Study: Sell IDFC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell IDFC 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 IDFC 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
111890.5140231757.53947.539741.7-4641.33-9728.510.851.150.016297.26
213083.9640251562.54971.2917083.18-7413.22-40936.860.671.120.0095327.1
320525.0240271367.55672.4825032.26-10202.46-54582.480.561.150.012513.13
4-48069.52402218557152.6625804.31-11412.67-58452.140.630.77-0.024-1201.74
5-31480.8640211952.57263.3521288.52-9684.8-42566.190.750.83-0.019-787.02
6-43901.73402020508486.9824089.64-10682.07-53971.490.790.79-0.021-1097.54
7-50843.1840211952.59216.1922128.85-12862.27-46334.010.720.79-0.024-1271.08
8-88205.4140211952.59585.8723255.81-15237.3-44343.890.630.7-0.039-2205.14
9-66497.6840231757.58081.2125956.49-14845.03-58044.810.540.74-0.029-1662.44
10-99515.75402218558344.5724306.08-15727.57-53054.990.530.65-0.043-2487.89
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
atrtrail23.39-30226.63853451408312.326514.93-6134.21-13981.461.360.9-0.011-355.61
atrtrail33.66-38390.2883325138.558396.1934703.22-6020.95-13981.461.390.87-0.013-462.53
atrnil24.72-82991.8780255531.2515124.4827340.77-8383.71-15228.441.80.82-0.025-1037.4
atrnil36.58-13531778166220.5123481.3741011.15-8242.24-15228.442.850.74-0.035-1734.83
atrtrail-13.98-10875183325138.556197.4118812.43-6020.95-13981.461.030.65-0.048-1310.26

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
IDFC Performance, Profit Factor:0.903

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018308 Jan 2018 (1.07%), 27 Apr 2018 (-2.61%), 30 Apr 2018 (5.87%)
2017610 Apr 2017 (-1.35%), 27 Apr 2017 (-2.54%), 28 Apr 2017 (-0.95%), 04 May 2017 (-2.11%), 09 May 2017 (5.6%), 12 Oct 2017 (1.68%)
2016712 Apr 2016 (-2.97%), 18 Apr 2016 (-1.91%), 26 Apr 2016 (1.17%), 13 May 2016 (2.08%), 30 May 2016 (1.51%), 31 Aug 2016 (-0.17%), 28 Sep 2016 (-3.33%)
2015122 Jan 2015 (-1.65%)
20141310 Mar 2014 (-2.99%), 11 Mar 2014 (5.94%), 14 Mar 2014 (1.14%), 27 Mar 2014 (-3.19%), 28 Mar 2014 (6.31%), 01 Apr 2014 (-3.63%), 02 Apr 2014 (-3.66%), 19 May 2014 (-3.49%), 20 May 2014 (-1.63%), 22 May 2014 (-3.54%), 23 May 2014 (7.04%), 10 Jul 2014 (-4.22%), 16 Jul 2014 (-1.96%)
2013103 Nov 2013 (7.88%)
20121319 Jan 2012 (-3.75%), 20 Jan 2012 (-3.18%), 24 Jan 2012 (-4.18%), 27 Jan 2012 (0.13%), 31 Jan 2012 (-4.18%), 01 Feb 2012 (0.35%), 06 Feb 2012 (-0.32%), 16 Feb 2012 (-4.22%), 17 Feb 2012 (9.18%), 21 Sep 2012 (-3.25%), 24 Sep 2012 (-0.95%), 03 Oct 2012 (6.82%), 01 Nov 2012 (-0.66%)
2010513 Jul 2010 (-2.23%), 16 Jul 2010 (0.23%), 15 Sep 2010 (0.42%), 24 Sep 2010 (-0.39%), 06 Oct 2010 (0.04%)
20091406 Apr 2009 (-5.42%), 08 Apr 2009 (-4.23%), 13 Apr 2009 (0.21%), 21 Apr 2009 (-6.42%), 23 Apr 2009 (13.26%), 04 May 2009 (-6.99%), 05 May 2009 (-0.82%), 14 May 2009 (-3.2%), 18 May 2009 (-6.83%), 19 May 2009 (-1.07%), 27 May 2009 (-2.72%), 04 Jun 2009 (1.61%), 11 Jun 2009 (5.03%), 18 Nov 2009 (7.14%)
20071616 Jan 2007 (-4.55%), 17 Jan 2007 (1.5%), 24 Jan 2007 (-4.62%), 25 Jan 2007 (-0.2%), 05 Feb 2007 (-5.1%), 06 Feb 2007 (10.12%), 24 Apr 2007 (1.44%), 18 May 2007 (-1.48%), 22 Jun 2007 (-3.9%), 26 Jun 2007 (-3.95%), 27 Jun 2007 (2.33%), 24 Sep 2007 (7.58%), 03 Oct 2007 (1.21%), 09 Oct 2007 (-5.47%), 10 Oct 2007 (-5.45%), 11 Oct 2007 (11.57%)
2006629 Aug 2006 (6.88%), 29 Sep 2006 (-1.88%), 05 Oct 2006 (-3.85%), 12 Oct 2006 (0.33%), 27 Oct 2006 (-3.08%), 30 Oct 2006 (6.67%)



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