 Sep 1999 (-3.87%), 06 Sep 1999 (-4.03%), 07 Sep 1999 (-4.0%), 08 Sep 1999 (8.06%), 10 Sep 1999 (9.94%)
19981325 Feb 1998 (-4.26%), 27 Feb 1998 (-4.67%), 24 Mar 1998 (-4.82%), 25 Mar 1998 (-4.72%), 26 Mar 1998 (9.6%), 14 Sep 1998 (-2.97%), 15 Sep 1998 (-3.08%), 16 Sep 1998 (-3.19%), 17 Sep 1998 (-3.41%), 18 Sep 1998 (-3.46%), 21 Sep 1998 (-3.51%), 22 Sep 1998 (-4.58%), 23 Sep 1998 (9.16%)
19971510 Jan 1997 (-3.08%), 15 Jan 1997 (5.8%), 03 Jul 1997 (-2.78%), 04 Jul 1997 (-2.88%), 07 Jul 1997 (-2.88%), 10 Jul 1997 (-2.79%), 11 Jul 1997 (6.63%), 23 Jul 1997 (-3.63%), 30 Jul 1997 (-3.45%), 31 Jul 1997 (-3.47%), 01 Aug 1997 (-3.4%), 08 Aug 1997 (-2.83%), 11 Aug 1997 (-2.92%), 12 Aug 1997 (5.83%), 13 Aug 1997 (6.85%)
1995111 Oct 1995 (5.26%)



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