Study: Sell GRASIM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell GRASIM 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 GRASIM 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
1-144380110466441.822779.710258.48-4253.86-24428.040.650.47-0.052-1312.55
2-139660110496144.553767.6116878.68-5315.94-30097.260.710.57-0.038-1269.63
3-134856110545649.094653.0921722.74-6895.04-48523.430.670.65-0.029-1225.96
4-176451110456540.916577.1723576.44-7268.06-61750.660.90.63-0.033-1604.1
5-209600110407036.367678.4430362.71-7381.96-49832.011.040.59-0.038-1905.45
6-204514110466441.827642.6333674.63-8688.67-46896.550.880.63-0.033-1859.22
7-169069110426838.189117.3135991.88-8117.59-46224.581.120.69-0.025-1536.99
8-193150110486243.648927.6739776.61-10027.07-53161.130.890.69-0.026-1755.91
9-149186110525847.279128.9936260.21-10756.78-47970.480.850.76-0.021-1356.24
10-134668110496144.5510500.0142569.04-10642.1-46297.660.990.79-0.017-1224.25
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
atrnil24.93-65531.542246915530.813246.223700.39-6319.48-11954.482.10.93-0.0062-292.55
atrtrail23.73-669702457816731.849444.4323700.39-4812.19-12345.561.960.92-0.007-273.35
atrtrail34.23-1144082437516830.869253.3135550.59-4811.94-12345.561.920.86-0.011-470.82
atrnil37.03-2389092214717421.2718675.2935550.59-6417.52-11954.482.910.79-0.02-1081.04
atrtrail-14.59-2279042427217029.758114.4833008.32-4777.33-12345.561.70.72-0.025-941.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.93. 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 30.8%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GRASIM Performance, Profit Factor:0.933

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Apr 2019 (-2.2%), 25 Apr 2019 (5.17%)
20171125 Jan 2017 (-2.41%), 30 Jan 2017 (5.28%), 10 Feb 2017 (-2.83%), 17 Feb 2017 (-2.62%), 21 Feb 2017 (4.94%), 04 May 2017 (5.45%), 27 Jun 2017 (-2.53%), 30 Jun 2017 (-2.48%), 03 Jul 2017 (-2.55%), 12 Sep 2017 (5.38%), 02 Nov 2017 (5.15%)
20161721 Mar 2016 (-2.23%), 23 Mar 2016 (-2.12%), 31 Mar 2016 (-2.0%), 07 Apr 2016 (-1.83%), 08 Apr 2016 (-1.88%), 13 Apr 2016 (-1.91%), 03 May 2016 (-1.93%), 10 May 2016 (-1.98%), 11 May 2016 (-2.01%), 25 May 2016 (-1.77%), 28 Jun 2016 (-1.57%), 30 Jun 2016 (-1.71%), 14 Jul 2016 (-1.77%), 15 Jul 2016 (-1.77%), 21 Jul 2016 (-1.79%), 01 Aug 2016 (-1.75%), 05 Aug 2016 (3.93%)
2015321 Jan 2015 (-2.27%), 28 Jan 2015 (4.35%), 20 Jul 2015 (3.97%)
2014806 Mar 2014 (-2.35%), 11 Mar 2014 (-2.38%), 31 Mar 2014 (4.42%), 14 May 2014 (-2.56%), 16 May 2014 (-3.1%), 28 May 2014 (-3.36%), 03 Jun 2014 (-3.26%), 09 Jun 2014 (7.27%)
2013217 May 2013 (4.05%), 20 Sep 2013 (8.07%)
20121403 Feb 2012 (-2.54%), 06 Feb 2012 (-2.7%), 17 Feb 2012 (4.84%), 02 Jul 2012 (-3.14%), 31 Jul 2012 (-2.41%), 06 Aug 2012 (-2.2%), 08 Aug 2012 (-2.11%), 09 Aug 2012 (4.22%), 14 Sep 2012 (-1.67%), 21 Sep 2012 (-1.92%), 28 Sep 2012 (-1.93%), 01 Oct 2012 (4.06%), 05 Oct 2012 (-3.12%), 16 Oct 2012 (5.18%)
2011322 Mar 2011 (-2.31%), 01 Apr 2011 (-2.51%), 05 Apr 2011 (-2.45%)
20101505 Jan 2010 (-2.37%), 06 Jan 2010 (-2.48%), 11 Jan 2010 (-2.68%), 14 Jan 2010 (5.28%), 11 Mar 2010 (-2.16%), 17 Mar 2010 (-2.07%), 19 Mar 2010 (4.25%), 17 Aug 2010 (-2.21%), 18 Aug 2010 (-2.24%), 19 Aug 2010 (4.58%), 07 Sep 2010 (-2.54%), 17 Sep 2010 (-2.43%), 04 Oct 2010 (-2.2%), 06 Oct 2010 (4.36%), 09 Nov 2010 (4.3%)
