Study: Sell INDUSINDBK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell INDUSINDBK 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 INDUSINDBK 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
1-39934.3599524752.533800.8112972.97-5054.82-23593.960.750.83-0.015-403.38
2-49361.1599495049.496337.7634527.69-7198.22-33469.390.880.86-0.011-498.6
3-11241999475247.477454.0637133.55-8899.23-52207.290.840.76-0.021-1135.55
4-10558499455445.459629.1742562.43-9979.57-71785.030.960.8-0.016-1066.51
5-42474.7499495049.499345.5243648.21-10008.11-50287.910.930.92-0.0069-429.04
6-76635.9499495049.498963.1233224.76-10316.57-48368.520.870.85-0.013-774.1
7-25727.4699485148.4811075.444642.86-10928.37-67946.261.010.95-0.0035-259.87
8-67550.8999504950.5110776.6639285.71-12375.19-64516.130.870.89-0.0087-682.33
9-78638.4199465346.4613235.7547176.68-12971.38-87741.941.020.89-0.0088-794.33
10-12073199465346.4613254.2763857.37-13781.65-84069.10.960.83-0.013-1219.51
Although, strategy looks good but profit factor on day 3 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
atrnil24.51-3894242115515626.0716472.433632.82-8303.89-165851.980.7-0.035-1845.61
atrtrail23.1-4049662316916229.8710342.4128911.91-6904.89-15160.791.50.64-0.04-1753.1
atrtrail33.38-4085282316816329.4410485.2643367.86-6880.53-15160.791.520.64-0.037-1768.52
atrnil36.35-5838592083417416.3525058.7243367.86-8252.04-16816.413.040.59-0.047-2807.01
atrtrail-13.61-58173623167164298150.7143107.76-6877.04-15160.791.190.48-0.062-2518.34

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
INDUSINDBK Performance, Profit Factor:0.699

