Study: Sell IGL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell IGL 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 IGL 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
157788.4767392858.213393.7420063.76-2663.12-15438.261.271.770.049862.51
211104467422562.694847.5921976.62-3702.18-11002.671.312.20.0751657.38
312572567452267.165169.1921679.06-4858.56-18694.431.062.180.0761876.5
410389467402759.76750.7420749.47-6153.18-20560.751.11.630.0491550.65
512580566392759.09761423727.7-6338.55-16814.861.21.740.0551906.14
613704166422463.647666.4922253-7706.31-26603.050.991.740.0552076.38
712627166452168.187311.2831671.28-9654.12-31462.180.761.620.0461913.2
810900666412562.127402.632297.79-7780.03-23841.540.951.560.0431651.6
945799.4466382857.588069.5528298.53-9315.83-31663.410.871.180.016693.93
10-22071.5766313546.9710090.9330338.35-9568.3-59712.231.050.93-0.0063-334.42

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 2.2. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.69%, which is good. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
IGL Performance, X=2, Profit Factor:2.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019621 Jan 2019 (0.49%), 05 Feb 2019 (1.44%), 18 Apr 2019 (4.31%), 04 Jun 2019 (2.34%), 14 Oct 2019 (0.69%), 08 Nov 2019 (-1.18%)
2018125 Jul 2018 (-0.12%)
2017903 Jan 2017 (1.61%), 06 Feb 2017 (-1.36%), 20 Feb 2017 (1.17%), 06 Jun 2017 (1.86%), 17 Jul 2017 (0.98%), 08 Aug 2017 (0.89%), 05 Sep 2017 (0.56%), 19 Sep 2017 (-2.2%), 23 Oct 2017 (2.61%)
2016714 Jun 2016 (-1.2%), 29 Jun 2016 (1.77%), 29 Jul 2016 (0.08%), 18 Aug 2016 (-5.5%), 01 Sep 2016 (-1.35%), 04 Oct 2016 (-2.71%), 16 Dec 2016 (1.98%)
2015401 Jul 2015 (2.31%), 17 Jul 2015 (0.45%), 31 Jul 2015 (0.09%), 29 Dec 2015 (1.03%)
2014618 Mar 2014 (-2.62%), 31 Mar 2014 (-0.03%), 16 May 2014 (-4.01%), 09 Jun 2014 (0.7%), 01 Jul 2014 (2.87%), 12 Sep 2014 (4.77%)
2013318 Jan 2013 (2.22%), 11 Mar 2013 (5.42%), 17 Jul 2013 (5.13%)
2012114 Aug 2012 (2.27%)
2011507 Apr 2011 (2.59%), 14 Jun 2011 (-0.58%), 30 Jun 2011 (-1.98%), 18 Jul 2011 (2.52%), 02 Aug 2011 (3.36%)
2010714 Jan 2010 (0.53%), 06 Feb 2010 (10.99%), 18 Jun 2010 (2.59%), 02 Jul 2010 (-0.32%), 19 Jul 2010 (4.5%), 17 Aug 2010 (-0.78%), 31 Aug 2010 (-1.43%)
2009705 Jan 2009 (4.66%), 17 Apr 2009 (0.79%), 05 May 2009 (-0.85%), 21 May 2009 (-3.69%), 05 Aug 2009 (3.33%), 08 Dec 2009 (-0.36%), 23 Dec 2009 (-0.08%)
2008101 Jan 2008 (2.04%)
2007318 May 2007 (-1.93%), 24 Sep 2007 (-1.88%), 13 Nov 2007 (-4.67%)
2006110 Oct 2006 (-0.8%)
2005403 Jan 2005 (6.69%), 20 Jul 2005 (3.46%), 22 Aug 2005 (0.13%), 30 Sep 2005 (-4.66%)
2004205 Oct 2004 (0.8%), 20 Dec 2004 (2.76%)

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
nilnil-1211104467422562.694847.5921976.62-3702.18-11002.671.312.20.0751657.38
atrtrail23.2284189.67136518537.59203.0325753.44-4531.35-10935.232.031.220.019619.04
atrnil24.5764324.66129458434.8813433.525753.44-6430.75-10935.232.091.120.013498.64
atrtrail33.82-46822.74136478934.567414.2333276-4441.48-10935.231.670.88-0.012-344.28
atrtrail-14.1-73856.39135478834.816606.3853897.86-4367.68-10119.11.510.81-0.019-547.08
atrnil38.97-2390981282310517.9719484.433276-6545.13-12876.722.980.65-0.046-1867.95

In the table above, row 1 shows the best exit criterion. Profit factor is 2.2. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 62.69%, which is good. Average return per trade is 0.83%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.075, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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