Study: Sell JINDALSTEL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell JINDALSTEL 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 JINDALSTEL 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
1-19737789385142.75058.414682.6-7639.15-34305.450.660.49-0.059-2217.72
2-27061789365340.457763.6325840.81-10379.4-46917.110.750.51-0.054-3040.64
3-39274089315834.839864.3341994.15-12043.69-50983.150.820.44-0.065-4412.81
4-51549589286131.469719.7547665.66-12912.26-71067.420.750.35-0.076-5792.08
5-54892389315834.839512.5242569.93-14548.47-92790.260.650.35-0.076-6167.68
6-59596789286131.4611899.4742550.74-15232.01-88202.250.780.36-0.078-6696.26
7-59221389315834.8311542.4935766.04-16379.84-68166.50.70.38-0.078-6654.08
8-62592989375241.579575.3434911.95-18850.31-83955.490.510.36-0.079-7032.91
9-68408989325735.9610187.3934393.74-17720.8-86608.90.570.32-0.087-7686.39
10-85538588276130.6812088.3340621.85-19373.28-1178300.620.28-0.092-9720.28
Although, strategy looks good but profit factor on day 1 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
atrnil23.51-6573912415618523.2417379.3135580.58-8814.23-19863.191.970.6-0.053-2727.76
atrtrail22.82-5902112596519425.112461.3930698.62-7217.53-15034.21.730.58-0.052-2278.81
atrnil35.04-7316432323719515.9526506.7353370.87-8781.5-19863.193.020.57-0.052-3153.64
atrtrail33.18-6598252535919423.3212313.0945553.06-7145.86-15034.21.720.52-0.058-2608
atrtrail-13.47-8489502525819423.029144.3833611.61-7109.92-15034.21.290.38-0.092-3368.85

In the table above, row 1 shows the best exit criterion. Profit factor is 0.6. 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.
JINDALSTEL Performance, Profit Factor:0.597

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (-4.35%), 02 Apr 2019 (7.43%), 01 Nov 2019 (-4.74%), 04 Nov 2019 (-4.9%)
2018701 Jan 2018 (-3.34%), 03 Jan 2018 (-3.57%), 04 Jan 2018 (-4.0%), 08 Jan 2018 (-4.49%), 10 Jan 2018 (-4.65%), 15 Jan 2018 (-4.67%), 23 Jan 2018 (9.34%)
20171411 Jan 2017 (-4.01%), 03 Feb 2017 (-4.55%), 20 Feb 2017 (-4.57%), 21 Feb 2017 (-4.54%), 23 Feb 2017 (-4.81%), 27 Feb 2017 (-4.81%), 17 Mar 2017 (9.15%), 11 Jul 2017 (-3.5%), 19 Jul 2017 (6.34%), 26 Jul 2017 (-3.4%), 31 Jul 2017 (-3.54%), 02 Aug 2017 (6.73%), 26 Dec 2017 (-3.59%), 28 Dec 2017 (-3.49%)
2016205 Jul 2016 (7.45%), 27 Jul 2016 (9.94%)