20091006 Jan 2009 (10.05%), 26 Mar 2009 (-3.96%), 24 Apr 2009 (-4.62%), 04 May 2009 (-4.76%), 18 May 2009 (-4.63%), 19 May 2009 (9.44%), 04 Jun 2009 (-4.92%), 05 Jun 2009 (11.0%), 20 Jul 2009 (-4.23%), 27 Jul 2009 (8.37%)
20071426 Apr 2007 (-3.68%), 03 Jul 2007 (-2.94%), 06 Jul 2007 (5.63%), 11 Jul 2007 (-3.54%), 17 Jul 2007 (-3.28%), 19 Jul 2007 (6.33%), 06 Sep 2007 (-3.37%), 13 Sep 2007 (-3.21%), 19 Sep 2007 (-3.2%), 21 Sep 2007 (-3.04%), 28 Sep 2007 (-2.87%), 01 Oct 2007 (-2.96%), 03 Oct 2007 (6.19%), 11 Oct 2007 (7.31%)
20062302 Feb 2006 (-2.99%), 06 Feb 2006 (-2.91%), 13 Feb 2006 (-2.82%), 16 Feb 2006 (5.92%), 28 Feb 2006 (-3.37%), 01 Mar 2006 (-3.34%), 09 Mar 2006 (-3.42%), 20 Mar 2006 (-3.28%), 30 Mar 2006 (-2.81%), 03 Apr 2006 (-2.82%), 07 Apr 2006 (-2.94%), 10 Apr 2006 (5.89%), 19 Apr 2006 (-4.03%), 21 Apr 2006 (-3.89%), 29 Apr 2006 (8.58%), 21 Aug 2006 (-3.03%), 05 Sep 2006 (-2.42%), 14 Sep 2006 (-2.4%), 15 Sep 2006 (-2.47%), 12 Oct 2006 (-2.48%), 13 Oct 2006 (-2.44%), 30 Oct 2006 (-2.36%), 02 Nov 2006 (4.44%)
20051020 Jul 2005 (-2.73%), 03 Aug 2005 (-2.82%), 05 Aug 2005 (-2.75%), 09 Aug 2005 (-2.76%), 10 Aug 2005 (-2.76%), 11 Aug 2005 (-2.86%), 12 Sep 2005 (-2.81%), 15 Sep 2005 (5.66%), 26 Nov 2005 (-3.02%), 01 Dec 2005 (6.44%)
20041102 Jan 2004 (6.21%), 08 Jan 2004 (-3.77%), 09 Jan 2004 (-3.78%), 14 Jan 2004 (8.2%), 01 Sep 2004 (-3.59%), 09 Sep 2004 (-3.2%), 14 Sep 2004 (5.99%), 15 Dec 2004 (-2.51%), 17 Dec 2004 (-2.44%), 20 Dec 2004 (-2.44%), 31 Dec 2004 (-2.32%)
20032522 Jan 2003 (5.79%), 23 Jan 2003 (-3.31%), 26 Feb 2003 (-2.4%), 28 Feb 2003 (4.99%), 29 Apr 2003 (5.99%), 21 May 2003 (-2.68%), 27 May 2003 (4.99%), 02 Jun 2003 (-3.03%), 17 Jun 2003 (-2.77%), 18 Jun 2003 (-3.41%), 19 Jun 2003 (-3.47%), 25 Jun 2003 (-3.78%), 27 Jun 2003 (8.03%), 31 Jul 2003 (-4.1%), 01 Aug 2003 (-4.15%), 05 Aug 2003 (-5.15%), 11 Aug 2003 (-4.63%), 14 Aug 2003 (-4.23%), 09 Oct 2003 (-3.76%), 16 Oct 2003 (-4.23%), 17 Oct 2003 (8.4%), 31 Oct 2003 (-4.53%), 04 Nov 2003 (9.07%), 22 Dec 2003 (-3.32%), 29 Dec 2003 (-3.08%)
2002718 Feb 2002 (6.44%), 07 May 2002 (-2.39%), 09 May 2002 (-2.8%), 13 May 2002 (5.61%), 02 Jul 2002 (-2.26%), 04 Jul 2002 (-2.46%), 09 Jul 2002 (5.27%)
2001522 Jan 2001 (-4.04%), 24 Jan 2001 (7.9%), 29 May 2001 (8.61%), 07 Dec 2001 (-3.65%), 10 Dec 2001 (7.2%)
2000607 Jan 2000 (-5.42%), 27 Nov 2000 (-4.83%), 28 Nov 2000 (-4.83%), 04 Dec 2000 (-5.46%), 12 Dec 2000 (-5.2%), 13 Dec 2000 (9.97%)
19992207 Jan 1999 (-4.03%), 08 Jan 1999 (7.87%), 13 May 1999 (-5.62%), 14 May 1999 (10.92%), 20 May 1999 (11.85%), 09 Jun 1999 (-5.81%), 10 Jun 1999 (-5.76%), 11 Jun 1999 (-5.51%), 14 Jun 1999 (-5.86%), 18 Jun 1999 (-5.98%), 22 Jun 1999 (11.78%), 06 Jul 1999 (-5.17%), 07 Jul 1999 (-4.97%), 08 Jul 1999 (-4.87%), 09 Jul 1999 (-4.72%), 12 Jul 1999 (-4.58%), 13 Jul 1999 (9.17%), 14 Jul 1999 (10.34%), 17 Aug 1999 (-5.58%), 18 Aug 1999 (-5.4%), 27 Aug 1999 (11.55%), 17 Sep 1999 (11.01%)
1998501 Apr 1998 (-3.08%), 06 Apr 1998 (-3.04%), 09 Apr 1998 (6.52%), 22 Apr 1998 (-3.93%), 23 Apr 1998 (8.14%)
1997615 Jan 1997 (5.49%), 26 Jun 1997 (3.44%), 07 Jul 1997 (4.45%), 23 Dec 1997 (-1.85%), 24 Dec 1997 (-2.29%), 29 Dec 1997 (5.44%)
1996313 Feb 1996 (-3.46%), 14 Feb 1996 (-3.42%), 26 Feb 1996 (6.02%)
1995231 May 1995 (-2.13%), 01 Jun 1995 (4.6%)



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