Study: Sell ICIL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ICIL 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 ICIL 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
1-77483.0140211952.55966.2919641.83-10672.37-26937.980.560.62-0.061-1937.08
2-10753240192147.59042.828159.79-13302.15-56074.770.680.62-0.054-2688.3
3-20712240211952.58927.3424406.51-20768.2-71962.620.430.48-0.076-5178.04
4-26070539192048.729769.3934921.55-22316.18-74766.360.440.42-0.086-6684.75
5-25219939182146.1511038.8741887.78-21471.37-68899.980.510.44-0.089-6466.65
6-33041539162341.0311597.138675.76-22433.43-92230.930.520.36-0.11-8472.19
7-33791539152438.4612894.3547096.03-22138.75-1214540.580.36-0.099-8664.48
8-39944039152438.4614131.5246578.49-25475.54-1535760.550.35-0.099-10242.05
9-41270439172243.5913314.3546373.12-29047.64-1531000.460.35-0.099-10582.16
10-44720639152438.4614734.2954292.29-27842.54-1562840.530.33-0.1-11466.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.62. This strategy is not profitable and we advice you not to use it.

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
atrtrail23.38-23157295296630.5315398.8431855.3-10274.82-25598.441.50.66-0.056-2437.6
atrnil24.33-30372489226724.7223307.1442612.24-12186.28-25598.441.910.63-0.067-3412.63
nilnil-11-77483.0140211952.55966.2919641.83-10672.37-26937.980.560.62-0.061-1937.08
atrnil36.26-34444987167118.3932745.1359900.15-12230.59-25598.442.680.6-0.068-3959.19
atrtrail33.62-28325695296630.5313616.6347782.95-10274.82-25598.441.330.58-0.068-2981.64
atrtrail-14.13-29828294276728.7214261.979421.3-10199.3-25598.441.40.56-0.064-3173.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.66. 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.
ICIL Performance, Profit Factor:0.659

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018111 Jan 2018 (7.7%)
2017416 Jan 2017 (1.76%), 15 Mar 2017 (-2.05%), 22 Mar 2017 (-4.0%), 24 Mar 2017 (7.53%)
2016105 Feb 2016 (7.74%)
20152127 Jan 2015 (-2.45%), 02 Feb 2015 (-5.04%), 03 Feb 2015 (-4.98%), 04 Feb 2015 (10.13%), 18 May 2015 (-0.57%), 28 May 2015 (-4.53%), 01 Jun 2015 (-0.86%), 18 Jun 2015 (-1.6%), 25 Jun 2015 (-4.28%), 30 Jun 2015 (-0.41%), 06 Jul 2015 (-1.06%), 17 Jul 2015 (-3.82%), 20 Jul 2015 (-1.14%), 24 Jul 2015 (7.44%), 30 Jul 2015 (-4.26%), 03 Aug 2015 (-4.34%), 04 Aug 2015 (-4.31%), 05 Aug 2015 (8.59%), 30 Nov 2015 (-0.63%), 17 Dec 2015 (0.12%), 31 Dec 2015 (-1.13%)
20143108 Jan 2014 (12.7%), 09 Apr 2014 (-4.5%), 11 Apr 2014 (-2.81%), 21 Apr 2014 (-0.34%), 09 May 2014 (-5.59%), 12 May 2014 (-5.77%), 13 May 2014 (-6.43%), 20 May 2014 (-7.46%), 23 May 2014 (-6.71%), 26 May 2014 (1.07%), 06 Jun 2014 (-7.0%), 09 Jun 2014 (-6.76%), 10 Jun 2014 (-6.43%), 11 Jun 2014 (1.62%), 02 Jul 2014 (-6.09%), 04 Jul 2014 (-5.41%), 08 Jul 2014 (-5.49%), 10 Jul 2014 (-5.11%), 16 Jul 2014 (10.28%), 30 Jul 2014 (-3.38%), 05 Aug 2014 (-5.1%), 06 Aug 2014 (-1.09%), 11 Aug 2014 (10.93%), 23 Sep 2014 (0.56%), 07 Nov 2014 (-6.04%), 11 Nov 2014 (-5.46%), 12 Nov 2014 (-5.78%), 13 Nov 2014 (-4.47%), 17 Nov 2014 (-6.52%), 18 Nov 2014 (-6.16%), 19 Nov 2014 (11.69%)
20131029 May 2013 (-6.5%), 30 May 2013 (2.35%), 14 Aug 2013 (-7.46%), 16 Aug 2013 (-7.52%), 19 Aug 2013 (14.55%), 23 Aug 2013 (-8.36%), 26 Aug 2013 (-7.72%), 27 Aug 2013 (-7.54%), 28 Aug 2013 (0.83%), 29 Nov 2013 (1.65%)
2012519 Oct 2012 (-12.8%), 23 Oct 2012 (-10.62%), 25 Oct 2012 (2.99%), 12 Nov 2012 (-10.32%), 15 Nov 2012 (3.01%)
2010704 Jan 2010 (-5.35%), 08 Jan 2010 (-5.49%), 13 Jan 2010 (-5.96%), 14 Jan 2010 (12.59%), 13 May 2010 (-4.98%), 18 May 2010 (11.11%), 03 Dec 2010 (15.03%)
2009821 May 2009 (-3.74%), 25 May 2009 (-6.06%), 01 Jun 2009 (-5.39%), 05 Jun 2009 (9.09%), 15 Jul 2009 (10.92%), 22 Sep 2009 (-6.96%), 10 Dec 2009 (-7.31%), 22 Dec 2009 (-2.32%)
2007405 Dec 2007 (-7.75%), 06 Dec 2007 (-8.39%), 10 Dec 2007 (-7.98%), 11 Dec 2007 (15.93%)
2006305 Oct 2006 (-5.19%), 06 Oct 2006 (10.86%), 12 Oct 2006 (12.52%)



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