2015719 Feb 2015 (-5.13%), 20 Feb 2015 (-5.62%), 28 Feb 2015 (11.29%), 30 Oct 2015 (10.25%), 20 Nov 2015 (-5.57%), 30 Nov 2015 (-5.31%), 01 Dec 2015 (10.18%)
2014627 Mar 2014 (-3.1%), 31 Mar 2014 (-3.17%), 03 Apr 2014 (6.49%), 27 May 2014 (-5.03%), 04 Jun 2014 (-4.73%), 06 Jun 2014 (9.01%)
2013203 Dec 2013 (-2.92%), 05 Dec 2013 (5.73%)
2012901 Feb 2012 (-3.74%), 09 Feb 2012 (-3.81%), 16 Feb 2012 (7.27%), 24 Sep 2012 (9.14%), 11 Dec 2012 (-2.84%), 14 Dec 2012 (-2.78%), 17 Dec 2012 (-2.84%), 19 Dec 2012 (-2.78%), 20 Dec 2012 (5.6%)
2010319 Aug 2010 (-2.38%), 23 Aug 2010 (-2.37%), 06 Oct 2010 (4.55%)
20092506 Jan 2009 (11.53%), 23 Mar 2009 (-4.74%), 26 Mar 2009 (-4.54%), 08 Apr 2009 (-5.25%), 09 Apr 2009 (-5.4%), 13 Apr 2009 (-5.33%), 20 Apr 2009 (-6.04%), 24 Apr 2009 (-5.56%), 04 May 2009 (-5.37%), 18 May 2009 (-5.56%), 19 May 2009 (-5.94%), 20 May 2009 (-6.24%), 25 May 2009 (-6.22%), 01 Jun 2009 (-5.83%), 10 Jun 2009 (-5.15%), 12 Jun 2009 (-5.18%), 16 Jun 2009 (11.86%), 23 Jul 2009 (-4.84%), 27 Jul 2009 (-4.48%), 29 Jul 2009 (9.83%), 08 Sep 2009 (8.02%), 16 Sep 2009 (-4.84%), 14 Oct 2009 (-3.76%), 15 Oct 2009 (-3.76%), 21 Oct 2009 (7.36%)
20073402 Feb 2007 (-3.72%), 05 Feb 2007 (8.29%), 11 Apr 2007 (-4.34%), 23 Apr 2007 (-3.88%), 30 Apr 2007 (-3.89%), 03 May 2007 (-4.0%), 16 May 2007 (-3.68%), 21 May 2007 (-3.58%), 01 Jun 2007 (-3.38%), 04 Jun 2007 (7.7%), 06 Jun 2007 (8.86%), 12 Jul 2007 (-3.42%), 19 Jul 2007 (-3.3%), 23 Jul 2007 (-3.52%), 12 Sep 2007 (-4.02%), 13 Sep 2007 (-4.02%), 20 Sep 2007 (-3.51%), 21 Sep 2007 (-4.09%), 24 Sep 2007 (8.49%), 03 Oct 2007 (-4.97%), 04 Oct 2007 (-5.17%), 05 Oct 2007 (-5.41%), 08 Oct 2007 (-5.76%), 10 Oct 2007 (-5.71%), 16 Oct 2007 (11.26%), 17 Oct 2007 (13.34%), 25 Oct 2007 (-7.52%), 29 Oct 2007 (-6.99%), 30 Oct 2007 (-6.8%), 31 Oct 2007 (-6.7%), 01 Nov 2007 (-7.4%), 05 Nov 2007 (15.18%), 26 Nov 2007 (-9.93%), 04 Dec 2007 (17.79%)
20061403 Mar 2006 (-4.09%), 06 Mar 2006 (8.42%), 31 Mar 2006 (-3.97%), 03 Apr 2006 (-3.95%), 05 Apr 2006 (-3.89%), 13 Oct 2006 (-3.38%), 01 Nov 2006 (-3.23%), 02 Nov 2006 (-3.19%), 07 Nov 2006 (-3.27%), 13 Nov 2006 (-3.03%), 16 Nov 2006 (6.23%), 28 Nov 2006 (-3.37%), 01 Dec 2006 (-3.19%), 07 Dec 2006 (6.94%)
