Study: Sell HCLTECH when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HCLTECH 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 HCLTECH 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
1-30692.39643232502778.927519.6-3738.05-16264.850.740.74-0.025-479.57
2-52814.4364273742.194952.5615058.82-5041.45-15897.980.980.72-0.029-825.23
3-13132.6864333151.564883.5320920.39-5622.23-15421.690.870.92-0.0066-205.2
428334.88643232506939.1524600.5-6053.69-25132.211.151.150.011442.73
537908.4764303446.888344.0333169.47-6247.42-18188.921.341.180.014592.32
620334.464303446.888162.5540584.46-6604.18-22609.181.241.090.0071317.72
758851.7664283643.7510763.4347548.82-6736.78-22284.791.61.240.017919.56
81203876432325010886.8153707.5-7124.72-24265.641.531.530.0331881.05
919447164313348.4414989.59105119-8188.07-38612.181.831.720.0363038.61
1021337364293545.3117695.19105094-8565.38-38910.172.071.710.0383333.95
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
atrtrail23.6689269.99128468235.9410869.5927389.66-5008.92-13913.132.171.220.017697.42
atrnil24.7873945.08114397534.2114510.7927389.66-6559.68-14684.82.211.150.013648.64
atrtrail-14.8923130.17128458335.169717.1854051.84-4989.67-13913.131.951.060.0039180.7
atrtrail34.243193.52128458335.169274.1440334.39-4989.67-13913.131.861.010.0006124.95
atrnil36.73-95836.47112258722.3219781.340746.44-6785.85-14684.82.920.84-0.016-855.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 35.94%, which is not acceptable. Avoid this strategy. Average return per trade is 0.35%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HCLTECH Performance, Profit Factor:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Feb 2019 (-2.36%), 07 Feb 2019 (0.0%), 30 Apr 2019 (4.89%)
20181018 Jan 2018 (-2.04%), 22 Jan 2018 (-2.1%), 23 Jan 2018 (-2.13%), 24 Jan 2018 (0.79%), 20 Apr 2018 (-2.71%), 23 Apr 2018 (1.16%), 11 Jul 2018 (-2.11%), 12 Jul 2018 (1.2%), 04 Sep 2018 (-1.71%), 25 Sep 2018 (3.64%)
2017213 Oct 2017 (-1.24%), 23 Oct 2017 (3.44%)
2016202 Aug 2016 (-2.05%), 03 Aug 2016 (-1.1%)
2015630 Jan 2015 (-3.24%), 02 Feb 2015 (-3.26%), 05 Feb 2015 (-1.14%), 13 Feb 2015 (-2.34%), 18 Feb 2015 (0.36%), 05 Mar 2015 (-1.36%)
20141209 Jan 2014 (-2.22%), 10 Jan 2014 (-2.31%), 13 Jan 2014 (-0.68%), 16 Jan 2014 (-1.61%), 20 Jan 2014 (-1.16%), 31 Jan 2014 (4.78%), 12 Feb 2014 (-1.15%), 21 Feb 2014 (-1.86%), 26 Feb 2014 (4.6%), 28 Jul 2014 (4.6%), 23 Sep 2014 (-1.05%), 01 Oct 2014 (-2.05%)
20131714 Jan 2013 (-0.82%), 17 Jan 2013 (4.88%), 07 Mar 2013 (-2.32%), 14 Mar 2013 (0.99%), 10 Jul 2013 (-2.43%), 12 Jul 2013 (-2.37%), 16 Jul 2013 (-0.27%), 19 Jul 2013 (-2.3%), 25 Jul 2013 (-1.69%), 31 Jul 2013 (-1.88%), 05 Aug 2013 (5.14%), 29 Aug 2013 (-3.2%), 04 Sep 2013 (-0.96%), 10 Sep 2013 (6.48%), 16 Dec 2013 (-1.16%), 19 Dec 2013 (-2.52%), 30 Dec 2013 (-2.27%)
20121602 Feb 2012 (-1.25%), 06 Feb 2012 (-2.38%), 16 Feb 2012 (-2.32%), 17 Feb 2012 (0.02%), 07 Mar 2012 (-2.57%), 09 Mar 2012 (-2.22%), 14 Mar 2012 (5.29%), 07 Aug 2012 (-2.04%), 13 Aug 2012 (-1.86%), 16 Aug 2012 (0.72%), 06 Sep 2012 (-1.97%), 07 Sep 2012 (-1.29%), 12 Sep 2012 (-1.78%), 14 Sep 2012 (0.58%), 27 Nov 2012 (-1.35%), 30 Nov 2012 (4.26%)
2011205 Jan 2011 (-2.36%), 19 Jan 2011 (1.5%)
2010405 May 2010 (1.62%), 04 Aug 2010 (-2.78%), 05 Aug 2010 (0.52%), 21 Dec 2010 (-2.6%)
20091408 Apr 2009 (-4.48%), 13 Apr 2009 (-1.96%), 20 Apr 2009 (13.69%), 04 May 2009 (2.7%), 09 Jun 2009 (-6.93%), 10 Jun 2009 (-3.24%), 16 Jun 2009 (13.44%), 20 Jul 2009 (1.01%), 28 Jul 2009 (-4.06%), 03 Aug 2009 (-2.15%), 13 Aug 2009 (11.5%), 25 Aug 2009 (-2.36%), 17 Sep 2009 (-1.32%), 24 Sep 2009 (8.67%)
2006716 Jan 2006 (-2.11%), 19 Jan 2006 (-3.8%), 20 Jan 2006 (-0.78%), 25 Jan 2006 (-3.67%), 17 Oct 2006 (6.71%), 23 Oct 2006 (-3.61%), 27 Oct 2006 (7.01%)
2005421 Jun 2005 (-0.3%), 02 Aug 2005 (-3.25%), 03 Aug 2005 (1.42%), 16 Aug 2005 (-0.68%)
2004901 Jan 2004 (-3.6%), 05 Jan 2004 (6.92%), 24 May 2004 (12.27%), 14 Sep 2004 (-2.23%), 16 Sep 2004 (-1.05%), 21 Sep 2004 (1.97%), 01 Oct 2004 (-2.46%), 08 Oct 2004 (-2.22%), 14 Oct 2004 (5.83%)
20031010 Jul 2003 (9.09%), 02 Sep 2003 (-2.98%), 04 Sep 2003 (-4.8%), 08 Sep 2003 (9.16%), 03 Nov 2003 (-4.4%), 04 Nov 2003 (-4.47%), 05 Nov 2003 (0.71%), 12 Nov 2003 (9.37%), 25 Nov 2003 (-4.75%), 01 Dec 2003 (9.64%)
2002204 Jan 2002 (-6.96%), 08 Jan 2002 (12.78%)
2001422 Nov 2001 (-6.41%), 26 Nov 2001 (11.98%), 05 Dec 2001 (-6.25%), 06 Dec 2001 (12.81%)
2000431 Aug 2000 (-5.16%), 04 Sep 2000 (10.13%), 12 Dec 2000 (-4.99%), 13 Dec 2000 (9.75%)



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