Study: Sell IRB when RSI is overbought

home > technical-strategy > irb > 61

In this study, we evaluate the performance of strategy "Sell IRB 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 IRB 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
143817.0734231167.654519.3521686.75-5466.19-25047.440.831.730.0531288.74
212563.5334181652.946983.1321226.17-7070.8-34307.40.991.110.011369.52
36378.32341717509014.5815975.01-8639.39-35597.721.041.040.0051187.6
416430.733417175012114.9521432.25-11148.43-39756.781.091.090.01483.26
5-382.63417175014041.4827398.48-14063.99-46024.3211-0.00019-11.25
6-34250.663417175013969.5132009.93-15984.26-63377.610.870.87-0.015-1007.37
7-87820.8834191555.8810218.4321329.76-18798.07-72106.260.540.69-0.041-2582.97
8-85324.3634201458.8210632.727219.99-21284.16-78254.270.50.71-0.036-2509.54
9-25526.0434221264.7111092.2427309.24-22462.94-83415.560.490.91-0.01-750.77
10-21767.6134201458.8212769.8730254.35-19797.49-88576.850.650.92-0.0086-640.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.73. 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 67.65%, which is good. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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-1143817.0734231167.654519.3521686.75-5466.19-25047.440.831.730.0531288.74
atrnil23.76-40257.5972244833.331737233246.74-9524.7-16714.341.820.91-0.013-559.13
atrnil35.83-70187.7871175423.942555049870.11-9343.29-16714.342.730.86-0.019-988.56
atrtrail22.72-62821.7779255431.6514373.7330961.91-7817.87-16714.341.840.85-0.02-795.21
atrtrail33.18-64744.6978245430.7714717.0646442.87-7739.89-16714.341.90.85-0.019-830.06
atrtrail-13.58-19575878245430.779258.1826070.11-7739.89-16714.341.20.53-0.082-2509.71

In the table above, row 1 shows the best exit criterion. Profit factor is 1.73. 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 67.65%, which is good. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, 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.
IRB Performance, X=1, Profit Factor:1.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018203 Apr 2018 (2.94%), 21 Dec 2018 (4.78%)
2017311 Jan 2017 (1.57%), 25 Jan 2017 (-1.36%), 26 Oct 2017 (0.86%)
2016322 Aug 2016 (0.49%), 08 Sep 2016 (2.3%), 23 Sep 2016 (1.65%)
2015119 Oct 2015 (1.52%)
2014707 Mar 2014 (-2.79%), 31 Mar 2014 (-0.63%), 09 May 2014 (-12.52%), 23 May 2014 (-1.32%), 06 Jun 2014 (-2.38%), 25 Jun 2014 (1.18%), 10 Nov 2014 (-0.29%)
2013216 May 2013 (0.61%), 05 Nov 2013 (6.8%)
2012424 Jan 2012 (2.83%), 16 Feb 2012 (-3.23%), 18 Sep 2012 (1.65%), 04 Oct 2012 (0.32%)
2011130 Mar 2011 (0.02%)
2010207 Apr 2010 (4.08%), 23 Aug 2010 (0.05%)
2009715 Apr 2009 (10.84%), 18 May 2009 (0.27%), 01 Jun 2009 (4.6%), 02 Jul 2009 (-1.3%), 27 Jul 2009 (0.87%), 27 Aug 2009 (1.5%), 07 Oct 2009 (-0.63%)
2008212 Dec 2008 (0.23%), 29 Dec 2008 (-3.62%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play