Study: Sell GSFC when RSI is overbought

home > technical-strategy > gsfc > 61

In this study, we evaluate the performance of strategy "Sell GSFC 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 GSFC 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
1-84090.4688424647.735288.8524121.01-6657-25547.450.790.73-0.025-955.57
2-12485788484054.55655833360.59-10991.04-64233.580.60.72-0.021-1418.84
3-55257.4988454351.148759.5534178.25-10452.03-36496.350.840.88-0.01-627.93
4-10107288454351.149520.0835895.34-12313.4-490000.770.81-0.017-1148.55
5-16662088424647.7311509.2239493.05-14130.59-800000.810.74-0.023-1893.41
6-19820588424647.7312463.8737857.73-15688.86-775000.790.73-0.025-2252.33
7-33621988414746.5912569.0840801.31-18118.12-580000.690.61-0.041-3820.68
8-32753588404845.4513505.3949454.55-18078.14-620000.750.62-0.038-3721.99
9-35152788404845.4514928.3652363.64-19763.79-825000.760.63-0.035-3994.63
10-17879688513757.9513215.6450040.88-23048.48-710000.570.79-0.018-2031.78
Although, strategy looks good but profit factor on day 2 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
atrnil23.49-1833522156515030.2318618.5233797.55-9290.37-16865.2720.87-0.013-852.8
atrtrail22.72-1786122347316131.214068.4133797.55-7488.23-15426.751.880.85-0.014-763.3
atrnil35.71-2334512074516221.7427909.7950696.33-9193.77-15493.983.040.84-0.015-1127.78
atrtrail33.23-3333142327216031.0312029.6348951.56-7496.54-15426.751.60.72-0.026-1436.7
atrtrail-13.73-4048792327116130.611246.4247613.56-7474.38-15426.751.50.66-0.033-1745.17

In the table above, row 1 shows the best exit criterion. Profit factor is 0.87. 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 30.23%, which is not acceptable. Avoid this strategy. Average return per trade is -0.43%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
GSFC Performance, Profit Factor:0.868

