Study: Sell HINDALCO when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HINDALCO 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 HINDALCO 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
1-67609.6699495049.494018.2617634.17-5290.09-27525.770.760.74-0.021-682.93
2-58709.899465346.465501.8723397.44-5882.94-30567.010.940.81-0.015-593.03
3-70937.6799465346.466924.3628205.13-7348.27-51051.550.940.82-0.014-716.54
4-74293.5999465346.468264.7726686.51-8574.96-52027.070.960.84-0.013-750.44
5-86001.1699455445.458753.1225099.21-8886.88-51138.310.980.82-0.014-868.7
6-11401498445444.98343.3832837.3-8909.68-45942.440.940.76-0.02-1163.41
7-10575298425642.869969.1538095.24-9365.3-41881.451.060.8-0.018-1079.11
8-87955.8998435543.8810826.0333630.95-10063.18-43782.051.080.84-0.014-897.51
9-15062798435543.8811532.1332440.48-11754.69-39574.720.980.77-0.021-1537.01
10-71276.6198475147.9611709.1827976.19-12188.4-38157.120.960.89-0.0097-727.31
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
atrtrail22.97-74158.232407616431.6710599.9623823.43-5364.36-14354.91.980.92-0.0074-308.99
atrnil23.89-141601220661543013663.9323823.43-6775.46-14354.92.020.86-0.013-643.64
atrtrail33.53-1286852367116530.0810548.4835735.14-5318.95-14354.91.980.85-0.012-545.28
atrnil35.93-2982292094216720.120125.3735735.14-6847.27-14354.92.940.74-0.026-1426.93
atrtrail-13.96-2984522326716528.888530.3526469.85-5272.64-14354.91.620.66-0.034-1286.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 31.67%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
HINDALCO Performance, Profit Factor:0.916

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 Nov 2019 (5.95%)
2018204 Jan 2018 (5.27%), 19 Apr 2018 (7.0%)
2017901 Feb 2017 (6.81%), 21 Jul 2017 (-2.32%), 25 Jul 2017 (-0.43%), 01 Aug 2017 (-0.38%), 08 Aug 2017 (-2.78%), 09 Aug 2017 (5.57%), 12 Oct 2017 (-2.83%), 16 Oct 2017 (-0.92%), 28 Dec 2017 (-1.24%)
20161808 Mar 2016 (-2.17%), 23 Mar 2016 (8.14%), 20 Apr 2016 (-0.57%), 31 May 2016 (-1.77%), 07 Jun 2016 (-3.3%), 10 Jun 2016 (-2.86%), 16 Jun 2016 (-2.86%), 21 Jun 2016 (5.95%), 04 Jul 2016 (-1.24%), 11 Jul 2016 (-2.96%), 12 Jul 2016 (-3.0%), 13 Jul 2016 (-3.02%), 18 Jul 2016 (0.97%), 05 Aug 2016 (-2.95%), 08 Aug 2016 (6.08%), 16 Aug 2016 (-2.99%), 19 Aug 2016 (0.11%), 30 Aug 2016 (0.57%)
