Study: Sell HDFCBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HDFCBANK 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 HDFCBANK 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
1-64191.13113585551.332868.9211464.97-4192.52-16065.070.680.72-0.023-568.06
2-25271.33113605353.13844.9316966.21-4829.57-31352.360.80.9-0.0069-223.64
3-72711.04113625154.873558.9514875.37-5752.28-48198.410.620.75-0.017-643.46
4-172379113585551.334011.313798.6-7364.27-68132.90.540.57-0.032-1525.48
5-132375113555848.675239.1618464.61-7250.49-89658.40.720.69-0.021-1171.46
6-98098.38113575650.445693.5322937.06-7546.96-86663.550.750.77-0.015-868.13
7-137613113575650.445779.918601.4-8340.5-79082.830.690.71-0.023-1217.82
8-121930113595452.216320.8928951.05-9164.12-99672.440.690.75-0.017-1079.03
9-166371113555848.676807.6427552.45-9324-93869.910.730.69-0.023-1472.31
10-140504113526146.027852.2626480.56-8997.07-90968.650.870.74-0.019-1243.4
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
atrnil24.75-81052.012096414530.6211315.922095.98-5553.58-12393.392.040.9-0.0095-387.81
atrtrail23.56-84403.052337915433.917195.5222095.98-4239.28-11259.281.70.87-0.011-362.24
atrnil37.69-1482802064216420.3917825.2633143.98-5469.15-12393.393.260.83-0.015-719.81
atrtrail33.92-1327712337815533.486673.2431367.23-4214.73-11259.281.580.8-0.016-569.83
atrtrail-14.16-2200682327715533.195652.9332086.34-4228.02-11259.281.340.66-0.03-948.57

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 30.62%, which is not acceptable. Avoid this strategy. Average return per trade is -0.19%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDFCBANK Performance, Profit Factor:0.899

