Study: Sell GODREJCP when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GODREJCP 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 GODREJCP 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
140420.0183463755.423968.2513082.71-3841.07-11827.241.031.280.023486.99
286816.8983473656.635757.5520128.89-5105.22-15060.911.131.470.0361045.99
389548.1283513261.455915.5124253.49-6629.47-31818.180.891.420.031078.89
493514.5983523162.656452.7625735.77-7807.38-27634.30.831.390.0291126.68
566869.3483493459.047631.2131678.61-9031.18-30987.480.841.220.018805.65
657319.9283463755.428666.0635977.48-9224.83-31404.730.941.170.014690.6
742077.7283434051.8110083.4329774.44-9787.75-39580.351.031.110.0092506.96
855946.5483463755.429638.7431627.43-10471.24-40850.570.921.140.012674.05
99679.3583483557.839306.9230867.19-12487.22-41993.80.751.020.002116.62
1033416.7883483557.839475.0830624.62-12039.62-34958.330.791.080.007402.61
Although, strategy looks good but profit factor on day 1 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
atrnil24.69-13194.311575110632.4814760.3821133.47-7226.17-10360.712.040.98-0.0019-84.04
atrtrail23.76-40080.621715811333.9210082.420684.07-5529.73-10360.711.820.94-0.0064-234.39
atrtrail34.28-84997.421715611532.759776.3428953.67-5499.76-10360.711.780.87-0.013-497.06
atrnil37.29-2403791563012619.2322382.331700.2-7236.89-10360.713.090.74-0.03-1540.89
atrtrail-14.8-2235251715611532.757302.6325848.84-5499.76-10360.711.330.65-0.042-1307.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 32.48%, which is not acceptable. Avoid this strategy. Average return per trade is -0.042%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GODREJCP Performance, Profit Factor:0.983

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019120 Sep 2019 (-2.99%)
20181119 Jan 2018 (-2.12%), 22 Jan 2018 (-2.26%), 24 Jan 2018 (4.99%), 28 Jun 2018 (-2.16%), 03 Jul 2018 (-2.03%), 11 Jul 2018 (-2.24%), 24 Jul 2018 (5.27%), 20 Aug 2018 (-2.48%), 23 Aug 2018 (-2.63%), 29 Aug 2018 (5.35%), 14 Dec 2018 (6.54%)
2017611 Jan 2017 (-2.21%), 21 Feb 2017 (-2.36%), 22 Feb 2017 (4.77%), 09 May 2017 (6.04%), 26 Jul 2017 (-2.18%), 27 Jul 2017 (4.64%)
2016404 Apr 2016 (6.17%), 27 May 2016 (-2.71%), 03 Jun 2016 (5.35%), 05 Jul 2016 (5.14%)
2015613 Jan 2015 (-3.2%), 16 Jan 2015 (6.43%), 30 Jun 2015 (7.0%), 30 Jul 2015 (-3.36%), 31 Jul 2015 (-3.4%), 03 Aug 2015 (-3.61%)
2014731 Mar 2014 (-4.54%), 01 Apr 2014 (8.95%), 19 Aug 2014 (-2.86%), 21 Aug 2014 (5.54%), 28 Aug 2014 (-3.48%), 03 Sep 2014 (6.99%), 08 Sep 2014 (7.91%)
2013308 Mar 2013 (6.97%), 25 Apr 2013 (8.87%), 18 Jul 2013 (7.76%)
