Study: Sell HCC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HCC 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 HCC 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
1-72397.4744212347.734781.4610731.71-7513.4-38545.450.640.58-0.052-1645.4
2-96496.8944242054.557618.9818949.54-13967.62-74802.110.550.65-0.036-2193.11
3-13572444242054.557279.8817817.37-15522.06-55013.190.470.56-0.056-3084.64
4-22517144232152.278197.1321761.27-19700.25-69525.070.420.46-0.071-5117.53
5-27659644202445.4511134.4525796.72-20803.56-80343.010.540.45-0.076-6286.28
6-27805644212347.7312648.2731944.18-23637.79-91581.110.540.49-0.069-6319.45
7-36611344202445.4513448.0927171.49-26461.45-1080080.510.42-0.081-8320.75
8-33386044242054.5511159.3434191.56-30084.19-1117040.370.45-0.072-7587.72
9-3200814422225013673.0642430.48-28222.18-1118730.480.48-0.067-7274.56
10-37304344202445.4515142.0843460.35-28161.87-1242740.540.45-0.076-8478.25
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
atrtrail23.01-145433108317728.716286.632020.96-8445.68-16988.411.930.78-0.031-1346.6
atrnil24-206638101297228.7119823.7832020.96-10854.55-17273.791.830.74-0.041-2045.92
atrnil35.81-33277596177917.7129777.0446246.3-10620.05-17273.792.80.6-0.063-3466.4
atrtrail33.51-259407106297727.3613335.3335163.26-8391.32-16988.411.590.6-0.059-2447.24
atrtrail-13.9-288295106297727.3612339.251929.78-8391.32-16988.411.470.55-0.069-2719.77

In the table above, row 1 shows the best exit criterion. Profit factor is 0.78. 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 28.7%, which is not acceptable. Avoid this strategy. Average return per trade is -0.67%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCC Performance, Profit Factor:0.776

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018220 Aug 2018 (-6.49%), 21 Aug 2018 (12.87%)
2017524 Apr 2017 (-3.75%), 25 Apr 2017 (7.42%), 25 Oct 2017 (-3.78%), 27 Oct 2017 (7.71%), 22 Dec 2017 (-0.55%)
20161227 Apr 2016 (6.49%), 05 Jul 2016 (-1.39%), 12 Jul 2016 (-3.92%), 13 Jul 2016 (1.97%), 31 Aug 2016 (-4.27%), 01 Sep 2016 (-4.52%), 02 Sep 2016 (-4.89%), 06 Sep 2016 (-0.67%), 08 Sep 2016 (-5.53%), 09 Sep 2016 (-5.69%), 14 Sep 2016 (11.72%), 01 Dec 2016 (-0.61%)
2015930 Jan 2015 (-4.71%), 02 Feb 2015 (10.15%), 05 Oct 2015 (9.72%), 07 Oct 2015 (-3.33%), 12 Oct 2015 (-5.37%), 14 Oct 2015 (-3.55%), 20 Oct 2015 (-4.77%), 21 Oct 2015 (-0.64%), 30 Oct 2015 (10.87%)
20142306 Mar 2014 (-3.92%), 07 Mar 2014 (-4.32%), 10 Mar 2014 (1.92%), 22 Mar 2014 (-1.67%), 28 Mar 2014 (-3.95%), 31 Mar 2014 (-3.92%), 01 Apr 2014 (-2.4%), 09 Apr 2014 (-4.2%), 10 Apr 2014 (1.08%), 21 Apr 2014 (-2.52%), 13 May 2014 (-5.19%), 14 May 2014 (-1.77%), 16 May 2014 (-5.93%), 19 May 2014 (-5.79%), 20 May 2014 (-6.09%), 21 May 2014 (-6.21%), 22 May 2014 (-6.13%), 23 May 2014 (12.44%), 02 Jun 2014 (-7.03%), 05 Jun 2014 (-6.22%), 09 Jun 2014 (-5.73%), 10 Jun 2014 (-0.06%), 30 Jun 2014 (-0.54%)
2013703 Jan 2013 (0.13%), 22 Oct 2013 (-2.53%), 25 Oct 2013 (-2.53%), 30 Oct 2013 (-5.56%), 31 Oct 2013 (-4.84%), 05 Nov 2013 (11.26%), 26 Dec 2013 (-0.42%)
2012625 Jan 2012 (0.59%), 09 Feb 2012 (-4.89%), 14 Feb 2012 (-5.6%), 16 Feb 2012 (-5.43%), 17 Feb 2012 (10.91%), 06 Dec 2012 (7.6%)
2011107 Apr 2011 (7.4%)
2010320 Jul 2010 (-3.18%), 22 Jul 2010 (6.15%), 03 Aug 2010 (-2.45%)
20091606 Apr 2009 (-6.3%), 08 Apr 2009 (-6.43%), 15 Apr 2009 (-6.48%), 16 Apr 2009 (-7.77%), 20 Apr 2009 (16.01%), 18 May 2009 (-7.6%), 19 May 2009 (-8.37%), 20 May 2009 (-0.87%), 25 May 2009 (-4.43%), 28 May 2009 (-7.71%), 29 May 2009 (-5.43%), 04 Jun 2009 (14.36%), 18 Sep 2009 (-3.24%), 23 Sep 2009 (-4.54%), 25 Sep 2009 (9.22%), 14 Oct 2009 (9.33%)
2008102 Jan 2008 (11.27%)
20071621 Jun 2007 (-3.5%), 26 Jun 2007 (0.02%), 28 Jun 2007 (-3.86%), 29 Jun 2007 (-3.77%), 03 Jul 2007 (8.51%), 24 Jul 2007 (-4.1%), 25 Jul 2007 (8.32%), 24 Sep 2007 (8.05%), 04 Oct 2007 (-3.91%), 11 Oct 2007 (-1.19%), 16 Oct 2007 (14.2%), 17 Oct 2007 (-7.85%), 18 Oct 2007 (-3.57%), 24 Oct 2007 (-8.49%), 26 Oct 2007 (-8.01%), 29 Oct 2007 (5.72%)
2006706 Oct 2006 (-0.97%), 27 Oct 2006 (-2.95%), 06 Nov 2006 (-4.49%), 09 Nov 2006 (-4.58%), 24 Nov 2006 (-0.66%), 04 Dec 2006 (-4.62%), 05 Dec 2006 (9.03%)



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