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019613 Mar 2019 (-1.48%), 15 Mar 2019 (-1.48%), 18 Mar 2019 (-1.51%), 20 Mar 2019 (2.95%), 20 May 2019 (3.32%), 23 Sep 2019 (4.99%)
2018819 Jan 2018 (-1.37%), 22 Jan 2018 (-1.4%), 29 Jan 2018 (2.71%), 15 May 2018 (2.79%), 31 May 2018 (3.4%), 13 Jul 2018 (-1.36%), 28 Nov 2018 (-1.64%), 29 Nov 2018 (3.32%)
20172424 Jan 2017 (-1.33%), 25 Jan 2017 (-1.37%), 01 Feb 2017 (-1.36%), 15 Feb 2017 (-1.26%), 17 Feb 2017 (-1.76%), 20 Feb 2017 (-1.88%), 20 Mar 2017 (-1.31%), 30 Mar 2017 (2.7%), 21 Apr 2017 (-1.32%), 24 Apr 2017 (2.8%), 26 Apr 2017 (-1.65%), 22 May 2017 (-1.28%), 25 May 2017 (-1.4%), 29 May 2017 (-1.45%), 08 Jun 2017 (-1.26%), 09 Jun 2017 (-1.28%), 13 Jun 2017 (-1.29%), 21 Jun 2017 (2.45%), 20 Jul 2017 (-1.26%), 24 Jul 2017 (-1.32%), 25 Jul 2017 (-1.33%), 27 Jul 2017 (2.8%), 12 Sep 2017 (-1.29%), 18 Sep 2017 (2.43%)
2016420 Apr 2016 (-1.61%), 27 Apr 2016 (-1.56%), 26 May 2016 (3.26%), 25 Jul 2016 (-1.41%)
2015520 Jan 2015 (-1.76%), 23 Jan 2015 (-1.74%), 27 Jan 2015 (-1.81%), 29 Jan 2015 (4.07%), 16 Jul 2015 (3.55%)
2014607 Mar 2014 (-2.07%), 10 Mar 2014 (-2.22%), 24 Mar 2014 (4.07%), 12 May 2014 (-2.2%), 16 May 2014 (-2.69%), 19 May 2014 (5.48%)
2013122 Apr 2013 (-2.25%)
20121420 Jan 2012 (-2.47%), 03 Feb 2012 (-2.53%), 09 Feb 2012 (-2.55%), 21 Feb 2012 (4.92%), 19 Apr 2012 (4.56%), 03 Jul 2012 (-2.27%), 06 Jul 2012 (-2.09%), 11 Jul 2012 (-2.06%), 14 Sep 2012 (-1.52%), 21 Sep 2012 (-1.69%), 24 Sep 2012 (3.41%), 22 Nov 2012 (-1.53%), 27 Nov 2012 (-1.69%), 29 Nov 2012 (3.63%)
2011530 Mar 2011 (-2.33%), 04 Apr 2011 (4.76%), 29 Jun 2011 (-1.84%), 01 Jul 2011 (-1.91%), 05 Jul 2011 (-1.83%)
20101503 Mar 2010 (-2.29%), 10 Mar 2010 (-2.35%), 23 Mar 2010 (-2.19%), 25 Mar 2010 (-2.21%), 29 Mar 2010 (6.72%), 14 Jul 2010 (-2.02%), 02 Aug 2010 (3.64%), 18 Aug 2010 (-1.99%), 19 Aug 2010 (3.98%), 13 Sep 2010 (-1.94%), 14 Sep 2010 (-1.97%), 15 Sep 2010 (-1.94%), 17 Sep 2010 (-1.94%), 20 Sep 2010 (-1.98%), 24 Sep 2010 (4.0%)
20091426 Mar 2009 (8.41%), 06 Apr 2009 (-4.31%), 13 Apr 2009 (-4.53%), 04 May 2009 (-4.44%), 18 May 2009 (-5.2%), 19 May 2009 (-6.2%), 10 Jun 2009 (-4.8%), 12 Jun 2009 (9.31%), 23 Sep 2009 (-2.32%), 24 Sep 2009 (-2.48%), 01 Oct 2009 (-2.49%), 07 Oct 2009 (-2.51%), 14 Oct 2009 (5.07%), 25 Nov 2009 (5.3%)
2007921 May 2007 (-3.23%), 13 Jul 2007 (5.64%), 19 Sep 2007 (-3.28%), 25 Sep 2007 (-3.05%), 27 Sep 2007 (-3.17%), 15 Oct 2007 (6.51%), 29 Oct 2007 (-4.68%), 01 Nov 2007 (-4.71%), 02 Nov 2007 (9.63%)
2006804 Apr 2006 (-3.29%), 01 Sep 2006 (5.47%), 28 Sep 2006 (-2.72%), 11 Oct 2006 (-2.55%), 13 Oct 2006 (-2.57%), 16 Oct 2006 (5.55%), 14 Nov 2006 (-2.73%), 16 Nov 2006 (5.48%)
20051003 Feb 2005 (-3.76%), 08 Mar 2005 (5.53%), 07 Jun 2005 (-2.87%), 17 Jun 2005 (-2.72%), 30 Jun 2005 (5.85%), 06 Jul 2005 (-3.8%), 26 Jul 2005 (-3.76%), 27 Jul 2005 (-3.85%), 19 Sep 2005 (-2.79%), 20 Sep 2005 (5.73%)
2004815 Jan 2004 (-3.44%), 21 Sep 2004 (-2.69%), 08 Nov 2004 (-2.19%), 10 Nov 2004 (-2.29%), 16 Nov 2004 (-2.33%), 25 Nov 2004 (4.64%), 29 Nov 2004 (6.47%), 28 Dec 2004 (5.29%)
20031221 Jan 2003 (-2.39%), 22 Jan 2003 (5.12%), 07 Feb 2003 (-3.2%), 03 Jul 2003 (-3.46%), 11 Jul 2003 (7.36%), 06 Oct 2003 (-3.26%), 09 Oct 2003 (-3.27%), 03 Dec 2003 (-2.99%), 10 Dec 2003 (-3.11%), 11 Dec 2003 (-3.09%), 12 Dec 2003 (-3.19%), 29 Dec 2003 (6.12%)
2002515 Jan 2002 (-3.07%), 18 Feb 2002 (6.09%), 17 Sep 2002 (3.42%), 17 Dec 2002 (-2.85%), 20 Dec 2002 (-2.78%)
2001219 Jan 2001 (-3.02%), 05 Feb 2001 (-3.17%)
2000824 Jan 2000 (-5.45%), 25 Jan 2000 (-5.26%), 27 Jan 2000 (-5.15%), 31 Jan 2000 (-5.09%), 02 Feb 2000 (10.28%), 07 Feb 2000 (-5.63%), 09 Feb 2000 (11.05%), 04 Jul 2000 (8.15%)
19992007 Jan 1999 (-3.46%), 08 Jan 1999 (-3.56%), 13 Jan 1999 (7.69%), 31 Mar 1999 (10.09%), 10 May 1999 (-4.43%), 13 Jul 1999 (-3.71%), 14 Jul 1999 (7.55%), 24 Aug 1999 (7.8%), 08 Sep 1999 (-3.94%), 09 Sep 1999 (7.84%), 29 Nov 1999 (-3.9%), 30 Nov 1999 (-3.88%), 01 Dec 1999 (-4.04%), 02 Dec 1999 (-4.03%), 03 Dec 1999 (-4.0%), 06 Dec 1999 (-3.97%), 07 Dec 1999 (-4.52%), 09 Dec 1999 (-5.15%), 16 Dec 1999 (-5.2%), 17 Dec 1999 (10.46%)
1998121 Sep 1998 (7.35%)
19971708 Jan 1997 (-3.03%), 10 Jan 1997 (-3.03%), 13 Jan 1997 (-3.32%), 15 Jan 1997 (-3.38%), 01 Mar 1997 (-3.33%), 03 Mar 1997 (-3.51%), 05 Mar 1997 (7.23%), 08 May 1997 (-2.98%), 09 May 1997 (6.55%), 09 Jul 1997 (-2.67%), 10 Jul 1997 (-2.81%), 22 Jul 1997 (-2.83%), 23 Jul 1997 (-2.83%), 05 Aug 1997 (4.59%), 20 Oct 1997 (-3.69%), 21 Oct 1997 (7.7%), 23 Dec 1997 (-3.14%)
1996712 Feb 1996 (-4.66%), 14 Feb 1996 (9.94%), 19 Apr 1996 (-3.85%), 13 Jun 1996 (-2.99%), 14 Jun 1996 (6.36%), 23 Oct 1996 (6.8%), 26 Dec 1996 (-2.52%)



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