Study: Sell HEXAWARE when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HEXAWARE 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 HEXAWARE 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
129462.2173413256.164783.7319596.54-5208.46-15073.120.921.180.015403.59
210171573433058.96945.9332667.33-6565.35-31927.711.061.520.0351393.35
347510.7573423157.537071.3927177.55-8047.99-32680.720.881.190.015650.83
4-83228.2473363749.327988.3824838.49-10021.89-43983.40.80.78-0.023-1140.11
5-10022573353847.9510769.7142018.65-12556.97-68579.470.860.79-0.02-1372.94
6-17726873324143.8412027.4548875.56-13710.88-76054.220.880.68-0.032-2428.33
7-23668073353847.9511887.1256671.66-17177.09-1070780.690.64-0.036-3242.2
8-20556873363749.3211649.8950074.96-16890.92-98192.770.690.67-0.033-2816
9-15940873324143.8414838.0453973.01-15468.9-1010540.960.75-0.024-2183.67
10-21526973334045.2114058.6948275.86-16980.15-1015060.830.68-0.032-2948.89
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
atrnil37.89-56796.2213233992526360.0453677.33-9360.38-17638.592.820.94-0.0064-430.27
atrtrail23.52-100954155569936.1311338.9138498.41-7433.66-17638.591.530.86-0.014-651.31
atrnil25.5-134427135429331.1117673.5535784.88-9427.06-17638.591.870.85-0.018-995.76
atrtrail33.97-1869021535310034.6410241.2757747.62-7296.89-17638.591.40.74-0.026-1221.58
atrtrail-14.27-2529441535310034.648995.250748.46-7296.89-17638.591.230.65-0.039-1653.23

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 25%, which is not acceptable. Avoid this strategy. Average return per trade is -0.22%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HEXAWARE Performance, Profit Factor:0.939

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019304 Feb 2019 (-3.44%), 13 Feb 2019 (9.82%), 21 Jun 2019 (11.23%)
2018605 Jan 2018 (-2.61%), 24 Jan 2018 (8.63%), 14 Mar 2018 (-3.45%), 03 Apr 2018 (-3.74%), 30 Apr 2018 (9.26%), 09 Jul 2018 (13.26%)
2017916 Feb 2017 (-2.57%), 27 Feb 2017 (-2.62%), 01 Mar 2017 (7.75%), 04 May 2017 (-2.98%), 08 May 2017 (-3.05%), 18 May 2017 (9.01%), 02 Nov 2017 (-3.5%), 07 Nov 2017 (-3.62%), 13 Nov 2017 (-3.45%)
2015802 Feb 2015 (-3.01%), 11 Feb 2015 (-3.41%), 12 Feb 2015 (-3.35%), 18 Feb 2015 (-3.44%), 03 Mar 2015 (-3.19%), 27 Mar 2015 (-3.89%), 07 Apr 2015 (-3.57%), 13 Apr 2015 (9.28%)
2014814 Jan 2014 (10.15%), 18 Feb 2014 (-4.15%), 26 Feb 2014 (11.94%), 05 Sep 2014 (-3.81%), 08 Sep 2014 (-3.81%), 18 Sep 2014 (-4.47%), 30 Sep 2014 (14.14%), 05 Nov 2014 (-4.14%)
2013910 Jul 2013 (-3.75%), 15 Jul 2013 (-3.41%), 17 Jul 2013 (-3.36%), 19 Jul 2013 (-3.53%), 23 Jul 2013 (-3.5%), 24 Jul 2013 (-3.65%), 06 Aug 2013 (-4.12%), 14 Aug 2013 (11.4%), 03 Sep 2013 (-3.73%)
2012902 Feb 2012 (-4.05%), 03 Feb 2012 (-4.09%), 06 Feb 2012 (-4.04%), 08 Feb 2012 (-4.36%), 13 Feb 2012 (-4.29%), 17 Feb 2012 (-4.24%), 29 Feb 2012 (13.5%), 07 Sep 2012 (-2.91%), 11 Sep 2012 (8.9%)
2011903 Jan 2011 (14.3%), 25 Mar 2011 (-4.25%), 01 Apr 2011 (-4.02%), 04 Apr 2011 (-3.95%), 13 Apr 2011 (13.42%), 05 Jul 2011 (-3.75%), 22 Jul 2011 (-3.55%), 28 Jul 2011 (-4.16%), 01 Aug 2011 (12.45%)
2010509 Jul 2010 (-3.78%), 12 Jul 2010 (11.26%), 08 Nov 2010 (12.05%), 07 Dec 2010 (-5.27%), 30 Dec 2010 (-4.9%)
20091612 Feb 2009 (-7.05%), 13 Feb 2009 (26.84%), 17 Apr 2009 (-8.82%), 21 Apr 2009 (-8.5%), 07 May 2009 (-7.16%), 22 May 2009 (-7.73%), 25 May 2009 (-7.58%), 02 Jun 2009 (21.9%), 28 Jul 2009 (-7.03%), 29 Jul 2009 (-6.82%), 30 Jul 2009 (-6.78%), 31 Jul 2009 (-6.44%), 04 Aug 2009 (-6.53%), 14 Aug 2009 (-7.07%), 25 Aug 2009 (19.31%), 20 Oct 2009 (13.89%)
20061003 Feb 2006 (-4.8%), 16 Mar 2006 (-3.91%), 28 Mar 2006 (-4.01%), 03 Apr 2006 (11.84%), 12 Jul 2006 (-4.76%), 13 Jul 2006 (-4.98%), 11 Aug 2006 (-3.89%), 14 Aug 2006 (-3.98%), 16 Aug 2006 (13.75%), 28 Dec 2006 (14.85%)
2005828 Jan 2005 (-5.32%), 03 Feb 2005 (-5.24%), 08 Feb 2005 (-5.24%), 09 Feb 2005 (-5.17%), 21 Feb 2005 (14.79%), 27 Jun 2005 (10.4%), 09 Dec 2005 (-3.51%), 16 Dec 2005 (-4.14%)
2004802 Jul 2004 (-4.45%), 23 Jul 2004 (-3.87%), 26 Jul 2004 (-4.03%), 11 Aug 2004 (-3.64%), 17 Aug 2004 (-3.73%), 18 Aug 2004 (11.42%), 03 Sep 2004 (12.62%), 15 Dec 2004 (-4.33%)
20031608 Jan 2003 (-4.97%), 09 Jan 2003 (-5.17%), 14 Jan 2003 (17.13%), 29 Jul 2003 (-5.3%), 04 Aug 2003 (-5.61%), 21 Aug 2003 (-5.69%), 26 Aug 2003 (-5.95%), 28 Aug 2003 (-5.82%), 24 Sep 2003 (-6.08%), 03 Oct 2003 (-5.51%), 06 Oct 2003 (-5.69%), 07 Oct 2003 (-6.46%), 15 Oct 2003 (-6.27%), 16 Oct 2003 (-6.38%), 10 Dec 2003 (-5.09%), 15 Dec 2003 (14.44%)
2002802 Sep 2002 (-6.45%), 04 Sep 2002 (-6.58%), 11 Sep 2002 (-6.53%), 12 Sep 2002 (20.03%), 21 Nov 2002 (-4.63%), 25 Nov 2002 (-5.08%), 28 Nov 2002 (-4.97%), 02 Dec 2002 (-4.68%)



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