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018102 Nov 2018 (9.13%)
2017905 Jan 2017 (-3.78%), 10 Jan 2017 (-3.98%), 11 Jan 2017 (-3.98%), 18 Jan 2017 (7.47%), 04 May 2017 (-4.0%), 10 May 2017 (7.81%), 25 Oct 2017 (-3.6%), 27 Oct 2017 (-3.52%), 31 Oct 2017 (6.94%)
20161304 Jan 2016 (5.76%), 20 Apr 2016 (-3.34%), 02 May 2016 (-3.28%), 11 May 2016 (-3.28%), 12 May 2016 (-3.24%), 13 May 2016 (6.41%), 24 Aug 2016 (5.14%), 04 Oct 2016 (-4.02%), 05 Oct 2016 (-4.04%), 07 Oct 2016 (-4.25%), 19 Oct 2016 (-4.29%), 24 Oct 2016 (-4.11%), 01 Nov 2016 (8.8%)
2015123 Jan 2015 (8.29%)
20141824 Mar 2014 (-3.89%), 26 Mar 2014 (-4.1%), 14 May 2014 (-4.3%), 15 May 2014 (-4.33%), 16 May 2014 (-4.7%), 19 May 2014 (-4.53%), 20 May 2014 (-4.56%), 21 May 2014 (9.14%), 03 Jun 2014 (-4.5%), 04 Jun 2014 (8.81%), 01 Jul 2014 (-4.38%), 02 Jul 2014 (8.72%), 11 Sep 2014 (-4.65%), 12 Sep 2014 (-5.21%), 15 Sep 2014 (11.06%), 18 Sep 2014 (-6.78%), 22 Sep 2014 (-6.29%), 08 Oct 2014 (12.06%)
2013201 Nov 2013 (-4.24%), 06 Nov 2013 (8.29%)
2012420 Sep 2012 (-6.35%), 21 Sep 2012 (12.17%), 09 Oct 2012 (-5.63%), 11 Oct 2012 (10.49%)
20111007 Apr 2011 (6.91%), 22 Jul 2011 (-2.44%), 26 Jul 2011 (-2.35%), 27 Jul 2011 (-2.54%), 29 Jul 2011 (5.13%), 06 Sep 2011 (-3.28%), 19 Sep 2011 (-3.39%), 20 Sep 2011 (6.67%), 01 Nov 2011 (-3.15%), 04 Nov 2011 (5.93%)
20101704 Jan 2010 (-4.47%), 05 Jan 2010 (-4.56%), 19 Jan 2010 (-5.11%), 20 Jan 2010 (10.58%), 07 Apr 2010 (-3.5%), 08 Apr 2010 (-3.62%), 12 Apr 2010 (-3.6%), 15 Apr 2010 (6.77%), 16 Apr 2010 (7.82%), 02 Jul 2010 (-3.97%), 05 Jul 2010 (-3.85%), 12 Jul 2010 (-4.07%), 02 Aug 2010 (7.59%), 14 Oct 2010 (-4.06%), 21 Oct 2010 (-4.88%), 25 Oct 2010 (9.67%), 09 Nov 2010 (9.23%)
20092201 Apr 2009 (-3.78%), 02 Apr 2009 (-3.78%), 06 Apr 2009 (-3.79%), 09 Apr 2009 (-4.15%), 13 Apr 2009 (-4.05%), 15 Apr 2009 (-4.62%), 04 May 2009 (-5.28%), 06 May 2009 (-5.41%), 18 May 2009 (-5.33%), 19 May 2009 (-6.15%), 20 May 2009 (-6.04%), 25 May 2009 (-5.65%), 27 May 2009 (-5.45%), 29 May 2009 (-5.15%), 02 Jun 2009 (-4.79%), 03 Jun 2009 (-4.7%), 05 Jun 2009 (10.07%), 10 Jun 2009 (-5.85%), 16 Jun 2009 (11.34%), 07 Sep 2009 (8.64%), 20 Oct 2009 (9.06%), 30 Dec 2009 (-4.6%)
2008101 Jan 2008 (13.37%)
20071309 Feb 2007 (-3.59%), 12 Feb 2007 (-3.9%), 16 Jul 2007 (-3.89%), 18 Jul 2007 (-3.94%), 19 Jul 2007 (-3.87%), 24 Jul 2007 (-4.23%), 26 Jul 2007 (-4.82%), 30 Jul 2007 (-5.01%), 31 Jul 2007 (10.52%), 07 Nov 2007 (-5.4%), 14 Nov 2007 (-5.19%), 19 Nov 2007 (10.22%), 31 Dec 2007 (-6.72%)
20061216 Jan 2006 (-3.98%), 20 Jan 2006 (-3.86%), 24 Jan 2006 (-4.12%), 30 Jan 2006 (9.06%), 20 Apr 2006 (8.36%), 02 May 2006 (-5.14%), 08 May 2006 (9.1%), 11 May 2006 (-5.09%), 15 May 2006 (10.02%), 07 Nov 2006 (-3.08%), 08 Nov 2006 (-3.08%), 10 Nov 2006 (7.29%)
2005431 Jan 2005 (-5.51%), 04 Feb 2005 (-4.88%), 07 Feb 2005 (-4.85%), 18 Aug 2005 (8.77%)
20041402 Jan 2004 (12.31%), 09 Jan 2004 (-7.47%), 13 Jan 2004 (16.32%), 17 Apr 2004 (-5.48%), 21 Apr 2004 (11.24%), 01 Sep 2004 (-5.05%), 02 Sep 2004 (-5.19%), 03 Sep 2004 (10.15%), 24 Sep 2004 (10.33%), 18 Nov 2004 (-3.59%), 22 Nov 2004 (-4.19%), 13 Dec 2004 (-4.17%), 14 Dec 2004 (-4.47%), 21 Dec 2004 (-4.93%)
20031715 May 2003 (-4.61%), 16 May 2003 (-4.65%), 19 May 2003 (-4.96%), 22 May 2003 (-4.78%), 23 May 2003 (-4.75%), 26 May 2003 (-4.93%), 09 Jun 2003 (-5.02%), 25 Jun 2003 (-5.65%), 04 Jul 2003 (-7.1%), 07 Jul 2003 (13.98%), 10 Nov 2003 (-6.01%), 11 Nov 2003 (12.55%), 27 Nov 2003 (-6.52%), 08 Dec 2003 (-6.44%), 10 Dec 2003 (-6.41%), 22 Dec 2003 (-5.55%), 23 Dec 2003 (-5.77%)
20021814 Feb 2002 (-5.57%), 15 Feb 2002 (-5.6%), 18 Feb 2002 (11.25%), 21 Mar 2002 (-6.96%), 22 Mar 2002 (-7.12%), 26 Mar 2002 (-6.85%), 01 Apr 2002 (-7.75%), 09 Apr 2002 (16.9%), 13 Jun 2002 (-7.32%), 14 Jun 2002 (-7.27%), 17 Jun 2002 (14.05%), 18 Jun 2002 (-8.43%), 03 Dec 2002 (-4.96%), 06 Dec 2002 (-5.6%), 09 Dec 2002 (-6.04%), 12 Dec 2002 (-5.45%), 13 Dec 2002 (-5.57%), 16 Dec 2002 (11.18%)
2001209 Feb 2001 (-4.35%), 12 Feb 2001 (-4.44%)
2000305 Dec 2000 (-5.48%), 08 Dec 2000 (-5.69%), 11 Dec 2000 (10.92%)
1999604 Jan 1999 (7.37%), 18 May 1999 (-5.27%), 19 May 1999 (10.13%), 12 Jul 1999 (10.46%), 17 Dec 1999 (-3.93%), 20 Dec 1999 (8.9%)
19981101 Jan 1998 (-2.73%), 02 Jan 1998 (-2.83%), 05 Jan 1998 (5.7%), 02 Mar 1998 (5.31%), 25 Mar 1998 (6.94%), 06 Apr 1998 (-4.41%), 09 Apr 1998 (-4.9%), 10 Apr 1998 (-5.05%), 15 Apr 1998 (10.24%), 30 Dec 1998 (-3.22%), 31 Dec 1998 (-3.52%)
19971302 Jan 1997 (-3.39%), 08 Jan 1997 (-3.02%), 10 Jan 1997 (-3.08%), 13 Jan 1997 (-3.12%), 14 Jan 1997 (-3.18%), 15 Jan 1997 (-3.26%), 16 Jan 1997 (8.33%), 01 Jul 1997 (-3.5%), 02 Jul 1997 (7.32%), 30 Jul 1997 (-4.25%), 06 Aug 1997 (-4.52%), 07 Aug 1997 (9.42%), 31 Dec 1997 (-2.73%)
1996422 Apr 1996 (6.8%), 24 Apr 1996 (-3.87%), 25 Apr 1996 (-4.14%), 26 Apr 1996 (8.4%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play