Study: Sell HINDZINC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell HINDZINC 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 HINDZINC 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
1-17189974294539.194097.2515637.86-6460.42-49635.040.630.41-0.06-2322.96
2-26813874314341.895338.9326573.43-10084.77-1116790.530.38-0.051-3623.49
3-22258974314341.897930.8550727.65-10894.08-91970.80.730.52-0.041-3007.96
4-23006574314341.8910622.7751143.45-13008.62-91240.880.820.59-0.037-3108.98
5-28301874314341.8911332.8850727.65-14752.04-56204.380.770.55-0.046-3824.57
6-42898674294539.1912151.7537837.84-17364.15-72868.220.70.45-0.063-5797.11
7-39334274324243.2412468.7545322.25-18865.28-93023.260.660.5-0.051-5315.43
8-37634474344045.9513489.8846569.65-20875-1023260.650.55-0.046-5085.73
9-30337774353947.314111.142827.44-20442.7-875000.690.62-0.038-4099.69
10-25566874314341.8917387.0344490.64-18480.6-79069.770.940.68-0.032-3454.97
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
atrnil23.87-3616121734512826.0118170.5534663.79-9213.17-18141.241.970.69-0.037-2090.24
atrnil34.95-3789531663113518.6727458.5751995.69-9112.36-18141.243.010.69-0.034-2282.85
atrtrail33.26-3562871935314027.4612849.851995.69-7409.48-18141.241.730.66-0.035-1846.05
atrtrail22.88-3631261965514128.0612519.7634663.79-7458.96-18141.241.680.65-0.039-1852.69
atrtrail-13.48-4847661925214027.0810626.1846229.65-7409.48-18141.241.430.53-0.055-2524.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. 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.
HINDZINC Performance, Profit Factor:0.693

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019105 Apr 2019 (4.36%)
2017624 Jan 2017 (-2.78%), 02 Feb 2017 (-2.88%), 03 Feb 2017 (6.02%), 05 Jul 2017 (-2.39%), 13 Jul 2017 (-2.06%), 20 Jul 2017 (-2.15%)
20161327 Jan 2016 (-3.52%), 28 Jan 2016 (-3.83%), 31 Mar 2016 (-3.33%), 04 Apr 2016 (6.18%), 12 Jul 2016 (-2.66%), 14 Jul 2016 (-2.8%), 26 Jul 2016 (-3.27%), 27 Jul 2016 (-3.23%), 01 Aug 2016 (-3.51%), 05 Aug 2016 (-3.57%), 16 Aug 2016 (6.58%), 03 Oct 2016 (6.74%), 01 Nov 2016 (6.54%)
2014709 Apr 2014 (4.95%), 19 May 2014 (-3.14%), 20 May 2014 (-3.24%), 23 May 2014 (7.56%), 27 May 2014 (-4.59%), 03 Jun 2014 (-4.34%), 09 Jun 2014 (8.18%)
2012302 Feb 2012 (-3.44%), 06 Feb 2012 (6.82%), 21 Aug 2012 (-2.88%)
2011712 Jan 2011 (7.0%), 07 Mar 2011 (-5.55%), 25 Mar 2011 (-3.9%), 29 Mar 2011 (-3.91%), 11 Apr 2011 (-3.88%), 21 Apr 2011 (7.31%), 25 Jul 2011 (6.57%)
2010707 Jan 2010 (7.44%), 03 Aug 2010 (-2.63%), 05 Aug 2010 (-2.67%), 09 Aug 2010 (-2.87%), 10 Aug 2010 (5.9%), 29 Dec 2010 (-3.42%), 31 Dec 2010 (-3.3%)