20052603 Jan 2005 (-3.81%), 04 Jan 2005 (7.64%), 09 Feb 2005 (-3.61%), 10 Feb 2005 (-3.58%), 14 Feb 2005 (6.93%), 03 Mar 2005 (-3.54%), 04 Mar 2005 (-3.73%), 07 Mar 2005 (7.89%), 13 Jul 2005 (-2.75%), 19 Jul 2005 (5.32%), 04 Aug 2005 (-3.31%), 05 Aug 2005 (6.57%), 08 Aug 2005 (-3.68%), 10 Aug 2005 (-4.17%), 02 Sep 2005 (-3.32%), 09 Sep 2005 (-3.06%), 12 Sep 2005 (-3.07%), 13 Sep 2005 (-3.05%), 14 Sep 2005 (-3.27%), 20 Sep 2005 (6.62%), 23 Sep 2005 (-3.47%), 26 Sep 2005 (-3.55%), 30 Sep 2005 (-3.21%), 03 Oct 2005 (6.34%), 14 Dec 2005 (-3.28%), 22 Dec 2005 (6.07%)
20042102 Jan 2004 (10.11%), 08 Jan 2004 (-5.31%), 16 Jul 2004 (-5.57%), 19 Jul 2004 (-5.4%), 20 Jul 2004 (-5.75%), 02 Aug 2004 (-4.4%), 03 Aug 2004 (-4.42%), 04 Aug 2004 (8.85%), 01 Oct 2004 (-2.86%), 04 Oct 2004 (-2.88%), 06 Oct 2004 (-2.95%), 07 Oct 2004 (6.15%), 08 Oct 2004 (-3.89%), 09 Oct 2004 (7.76%), 29 Nov 2004 (-3.21%), 02 Dec 2004 (-2.93%), 03 Dec 2004 (-3.01%), 06 Dec 2004 (-3.15%), 22 Dec 2004 (-3.03%), 28 Dec 2004 (-2.93%), 29 Dec 2004 (-3.31%)
20032717 Jan 2003 (6.34%), 20 Jan 2003 (-3.62%), 21 Jan 2003 (-3.54%), 22 Jan 2003 (-4.24%), 23 Jan 2003 (8.52%), 29 May 2003 (-3.75%), 30 May 2003 (-3.8%), 04 Jun 2003 (10.26%), 02 Jul 2003 (-4.58%), 04 Jul 2003 (-4.41%), 08 Jul 2003 (-4.17%), 11 Aug 2003 (-4.39%), 12 Aug 2003 (-4.41%), 13 Aug 2003 (-4.55%), 14 Aug 2003 (-4.85%), 18 Aug 2003 (-4.85%), 19 Aug 2003 (-7.07%), 22 Aug 2003 (-6.62%), 05 Sep 2003 (-6.24%), 09 Oct 2003 (-5.11%), 13 Oct 2003 (9.88%), 15 Dec 2003 (-4.51%), 18 Dec 2003 (-4.23%), 19 Dec 2003 (-4.23%), 22 Dec 2003 (-5.47%), 30 Dec 2003 (-5.07%), 31 Dec 2003 (-5.23%)
20021911 Apr 2002 (-3.49%), 12 Apr 2002 (-3.51%), 18 Apr 2002 (8.07%), 10 Jun 2002 (-5.23%), 11 Jun 2002 (-5.26%), 12 Jun 2002 (-5.47%), 13 Jun 2002 (-5.75%), 18 Jun 2002 (-7.51%), 21 Jun 2002 (-7.12%), 24 Jun 2002 (-6.79%), 28 Jun 2002 (-6.9%), 02 Jul 2002 (-7.04%), 09 Jul 2002 (13.28%), 06 Sep 2002 (-4.78%), 23 Dec 2002 (-3.12%), 24 Dec 2002 (-3.13%), 26 Dec 2002 (-3.11%), 27 Dec 2002 (-3.11%), 31 Dec 2002 (-3.26%)
20011315 Jan 2001 (-4.84%), 16 Jan 2001 (-4.69%), 17 Jan 2001 (-4.56%), 18 Jan 2001 (-4.47%), 19 Jan 2001 (-4.79%), 22 Jan 2001 (-4.65%), 23 Jan 2001 (10.82%), 05 Feb 2001 (-6.12%), 06 Feb 2001 (-5.79%), 07 Feb 2001 (-5.51%), 08 Feb 2001 (11.23%), 14 Feb 2001 (-6.54%), 19 Nov 2001 (7.2%)
2000821 Jan 2000 (-4.72%), 24 Jan 2000 (-4.59%), 25 Jan 2000 (-4.94%), 27 Jan 2000 (10.53%), 08 Dec 2000 (-3.34%), 11 Dec 2000 (-3.4%), 12 Dec 2000 (-3.45%), 13 Dec 2000 (7.24%)



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