Study: Sell HDIL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HDIL 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 HDIL 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
1-13040031121938.714382.2512574.45-9630.92-28082.90.460.29-0.14-4206.47
2-20655531102132.265512.3710978.04-12460.9-48962.880.440.21-0.16-6663.07
3-2857643192229.037521.7115395.71-16066.33-1121180.470.19-0.13-9218.19
4-32940131102132.2610672.6730664.06-20767.98-1240720.510.24-0.12-10625.84
5-34341231102132.2618226.8167771.15-25032.4-1275110.730.35-0.1-11077.82
6-34880931112035.4818812.2875951.7-27787.19-1346620.680.37-0.098-11251.89
7-43217231112035.4813635.852845.89-29108.27-1205790.470.26-0.13-13941.02
8-40721231131841.9412328.4359723.14-31526.74-89861.50.390.28-0.12-13135.86
9-46481331131841.9411511.7941160.44-34137-1074240.340.24-0.14-14993.96
10-42049931121938.7114597.1652411.46-31350.78-1008190.470.29-0.13-13564.48
Although, strategy looks good but profit factor on day 3 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
atrtrail22.33-34347396227422.9214921.9535148.63-9077.78-18833.711.640.49-0.097-3577.84
atrnil33.73-43529489127713.4830726.5252722.94-10441.72-18833.712.940.46-0.1-4890.94
atrtrail32.61-37355296227422.9213554.752722.94-9077.78-18833.711.490.44-0.1-3891.17
atrnil22.88-43327789177219.119378.1235148.63-10593.13-18833.711.830.43-0.12-4868.28
atrtrail-12.79-39004696227422.9212804.9761514.6-9077.78-18833.711.410.42-0.11-4062.98

In the table above, row 1 shows the best exit criterion. Profit factor is 0.49. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HDIL Performance, Profit Factor:0.489

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017815 Mar 2017 (-2.31%), 21 Mar 2017 (-1.43%), 30 Mar 2017 (-3.05%), 06 Apr 2017 (-0.89%), 12 Apr 2017 (-3.04%), 17 Apr 2017 (6.44%), 21 Apr 2017 (-4.07%), 24 Apr 2017 (8.14%)
2016505 Jan 2016 (7.95%), 24 May 2016 (-4.28%), 26 May 2016 (2.02%), 20 Jun 2016 (-3.61%), 22 Jun 2016 (6.9%)
2015929 Jan 2015 (-4.92%), 30 Jan 2015 (-0.78%), 04 Feb 2015 (-2.63%), 06 Feb 2015 (-0.95%), 10 Feb 2015 (-2.77%), 06 Apr 2015 (-5.02%), 08 Apr 2015 (-5.39%), 13 Apr 2015 (10.04%), 31 Dec 2015 (-3.68%)
20141611 Mar 2014 (9.75%), 28 Mar 2014 (-4.88%), 31 Mar 2014 (-2.41%), 03 Apr 2014 (-4.92%), 04 Apr 2014 (-5.12%), 07 Apr 2014 (-5.41%), 10 Apr 2014 (-5.18%), 11 Apr 2014 (3.77%), 21 Apr 2014 (-3.08%), 14 May 2014 (-3.24%), 19 May 2014 (-5.74%), 20 May 2014 (-4.68%), 22 May 2014 (-5.85%), 23 May 2014 (11.29%), 05 Jun 2014 (-5.63%), 09 Jun 2014 (10.43%)
20121917 Jan 2012 (-2.53%), 19 Jan 2012 (-0.36%), 25 Jan 2012 (3.08%), 08 Feb 2012 (-5.4%), 09 Feb 2012 (-3.66%), 14 Feb 2012 (-5.32%), 15 Feb 2012 (-5.12%), 16 Feb 2012 (-5.12%), 17 Feb 2012 (-5.13%), 21 Feb 2012 (10.08%), 27 Jun 2012 (-4.57%), 02 Jul 2012 (-4.12%), 04 Jul 2012 (7.76%), 24 Sep 2012 (-4.49%), 25 Sep 2012 (-4.48%), 26 Sep 2012 (-4.46%), 28 Sep 2012 (-4.5%), 03 Oct 2012 (-4.21%), 04 Oct 2012 (2.4%)
2011106 Apr 2011 (7.8%)
2010121 Jul 2010 (6.18%)
20091702 Apr 2009 (-6.56%), 06 Apr 2009 (-6.4%), 08 Apr 2009 (-6.72%), 13 Apr 2009 (-6.49%), 15 Apr 2009 (-6.74%), 23 Apr 2009 (-9.31%), 27 Apr 2009 (0.43%), 05 May 2009 (-2.2%), 14 May 2009 (-7.15%), 18 May 2009 (-7.3%), 19 May 2009 (-7.45%), 21 May 2009 (4.33%), 27 May 2009 (-6.18%), 01 Jun 2009 (15.01%), 08 Oct 2009 (-3.42%), 14 Oct 2009 (-4.13%), 16 Oct 2009 (-3.92%)
2008901 Jan 2008 (-5.03%), 02 Jan 2008 (-3.12%), 08 Jan 2008 (-5.18%), 09 Jan 2008 (-5.19%), 10 Jan 2008 (-5.79%), 15 Jan 2008 (-4.78%), 17 Jan 2008 (11.82%), 18 Dec 2008 (-9.42%), 19 Dec 2008 (17.57%)
20071104 Oct 2007 (-3.53%), 09 Oct 2007 (-3.43%), 29 Nov 2007 (-4.9%), 03 Dec 2007 (-3.94%), 11 Dec 2007 (-4.25%), 12 Dec 2007 (-4.55%), 13 Dec 2007 (-4.91%), 14 Dec 2007 (0.95%), 27 Dec 2007 (-5.12%), 28 Dec 2007 (-5.22%), 31 Dec 2007 (-5.11%)



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