20091906 Jan 2009 (-5.2%), 07 Jan 2009 (10.74%), 18 Mar 2009 (-4.25%), 19 Mar 2009 (-4.18%), 23 Mar 2009 (-3.95%), 27 Mar 2009 (-4.32%), 02 Apr 2009 (-4.43%), 06 Apr 2009 (-4.46%), 05 May 2009 (-5.03%), 07 May 2009 (11.26%), 08 Sep 2009 (-3.74%), 10 Sep 2009 (-3.96%), 15 Oct 2009 (-3.23%), 23 Oct 2009 (6.53%), 23 Nov 2009 (-3.7%), 24 Nov 2009 (-3.66%), 26 Nov 2009 (-3.68%), 30 Nov 2009 (-4.13%), 03 Dec 2009 (10.4%)
2008225 Apr 2008 (8.95%), 14 May 2008 (11.41%)
2007711 Apr 2007 (8.38%), 13 Jul 2007 (7.41%), 28 Sep 2007 (-4.01%), 03 Oct 2007 (7.6%), 15 Oct 2007 (-4.24%), 16 Oct 2007 (8.99%), 17 Oct 2007 (10.45%)
2006321 Nov 2006 (-7.3%), 22 Nov 2006 (13.96%), 13 Dec 2006 (14.66%)
20021314 Jan 2002 (-5.24%), 21 Jan 2002 (-5.03%), 06 Feb 2002 (-4.8%), 07 Feb 2002 (-5.82%), 11 Feb 2002 (-5.7%), 25 Feb 2002 (-5.33%), 26 Feb 2002 (-5.26%), 27 Feb 2002 (-5.2%), 21 Mar 2002 (-4.85%), 22 Mar 2002 (-4.76%), 03 Jun 2002 (-0.89%), 26 Nov 2002 (-4.2%), 02 Dec 2002 (-3.87%)
20011202 Jan 2001 (-4.45%), 03 Jan 2001 (-4.41%), 11 Jan 2001 (-3.91%), 12 Jan 2001 (-3.91%), 15 Jan 2001 (8.25%), 22 Feb 2001 (8.37%), 16 Oct 2001 (-6.13%), 19 Oct 2001 (-5.32%), 22 Oct 2001 (-5.27%), 23 Oct 2001 (-5.39%), 24 Oct 2001 (-5.63%), 07 Nov 2001 (10.26%)
20001326 Jun 2000 (13.77%), 06 Sep 2000 (-5.88%), 11 Sep 2000 (-5.27%), 13 Sep 2000 (10.03%), 15 Nov 2000 (-4.06%), 16 Nov 2000 (-4.12%), 22 Nov 2000 (-4.75%), 24 Nov 2000 (-5.15%), 27 Nov 2000 (9.96%), 29 Nov 2000 (-6.08%), 05 Dec 2000 (-6.22%), 06 Dec 2000 (-6.52%), 07 Dec 2000 (-6.5%)
19991408 Jan 1999 (-4.35%), 11 Jan 1999 (-4.59%), 12 Jan 1999 (9.83%), 18 Mar 1999 (-9.07%), 19 Mar 1999 (17.33%), 08 Jul 1999 (-6.05%), 09 Jul 1999 (-6.03%), 12 Jul 1999 (11.84%), 14 Jul 1999 (14.73%), 27 Jul 1999 (-8.12%), 14 Sep 1999 (-6.88%), 15 Sep 1999 (-6.45%), 16 Sep 1999 (-6.27%), 22 Sep 1999 (12.81%)
1998618 Mar 1998 (-5.26%), 19 Mar 1998 (-5.31%), 01 Apr 1998 (-5.36%), 09 Apr 1998 (-4.95%), 10 Apr 1998 (-4.92%), 15 Apr 1998 (-5.35%)
19973501 Jan 1997 (-4.03%), 02 Jan 1997 (7.95%), 07 Jan 1997 (-4.71%), 08 Jan 1997 (-5.24%), 10 Jan 1997 (-5.69%), 13 Jan 1997 (-5.98%), 15 Jan 1997 (-6.13%), 16 Jan 1997 (-6.81%), 22 Jan 1997 (-6.72%), 24 Jan 1997 (-6.57%), 27 Jan 1997 (-6.22%), 28 Jan 1997 (-5.87%), 29 Jan 1997 (-5.55%), 12 Feb 1997 (-4.61%), 13 Feb 1997 (-4.48%), 14 Feb 1997 (-4.34%), 19 Feb 1997 (8.32%), 01 Mar 1997 (-4.72%), 03 Mar 1997 (-4.66%), 05 Mar 1997 (-4.45%), 06 Mar 1997 (-4.39%), 12 Mar 1997 (-4.65%), 13 Mar 1997 (-5.05%), 27 Mar 1997 (9.85%), 14 May 1997 (-4.09%), 15 May 1997 (8.55%), 24 Jul 1997 (-4.34%), 28 Jul 1997 (-4.11%), 30 Jul 1997 (-4.09%), 31 Jul 1997 (-4.24%), 04 Aug 1997 (-4.09%), 05 Aug 1997 (-4.3%), 06 Aug 1997 (8.41%), 08 Aug 1997 (-4.89%), 11 Aug 1997 (9.68%)
1996519 Apr 1996 (-3.59%), 17 Dec 1996 (-5.14%), 18 Dec 1996 (-4.93%), 19 Dec 1996 (-4.75%), 26 Dec 1996 (-4.09%)



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