Study: Sell GRANULES when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GRANULES 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 GRANULES 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
154989.964402462.54609.1814383.11-5390.72-23124.230.861.430.035859.22
278580.764422265.625525.9717246.76-6977.72-30020.280.791.510.0411227.82
390744.5264412364.067463.1529774.21-9358.46-30476.670.81.420.0351417.88
483057.164362856.259374.0529008.8-9086.02-32477.771.031.330.0311297.77
519904.2664293545.3111488.4629513.51-8950.31-45831.241.281.060.0063311
6-53269.3864352954.698829.627459.46-12493.29-52196.050.710.85-0.016-832.33
7-15103.0864382659.389060.7229206.09-13823.47-54614.890.660.96-0.0044-235.99
813105.3864362856.2511297.1627807.49-14056.87-57370.520.81.030.0034204.77
9-12397864352954.6911200.0429654.04-17792.41-64955.540.630.76-0.027-1937.16
10-29331364352954.6911564.534761.12-24071.41-66230.50.480.58-0.057-4583.02
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
atrnil24.42-256573125339226.417815.9229333.19-9179.33-14675.591.940.7-0.046-2052.58
atrtrail33.67-2512651413610525.5312529.7135926.42-6688.9-14194.721.870.64-0.047-1782.02
atrtrail23.33-2752821413610525.5311862.5726696.08-6688.9-14194.721.770.61-0.056-1952.35
atrnil36.66-3811421252210317.625817.740044.11-9214.87-14675.592.80.6-0.061-3049.13
atrtrail-13.85-3373881413610525.5310137.459870.42-6688.9-14194.721.520.52-0.069-2392.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRANULES Performance, Profit Factor:0.696

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018411 Jan 2018 (5.61%), 02 Aug 2018 (-4.71%), 23 Aug 2018 (-3.92%), 07 Sep 2018 (7.31%)
2017503 Feb 2017 (-3.58%), 09 Feb 2017 (7.2%), 27 Mar 2017 (-2.78%), 21 Apr 2017 (5.38%), 17 Oct 2017 (6.87%)
2016325 Apr 2016 (-2.98%), 28 Apr 2016 (-2.87%), 29 Apr 2016 (5.88%)
20151113 Mar 2015 (-3.48%), 16 Mar 2015 (-3.44%), 17 Mar 2015 (7.71%), 16 Jul 2015 (-4.4%), 23 Jul 2015 (-4.31%), 24 Jul 2015 (-4.27%), 27 Jul 2015 (-4.2%), 28 Jul 2015 (8.19%), 19 Aug 2015 (9.47%), 06 Oct 2015 (-5.08%), 09 Oct 2015 (8.98%)
20142621 Jan 2014 (-3.79%), 23 Jan 2014 (-3.74%), 29 Jan 2014 (-4.26%), 04 Feb 2014 (-4.75%), 07 Feb 2014 (-4.96%), 11 Feb 2014 (9.62%), 21 Apr 2014 (-3.69%), 23 Apr 2014 (-3.74%), 25 Apr 2014 (-3.88%), 28 Apr 2014 (-4.05%), 29 Apr 2014 (-4.49%), 06 May 2014 (10.1%), 10 Jun 2014 (8.69%), 20 Jun 2014 (-4.74%), 23 Jun 2014 (-4.63%), 02 Jul 2014 (-4.45%), 03 Jul 2014 (-4.44%), 07 Jul 2014 (-4.64%), 08 Jul 2014 (-5.14%), 16 Jul 2014 (-5.4%), 21 Jul 2014 (10.15%), 21 Aug 2014 (-4.62%), 22 Aug 2014 (-4.54%), 01 Sep 2014 (-4.36%), 08 Sep 2014 (7.73%), 19 Sep 2014 (9.21%)
20131326 Apr 2013 (-5.3%), 29 Apr 2013 (-5.54%), 11 May 2013 (-5.52%), 13 May 2013 (11.12%), 22 Jul 2013 (-4.94%), 08 Oct 2013 (-3.58%), 09 Oct 2013 (-3.56%), 14 Oct 2013 (-3.56%), 23 Oct 2013 (-3.36%), 30 Oct 2013 (-3.85%), 05 Nov 2013 (8.36%), 03 Dec 2013 (-3.76%), 26 Dec 2013 (-4.17%)
20122125 Jan 2012 (-3.48%), 27 Jan 2012 (-3.98%), 21 Feb 2012 (7.98%), 17 Apr 2012 (-4.39%), 24 Apr 2012 (9.74%), 14 Jun 2012 (-4.34%), 15 Jun 2012 (8.84%), 25 Jun 2012 (-5.09%), 27 Jun 2012 (-4.97%), 28 Jun 2012 (-4.82%), 04 Jul 2012 (-4.51%), 13 Jul 2012 (-4.32%), 16 Jul 2012 (-4.46%), 18 Jul 2012 (-4.42%), 24 Aug 2012 (-4.74%), 30 Aug 2012 (-4.97%), 31 Aug 2012 (-4.9%), 03 Sep 2012 (-5.01%), 04 Sep 2012 (-5.11%), 08 Sep 2012 (-5.13%), 10 Sep 2012 (10.28%)
2011207 Apr 2011 (5.51%), 18 Jul 2011 (7.97%)
2010413 Apr 2010 (-3.23%), 16 Apr 2010 (-3.92%), 08 Sep 2010 (6.12%), 11 Oct 2010 (-3.58%)
20091308 Apr 2009 (-5.13%), 15 Apr 2009 (-4.95%), 23 Apr 2009 (-5.81%), 20 May 2009 (-6.22%), 21 May 2009 (-6.5%), 26 May 2009 (-7.34%), 29 May 2009 (-7.1%), 01 Jun 2009 (-6.91%), 02 Jun 2009 (14.67%), 27 Jul 2009 (-5.21%), 12 Aug 2009 (-5.13%), 26 Aug 2009 (-4.66%), 24 Sep 2009 (11.91%)
2008201 Jan 2008 (11.98%), 02 Sep 2008 (10.43%)
20071119 Jan 2007 (-4.64%), 06 Feb 2007 (-4.66%), 07 Feb 2007 (9.05%), 03 Apr 2007 (-5.32%), 19 Apr 2007 (-4.87%), 26 Apr 2007 (-4.79%), 03 May 2007 (-4.84%), 04 May 2007 (-4.74%), 07 May 2007 (9.54%), 14 Dec 2007 (-3.88%), 31 Dec 2007 (-6.01%)
2006516 Jan 2006 (-4.57%), 20 Jan 2006 (9.03%), 22 Aug 2006 (-6.62%), 23 Aug 2006 (-6.73%), 28 Aug 2006 (13.35%)
2005512 Dec 2005 (-3.74%), 14 Dec 2005 (-4.08%), 19 Dec 2005 (-4.23%), 20 Dec 2005 (-4.42%), 22 Dec 2005 (-4.31%)



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