20141006 Mar 2014 (-3.18%), 07 Mar 2014 (6.42%), 28 Mar 2014 (-3.1%), 31 Mar 2014 (0.69%), 04 Apr 2014 (-3.3%), 09 Apr 2014 (6.96%), 21 May 2014 (8.47%), 05 Jun 2014 (0.36%), 24 Jul 2014 (2.94%), 28 Nov 2014 (7.06%)
2013401 Jan 2013 (5.72%), 10 May 2013 (-1.74%), 15 May 2013 (-2.7%), 16 May 2013 (5.58%)
2012417 Jan 2012 (-3.24%), 19 Jan 2012 (1.91%), 07 Dec 2012 (4.99%), 20 Dec 2012 (0.54%)
20101005 Jan 2010 (7.73%), 02 Aug 2010 (-2.12%), 18 Aug 2010 (-2.82%), 19 Aug 2010 (6.27%), 13 Sep 2010 (-0.82%), 01 Oct 2010 (-2.6%), 06 Oct 2010 (-3.24%), 07 Oct 2010 (-3.27%), 11 Oct 2010 (-1.15%), 14 Oct 2010 (-1.55%)
20091723 Mar 2009 (-1.3%), 27 Mar 2009 (10.58%), 06 Apr 2009 (-2.64%), 15 Apr 2009 (-5.83%), 07 May 2009 (-1.41%), 18 May 2009 (-6.17%), 19 May 2009 (-7.18%), 20 May 2009 (0.5%), 29 May 2009 (-6.29%), 02 Jun 2009 (-6.19%), 03 Jun 2009 (0.44%), 11 Jun 2009 (11.91%), 03 Aug 2009 (-5.64%), 04 Aug 2009 (11.06%), 16 Sep 2009 (-4.46%), 17 Sep 2009 (8.92%), 29 Dec 2009 (-2.65%)
20071108 Jun 2007 (-3.94%), 14 Jun 2007 (-1.94%), 21 Jun 2007 (6.9%), 13 Jul 2007 (-3.44%), 16 Jul 2007 (-2.35%), 18 Jul 2007 (-3.66%), 19 Jul 2007 (-1.9%), 24 Jul 2007 (7.14%), 03 Oct 2007 (6.49%), 16 Oct 2007 (8.16%), 17 Oct 2007 (-4.91%)
20061819 Jan 2006 (-2.38%), 30 Jan 2006 (-3.16%), 31 Jan 2006 (-1.27%), 02 Feb 2006 (-2.01%), 06 Feb 2006 (2.29%), 30 Mar 2006 (-3.05%), 07 Apr 2006 (-3.54%), 10 Apr 2006 (-3.72%), 12 Apr 2006 (-4.0%), 17 Apr 2006 (-4.19%), 19 Apr 2006 (-4.14%), 20 Apr 2006 (0.33%), 26 Apr 2006 (-3.98%), 29 Apr 2006 (-4.21%), 02 May 2006 (0.32%), 10 May 2006 (-4.22%), 12 May 2006 (8.39%), 18 Oct 2006 (-0.58%)
2005603 Jan 2005 (-2.69%), 27 Jul 2005 (-0.02%), 04 Aug 2005 (-2.63%), 11 Aug 2005 (-2.54%), 12 Aug 2005 (-2.56%), 17 Aug 2005 (4.91%)
20041202 Jan 2004 (5.71%), 05 Jan 2004 (-3.57%), 06 Jan 2004 (-0.79%), 07 Jul 2004 (7.38%), 26 Aug 2004 (-0.55%), 16 Sep 2004 (-2.31%), 21 Sep 2004 (-0.16%), 27 Sep 2004 (-2.36%), 30 Sep 2004 (-2.5%), 01 Oct 2004 (5.11%), 29 Dec 2004 (-2.26%), 30 Dec 2004 (-0.66%)
20032614 Jan 2003 (-1.8%), 23 Jan 2003 (4.1%), 21 Apr 2003 (0.82%), 19 May 2003 (-2.11%), 22 May 2003 (-2.37%), 23 May 2003 (0.02%), 09 Jun 2003 (-2.46%), 10 Jun 2003 (-1.0%), 17 Jun 2003 (-2.5%), 18 Jun 2003 (5.17%), 18 Jul 2003 (6.33%), 29 Jul 2003 (-3.42%), 04 Aug 2003 (-3.48%), 05 Aug 2003 (-2.84%), 11 Aug 2003 (-3.42%), 18 Aug 2003 (-0.92%), 01 Sep 2003 (7.1%), 09 Oct 2003 (-3.74%), 10 Oct 2003 (-2.94%), 16 Oct 2003 (-2.75%), 20 Oct 2003 (7.69%), 03 Nov 2003 (-5.02%), 04 Nov 2003 (-0.23%), 02 Dec 2003 (1.3%), 29 Dec 2003 (-2.21%), 31 Dec 2003 (-2.32%)
