Study: Sell INDIACEM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell INDIACEM 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 INDIACEM 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
11412282443853.665853.5515841.58-6406.16-21779.140.911.060.0045172.22
2416982473557.327410.5626980.48-9832.21-42918.450.751.010.0009250.84
39279.4382483458.548727.0839150.4-12047.65-50648.230.721.020.0017113.16
4-10409882394347.5610641.6828587.83-12072.65-41828.570.880.8-0.018-1269.49
5-18840782394347.5610774.9227784.16-14154.16-43231.90.760.69-0.03-2297.65
6-32568782424051.228788.9231484.26-17370.55-58587.880.510.53-0.047-3971.8
7-35538382354742.6811165.2331184.41-15875.88-63821.660.70.52-0.05-4333.94
8-34173382374545.1210272.4732383.81-16040.31-51974.520.640.53-0.049-4167.47
9-34321582325039.0214470.8135000-16125.63-52813.30.90.57-0.044-4185.55
10-39734782354742.6814163.7533583.21-19001.66-50639.390.750.56-0.048-4845.69

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.06. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.086%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0045, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.

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-111412282443853.665853.5515841.58-6406.16-21779.140.911.060.0045172.22
atrtrail23.07-16204.361916812335.613335.0226030.13-7503.95-14004.941.780.98-0.0015-84.84
atrtrail33.52-89898.081916512634.0312902.7238803.18-7369.64-14004.941.750.9-0.0083-470.67
atrnil24.25-1717281755312230.2918169.5327931.81-9300.93-14004.941.950.85-0.016-981.3
atrtrail-13.98-2450611896312633.3310754.9541190.83-7322.41-14004.941.470.73-0.026-1296.62
atrnil35.92-3770901713213918.7128136.1339908.58-9190.26-14004.943.060.7-0.03-2205.21

In the table above, row 1 shows the best exit criterion. Profit factor is 1.06. 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 53.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.086%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0045, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
INDIACEM Performance, X=1, Profit Factor:1.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019205 Mar 2019 (-0.05%), 01 Apr 2019 (0.72%)
2018105 Jan 2018 (1.46%)
2017511 Jan 2017 (-0.22%), 25 Jan 2017 (-1.44%), 09 Feb 2017 (-0.65%), 20 Apr 2017 (0.82%), 10 May 2017 (0.65%)
2016601 Jan 2016 (3.58%), 15 Jun 2016 (-0.87%), 29 Jun 2016 (-1.62%), 28 Jul 2016 (-0.89%), 23 Aug 2016 (-3.32%), 07 Sep 2016 (-0.23%)
2015122 Jan 2015 (2.75%)
2014302 Apr 2014 (-4.84%), 14 May 2014 (1.78%), 30 May 2014 (-5.01%)
2013106 Nov 2013 (5.55%)
2012425 Jan 2012 (-2.7%), 09 Feb 2012 (2.08%), 21 Mar 2012 (1.49%), 27 Sep 2012 (1.56%)
2011107 Apr 2011 (2.77%)
2010325 Mar 2010 (1.92%), 09 Apr 2010 (-1.53%), 07 Sep 2010 (2.41%)
2009406 Jan 2009 (1.05%), 15 Apr 2009 (7.37%), 20 May 2009 (-0.84%), 03 Jun 2009 (1.42%)
2008116 Dec 2008 (5.92%)
2007428 Jun 2007 (-0.95%), 12 Jul 2007 (-2.95%), 04 Sep 2007 (1.86%), 19 Sep 2007 (-0.35%)
2006716 Jan 2006 (4.69%), 31 Jan 2006 (-1.07%), 01 Mar 2006 (4.37%), 05 Apr 2006 (-1.37%), 24 Apr 2006 (5.12%), 06 Sep 2006 (-0.5%), 21 Sep 2006 (-0.38%)
2005410 Jan 2005 (5.45%), 11 May 2005 (1.95%), 25 May 2005 (1.93%), 18 Aug 2005 (-7.52%)
2004406 Aug 2004 (-0.98%), 20 Aug 2004 (2.91%), 13 Dec 2004 (-1.15%), 27 Dec 2004 (2.63%)
2003812 May 2003 (2.72%), 26 May 2003 (2.56%), 09 Jun 2003 (6.12%), 26 Jun 2003 (-1.58%), 30 Jul 2003 (4.51%), 18 Aug 2003 (-10.89%), 10 Nov 2003 (-8.58%), 26 Dec 2003 (-5.55%)
2002213 May 2002 (2.55%), 21 Nov 2002 (1.56%)
2001602 Jan 2001 (1.84%), 24 Jan 2001 (-3.41%), 08 Feb 2001 (2.14%), 07 Aug 2001 (2.56%), 22 Oct 2001 (-5.75%), 21 Nov 2001 (-1.44%)
2000227 Nov 2000 (-3.77%), 14 Dec 2000 (0.19%)
1999631 Mar 1999 (-2.37%), 14 May 1999 (-7.09%), 08 Jun 1999 (2.14%), 13 Jul 1999 (-8.04%), 04 Aug 1999 (3.45%), 18 Aug 1999 (7.92%)
1998207 Apr 1998 (-9.19%), 08 May 1998 (4.02%)
1997402 Jan 1997 (0.2%), 17 Jun 1997 (-7.03%), 01 Jul 1997 (-5.6%), 06 Aug 1997 (6.93%)
1996117 Jun 1996 (1.18%)



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