20121723 Jan 2012 (-2.72%), 27 Jan 2012 (-3.13%), 31 Jan 2012 (-3.18%), 20 Mar 2012 (-2.93%), 22 Mar 2012 (5.93%), 02 Apr 2012 (-4.4%), 18 Apr 2012 (-3.61%), 19 Apr 2012 (-3.69%), 30 Apr 2012 (-3.35%), 02 May 2012 (-3.33%), 03 May 2012 (-3.33%), 04 May 2012 (6.78%), 27 Jul 2012 (-3.49%), 21 Aug 2012 (-3.11%), 29 Aug 2012 (-3.0%), 30 Aug 2012 (6.01%), 25 Oct 2012 (-3.54%)
2011506 Apr 2011 (-3.22%), 30 May 2011 (-3.0%), 31 May 2011 (-3.07%), 06 Jun 2011 (-3.23%), 14 Jun 2011 (6.47%)
2010513 Apr 2010 (-3.52%), 16 Apr 2010 (8.01%), 14 May 2010 (10.05%), 15 Jul 2010 (-3.52%), 17 Sep 2010 (8.88%)
20091606 May 2009 (-4.19%), 15 May 2009 (-4.3%), 19 May 2009 (-4.51%), 25 May 2009 (-4.64%), 26 May 2009 (-5.13%), 28 May 2009 (-5.1%), 29 May 2009 (-5.02%), 22 Jul 2009 (-5.18%), 24 Jul 2009 (-5.06%), 27 Jul 2009 (-5.17%), 04 Aug 2009 (10.34%), 07 Sep 2009 (-5.04%), 08 Sep 2009 (-4.99%), 06 Nov 2009 (-4.9%), 09 Nov 2009 (-4.81%), 10 Nov 2009 (9.4%)
2008429 Feb 2008 (-4.76%), 05 May 2008 (6.43%), 22 Dec 2008 (-4.28%), 26 Dec 2008 (8.89%)
2007316 Apr 2007 (-3.09%), 24 Apr 2007 (-3.04%), 04 Dec 2007 (10.57%)
2006723 Jan 2006 (-4.03%), 17 Feb 2006 (-3.65%), 08 Mar 2006 (-4.33%), 31 Mar 2006 (-4.62%), 03 Apr 2006 (9.42%), 21 Aug 2006 (-4.73%), 25 Aug 2006 (9.57%)
20052003 Jan 2005 (7.89%), 28 Mar 2005 (-2.52%), 29 Mar 2005 (-2.6%), 01 Apr 2005 (4.85%), 11 May 2005 (-4.65%), 12 May 2005 (9.25%), 31 May 2005 (9.91%), 19 Jul 2005 (-3.45%), 22 Jul 2005 (-3.47%), 25 Jul 2005 (-3.57%), 26 Jul 2005 (-3.67%), 03 Aug 2005 (-3.85%), 05 Aug 2005 (-3.83%), 08 Aug 2005 (-4.35%), 10 Aug 2005 (-4.47%), 11 Aug 2005 (-4.92%), 12 Aug 2005 (9.65%), 05 Dec 2005 (-2.98%), 06 Dec 2005 (-3.07%), 13 Dec 2005 (-4.34%)
20041902 Jan 2004 (-4.58%), 05 Jan 2004 (9.61%), 04 May 2004 (-4.24%), 10 May 2004 (7.72%), 09 Aug 2004 (-2.04%), 10 Aug 2004 (-2.09%), 11 Aug 2004 (-2.19%), 19 Aug 2004 (4.15%), 31 Aug 2004 (4.75%), 30 Sep 2004 (6.88%), 01 Nov 2004 (-3.32%), 02 Nov 2004 (-3.57%), 04 Nov 2004 (7.52%), 16 Dec 2004 (-3.1%), 22 Dec 2004 (-2.99%), 23 Dec 2004 (-3.11%), 24 Dec 2004 (-3.11%), 28 Dec 2004 (-3.02%), 29 Dec 2004 (-3.69%)
20031328 Feb 2003 (5.26%), 06 Jun 2003 (-3.24%), 09 Jun 2003 (-3.6%), 30 Jun 2003 (-3.28%), 28 Aug 2003 (-2.94%), 29 Aug 2003 (6.54%), 01 Sep 2003 (-3.69%), 04 Sep 2003 (7.33%), 05 Dec 2003 (-3.47%), 08 Dec 2003 (-3.56%), 16 Dec 2003 (-3.84%), 18 Dec 2003 (-4.03%), 29 Dec 2003 (-4.08%)
2002909 Apr 2002 (-4.93%), 30 Apr 2002 (-4.54%), 02 May 2002 (-4.42%), 08 May 2002 (8.68%), 11 Jun 2002 (-4.24%), 13 Jun 2002 (-4.38%), 17 Jun 2002 (-4.23%), 12 Jul 2002 (9.7%), 30 Aug 2002 (9.22%)
2001116 Oct 2001 (10.04%)



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