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019413 Mar 2019 (-2.29%), 14 Mar 2019 (-2.35%), 18 Mar 2019 (-2.25%), 27 Mar 2019 (4.54%)
2018401 Feb 2018 (3.97%), 02 Apr 2018 (-1.8%), 03 Apr 2018 (-1.83%), 09 Apr 2018 (-1.88%)
20171311 Jan 2017 (-2.54%), 25 Jan 2017 (-2.14%), 01 Feb 2017 (-2.2%), 13 Feb 2017 (-2.16%), 28 Mar 2017 (-1.71%), 30 Mar 2017 (-1.82%), 26 Apr 2017 (3.2%), 09 Jun 2017 (3.42%), 10 Jul 2017 (-1.57%), 13 Jul 2017 (-1.51%), 28 Jul 2017 (-1.62%), 01 Aug 2017 (3.31%), 11 Sep 2017 (3.76%)
2016931 Mar 2016 (-2.28%), 26 Apr 2016 (-2.13%), 28 Apr 2016 (-2.09%), 03 May 2016 (-2.09%), 11 May 2016 (-1.92%), 16 May 2016 (3.82%), 26 May 2016 (-2.08%), 03 Jun 2016 (3.61%), 01 Aug 2016 (3.95%)
2015801 Jan 2015 (-2.15%), 22 Jan 2015 (-2.37%), 27 Jan 2015 (-2.29%), 30 Jan 2015 (-2.25%), 02 Mar 2015 (5.58%), 13 Jul 2015 (-2.67%), 20 Jul 2015 (-2.29%), 30 Jul 2015 (4.52%)
20141907 Mar 2014 (-2.96%), 10 Mar 2014 (-3.04%), 18 Mar 2014 (-3.03%), 26 Mar 2014 (-2.74%), 28 Mar 2014 (-2.65%), 09 Apr 2014 (5.23%), 13 May 2014 (-2.99%), 16 May 2014 (-3.25%), 19 May 2014 (-3.37%), 23 May 2014 (-3.59%), 01 Sep 2014 (-2.37%), 03 Sep 2014 (-2.28%), 09 Sep 2014 (4.51%), 21 Oct 2014 (-2.53%), 27 Oct 2014 (-2.41%), 30 Oct 2014 (-2.49%), 07 Nov 2014 (-2.4%), 01 Dec 2014 (-2.39%), 05 Dec 2014 (-2.42%)
2013422 Apr 2013 (-3.41%), 29 Apr 2013 (-3.64%), 10 May 2013 (-3.28%), 16 May 2013 (6.25%)
20121212 Jan 2012 (-3.96%), 25 Jan 2012 (-3.49%), 10 Feb 2012 (-3.4%), 14 Feb 2012 (6.98%), 24 Sep 2012 (-2.54%), 28 Sep 2012 (-2.45%), 01 Oct 2012 (-2.42%), 04 Oct 2012 (4.6%), 27 Nov 2012 (-2.42%), 29 Nov 2012 (-2.57%), 06 Dec 2012 (5.06%), 19 Dec 2012 (5.58%)
2011428 Mar 2011 (-3.38%), 30 Mar 2011 (-3.24%), 04 Jul 2011 (-2.79%), 06 Jul 2011 (5.46%)
2010521 Apr 2010 (7.46%), 08 Jul 2010 (6.51%), 17 Sep 2010 (-3.17%), 20 Sep 2010 (-3.26%), 05 Oct 2010 (6.78%)
20092005 Jan 2009 (13.77%), 08 Apr 2009 (-5.69%), 09 Apr 2009 (-5.88%), 13 Apr 2009 (-5.95%), 15 Apr 2009 (-6.04%), 21 Apr 2009 (-6.98%), 19 May 2009 (-7.58%), 20 May 2009 (-7.42%), 22 May 2009 (-7.54%), 27 May 2009 (-7.43%), 28 May 2009 (-7.1%), 29 May 2009 (-6.76%), 01 Jun 2009 (13.49%), 10 Jun 2009 (-7.48%), 23 Jun 2009 (16.82%), 16 Sep 2009 (-4.47%), 25 Sep 2009 (-4.44%), 14 Oct 2009 (-4.27%), 16 Oct 2009 (-4.26%), 20 Oct 2009 (8.88%)
20071403 Jan 2007 (-5.78%), 07 Feb 2007 (9.97%), 27 Jun 2007 (-4.13%), 28 Jun 2007 (-4.11%), 12 Sep 2007 (-5.02%), 14 Sep 2007 (-5.56%), 18 Sep 2007 (-5.7%), 19 Sep 2007 (-6.01%), 20 Sep 2007 (11.93%), 29 Oct 2007 (-8.29%), 15 Nov 2007 (-7.33%), 19 Nov 2007 (14.46%), 05 Dec 2007 (-6.71%), 10 Dec 2007 (13.43%)
2006605 Apr 2006 (-4.46%), 07 Apr 2006 (9.12%), 08 May 2006 (9.97%), 11 Aug 2006 (-4.81%), 17 Aug 2006 (-5.7%), 18 Aug 2006 (11.45%)
2005719 May 2005 (-4.11%), 26 May 2005 (-4.08%), 02 Jun 2005 (-4.5%), 03 Jun 2005 (-4.7%), 14 Jun 2005 (-4.04%), 15 Jun 2005 (8.54%), 06 Jul 2005 (-4.58%)
20041712 Jan 2004 (-5.2%), 15 Jan 2004 (10.59%), 16 Apr 2004 (-4.02%), 19 Apr 2004 (-3.99%), 22 Apr 2004 (-3.97%), 23 Apr 2004 (8.05%), 04 May 2004 (-5.41%), 06 May 2004 (-5.19%), 07 May 2004 (10.48%), 17 Nov 2004 (-3.98%), 18 Nov 2004 (-4.03%), 06 Dec 2004 (-4.35%), 14 Dec 2004 (9.27%), 16 Dec 2004 (-5.85%), 20 Dec 2004 (-5.52%), 23 Dec 2004 (-5.49%), 24 Dec 2004 (12.49%)
20032216 Jan 2003 (-3.46%), 20 Jan 2003 (-3.49%), 21 Jan 2003 (6.96%), 07 Apr 2003 (-3.4%), 08 Apr 2003 (6.94%), 05 May 2003 (-2.94%), 06 May 2003 (6.1%), 29 May 2003 (9.05%), 21 Jul 2003 (-5.33%), 31 Jul 2003 (-4.93%), 01 Aug 2003 (-4.96%), 21 Aug 2003 (-5.52%), 27 Aug 2003 (10.92%), 17 Nov 2003 (-4.81%), 18 Nov 2003 (-4.91%), 19 Nov 2003 (-4.96%), 20 Nov 2003 (-5.01%), 24 Nov 2003 (-5.39%), 03 Dec 2003 (-5.25%), 04 Dec 2003 (10.67%), 09 Dec 2003 (-6.14%), 26 Dec 2003 (-4.85%)
20021206 Feb 2002 (-3.69%), 07 Feb 2002 (-3.94%), 11 Feb 2002 (-4.03%), 15 Feb 2002 (-4.23%), 18 Feb 2002 (-4.62%), 19 Feb 2002 (-5.8%), 22 Feb 2002 (-6.1%), 25 Feb 2002 (-6.1%), 26 Feb 2002 (12.3%), 24 Jun 2002 (9.77%), 12 Sep 2002 (6.71%), 13 Dec 2002 (7.63%)
2001319 Nov 2001 (-4.7%), 21 Nov 2001 (-4.9%), 26 Nov 2001 (-4.54%)
2000431 Jan 2000 (-5.77%), 01 Feb 2000 (-5.71%), 02 Feb 2000 (-5.44%), 03 Feb 2000 (12.55%)
19991508 Jan 1999 (-4.73%), 11 Jan 1999 (9.64%), 19 May 1999 (-4.61%), 07 Jul 1999 (-3.86%), 08 Jul 1999 (-3.88%), 09 Jul 1999 (-3.82%), 12 Jul 1999 (8.29%), 18 Aug 1999 (-5.96%), 19 Aug 1999 (-5.66%), 20 Aug 1999 (-5.39%), 23 Aug 1999 (-5.17%), 24 Aug 1999 (-4.99%), 25 Aug 1999 (-6.27%), 27 Aug 1999 (-6.31%), 01 Sep 1999 (13.67%)
1998916 Apr 1998 (-5.6%), 20 Apr 1998 (-5.44%), 21 Apr 1998 (-5.32%), 22 Apr 1998 (10.88%), 21 Sep 1998 (-4.2%), 23 Sep 1998 (-4.42%), 24 Sep 1998 (-4.35%), 25 Sep 1998 (-4.25%), 28 Sep 1998 (10.1%)



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