Study: Sell JISLJALEQS when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell JISLJALEQS 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 JISLJALEQS 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
1-32040.8762342854.844679.3716639.12-6826.41-24810.610.690.83-0.016-516.79
214255.0462382461.296914.9817320.17-10354.76-29891.070.671.060.0053229.92
344364.5662342854.849302.9326246.19-9711.97-37487.130.961.160.014715.56
414632662362658.0610744.0332553.41-9248.45-36869.211.161.610.0442360.09
517439962362658.0611531.9244693.12-9259.62-36869.211.251.720.0472812.89
614888362303248.3914232.5843845.37-8690.44-37075.181.641.540.0382401.34
710589962332953.2313312.4443964.06-11496.95-52138.731.161.320.0241708.05
8-15135.8862293346.7715213.8345863-13828.39-51560.691.10.97-0.003-244.13
93391.336231315016424.1545795.18-16314.75-55606.941.011.010.0006154.7
10-10568762332953.2313928.2149203.12-19493.73-83930.640.710.81-0.018-1704.63
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
atrtrail33.62-194461137419629.9312945.3239675.95-7554.36-14816.241.710.73-0.03-1419.42
atrtrail23.24-22491214042983012319.2426450.63-7574.7-14816.241.630.7-0.037-1606.52
atrtrail-13.99-258481137419629.9311383.8552854.46-7554.36-14816.241.510.64-0.042-1886.72
atrnil24.53-3865351343110323.1318332.6330430.26-9270.35-15028.011.980.6-0.058-2884.59
atrnil36.83-4894661261910715.0826398.6739675.95-9262.06-15215.132.850.51-0.071-3884.65

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
JISLJALEQS Performance, Profit Factor:0.732

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018304 Jan 2018 (-0.77%), 11 Jan 2018 (-3.99%), 12 Jan 2018 (1.84%)
2017505 Apr 2017 (-0.6%), 20 Apr 2017 (-1.41%), 25 Apr 2017 (11.53%), 02 Nov 2017 (-3.23%), 03 Nov 2017 (9.59%)
2016904 Jan 2016 (-3.49%), 06 Jan 2016 (11.26%), 18 Apr 2016 (-3.45%), 28 Jun 2016 (-3.32%), 01 Jul 2016 (4.02%), 22 Aug 2016 (-2.7%), 26 Aug 2016 (-0.3%), 01 Sep 2016 (-3.29%), 07 Sep 2016 (9.84%)
20141701 Apr 2014 (-3.31%), 07 Apr 2014 (-3.48%), 10 Apr 2014 (-3.31%), 11 Apr 2014 (0.92%), 23 Apr 2014 (-2.17%), 28 Apr 2014 (-4.06%), 29 Apr 2014 (0.29%), 05 May 2014 (-1.73%), 09 May 2014 (-4.74%), 12 May 2014 (-4.09%), 16 May 2014 (-4.94%), 19 May 2014 (-4.79%), 20 May 2014 (-5.13%), 21 May 2014 (-5.43%), 23 May 2014 (4.34%), 04 Jun 2014 (-1.92%), 09 Jun 2014 (4.99%)
2013407 Jan 2013 (-3.22%), 09 Jan 2013 (-2.26%), 15 Jan 2013 (10.64%), 07 May 2013 (3.0%)
2012302 Jul 2012 (-3.54%), 03 Jul 2012 (-3.6%), 06 Jul 2012 (2.19%)
2010609 Mar 2010 (-2.89%), 17 Mar 2010 (1.57%), 06 Apr 2010 (0.62%), 26 Apr 2010 (3.56%), 15 Jul 2010 (-1.13%), 02 Aug 2010 (1.26%)
20091806 Apr 2009 (-4.9%), 08 Apr 2009 (-5.4%), 09 Apr 2009 (-3.47%), 22 Apr 2009 (-5.28%), 27 Apr 2009 (-4.37%), 29 Apr 2009 (-1.15%), 07 May 2009 (4.97%), 18 May 2009 (-5.55%), 19 May 2009 (-6.25%), 20 May 2009 (-5.93%), 21 May 2009 (-2.34%), 01 Jun 2009 (-6.26%), 02 Jun 2009 (2.59%), 03 Jul 2009 (-4.96%), 15 Sep 2009 (-3.28%), 17 Sep 2009 (0.95%), 10 Nov 2009 (-2.56%), 27 Nov 2009 (-3.47%)
2008111 Aug 2008 (16.73%)
2007625 Jan 2007 (-0.81%), 05 Feb 2007 (-3.98%), 27 Jul 2007 (9.61%), 22 Nov 2007 (-3.9%), 03 Dec 2007 (-4.75%), 04 Dec 2007 (15.18%)
20061716 Jan 2006 (-3.28%), 19 Jan 2006 (-4.38%), 20 Jan 2006 (1.43%), 02 Feb 2006 (-1.51%), 03 Aug 2006 (-2.06%), 08 Aug 2006 (-4.25%), 14 Aug 2006 (1.91%), 30 Oct 2006 (-1.37%), 06 Nov 2006 (-3.27%), 07 Nov 2006 (-3.26%), 08 Nov 2006 (-4.05%), 09 Nov 2006 (-3.94%), 10 Nov 2006 (-2.35%), 16 Nov 2006 (0.82%), 21 Nov 2006 (-3.59%), 24 Nov 2006 (1.84%), 14 Dec 2006 (-0.87%)
20051708 Feb 2005 (-4.59%), 09 Feb 2005 (-4.63%), 11 Feb 2005 (14.01%), 23 Feb 2005 (-4.85%), 28 Feb 2005 (5.59%), 23 May 2005 (3.62%), 20 Jul 2005 (-3.59%), 22 Jul 2005 (-2.83%), 02 Aug 2005 (-3.82%), 03 Aug 2005 (-4.02%), 04 Aug 2005 (2.45%), 12 Aug 2005 (-4.41%), 16 Aug 2005 (-4.31%), 17 Aug 2005 (-4.36%), 18 Aug 2005 (12.8%), 25 Nov 2005 (-1.84%), 28 Nov 2005 (0.99%)
2004402 Jul 2004 (-5.08%), 05 Jul 2004 (-5.01%), 06 Jul 2004 (-4.42%), 07 Sep 2004 (3.99%)
20031608 May 2003 (-5.86%), 09 May 2003 (4.44%), 21 May 2003 (-2.62%), 30 May 2003 (19.84%), 25 Jun 2003 (-6.14%), 26 Jun 2003 (-5.83%), 27 Jun 2003 (-6.79%), 30 Jun 2003 (-7.24%), 01 Jul 2003 (-1.13%), 07 Jul 2003 (-7.41%), 08 Jul 2003 (-3.45%), 10 Jul 2003 (3.27%), 11 Sep 2003 (19.13%), 04 Dec 2003 (-5.98%), 08 Dec 2003 (-6.73%), 09 Dec 2003 (-2.48%)
20021106 May 2002 (-5.65%), 07 May 2002 (6.98%), 05 Jul 2002 (-5.95%), 08 Jul 2002 (18.06%), 10 Dec 2002 (-4.7%), 11 Dec 2002 (-1.28%), 16 Dec 2002 (-3.28%), 20 Dec 2002 (-4.45%), 24 Dec 2002 (-4.47%), 27 Dec 2002 (-4.28%), 30 Dec 2002 (12.72%)



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