2002718 Feb 2002 (-0.82%), 22 Feb 2002 (-2.18%), 26 Feb 2002 (6.28%), 06 Dec 2002 (-3.05%), 11 Dec 2002 (-2.11%), 17 Dec 2002 (-1.97%), 26 Dec 2002 (4.99%)
2001812 Feb 2001 (7.1%), 16 May 2001 (-2.39%), 23 May 2001 (6.08%), 08 Nov 2001 (-4.01%), 14 Nov 2001 (-3.66%), 15 Nov 2001 (7.48%), 29 Nov 2001 (-1.98%), 10 Dec 2001 (7.44%)
20001005 Jan 2000 (-4.6%), 06 Jan 2000 (-4.49%), 07 Jan 2000 (9.35%), 09 Jun 2000 (-4.22%), 12 Jun 2000 (-0.14%), 08 Sep 2000 (-2.41%), 11 Sep 2000 (-2.61%), 13 Sep 2000 (6.69%), 15 Sep 2000 (7.95%), 14 Dec 2000 (7.24%)
19991508 Jan 1999 (-2.69%), 11 Jan 1999 (-0.99%), 21 Apr 1999 (-5.02%), 22 Apr 1999 (-5.02%), 23 Apr 1999 (-2.52%), 28 Apr 1999 (1.01%), 07 May 1999 (-5.57%), 10 May 1999 (11.09%), 06 Jul 1999 (-4.76%), 08 Jul 1999 (-4.51%), 09 Jul 1999 (-4.41%), 12 Jul 1999 (-4.32%), 13 Jul 1999 (1.37%), 21 Jul 1999 (2.66%), 16 Aug 1999 (-4.55%)
1998316 Apr 1998 (-3.47%), 17 Apr 1998 (-3.57%), 20 Apr 1998 (-3.53%)
19972601 Jan 1997 (-2.6%), 07 Jan 1997 (-2.45%), 08 Jan 1997 (-2.44%), 10 Jan 1997 (-2.46%), 13 Jan 1997 (-2.42%), 14 Jan 1997 (-2.43%), 15 Jan 1997 (-2.5%), 16 Jan 1997 (5.87%), 28 Jan 1997 (5.68%), 28 Feb 1997 (-2.49%), 01 Mar 1997 (-2.54%), 03 Mar 1997 (-2.63%), 04 Mar 1997 (-2.63%), 05 Mar 1997 (-2.67%), 06 Mar 1997 (5.79%), 11 Mar 1997 (-3.31%), 12 Mar 1997 (-1.72%), 17 Mar 1997 (-2.52%), 26 Mar 1997 (5.3%), 02 Jul 1997 (-0.76%), 07 Jul 1997 (-2.24%), 08 Jul 1997 (-2.24%), 09 Jul 1997 (-2.22%), 10 Jul 1997 (4.74%), 31 Jul 1997 (-2.4%), 30 Sep 1997 (4.46%)
19961502 Feb 1996 (-2.27%), 12 Feb 1996 (-2.88%), 14 Feb 1996 (6.28%), 15 Feb 1996 (7.11%), 16 Feb 1996 (-1.16%), 15 Apr 1996 (-1.57%), 17 Apr 1996 (-2.58%), 19 Apr 1996 (-0.27%), 25 Apr 1996 (-1.52%), 30 Apr 1996 (-2.88%), 08 May 1996 (-2.45%), 09 May 1996 (-3.17%), 10 May 1996 (6.74%), 23 Dec 1996 (-2.67%), 24 Dec 1996 (-0.99%)
1995825 Jul 1995 (-1.61%), 26 Jul 1995 (3.36%), 28 Jul 1995 (-1.65%), 03 Aug 1995 (-2.0%), 11 Aug 1995 (-1.53%), 17 Aug 1995 (-2.0%), 22 Aug 1995 (3.64%), 25 Aug 1995 (-0.48%)



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