Study: Sell JSWENERGY when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell JSWENERGY 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 JSWENERGY 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
1-360.172112957.143597.347037.9-4836.47-12400.350.740.99-0.0012-17.15
2-24507.5221111052.384004.810318.66-6856.04-13996.630.580.64-0.061-1167.02
3-34707.632112957.143908.089822.12-9067.17-19130.430.430.57-0.075-1652.74
4-29936.742112957.145275.9913879.25-10360.96-21641.250.510.68-0.052-1425.56
5-80493.542171433.338569.0713525.94-10034.07-27487.350.850.43-0.12-3833.03
6-64378.092181338.17669.110507.46-9671.61-26138.280.790.49-0.11-3065.62
7-62048.6321111052.386843.0115554.27-13732.17-44688.030.50.55-0.077-2954.7
8-30398.562112957.148472.516000-14674.28-43338.950.580.77-0.037-1447.55
924092.632112957.1410026.419847.33-10691.58-20763.090.941.250.0341147.27
1010943.892112957.1410213.323039.56-12401.75-27280.780.821.10.013521.14
Although, strategy looks good but profit factor on day 5 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
atrnil23.61-75849.5849143528.5715725.8223584.77-8457.46-12152.391.860.74-0.049-1547.95
atrtrail22.89-71344.8753153828.312362.3423584.77-6757.37-12152.391.830.72-0.05-1346.13
atrtrail33.4-78258.0153153828.311901.4635377.15-6757.37-12152.391.760.7-0.052-1476.57
atrnil36.29-10267949103920.4122755.9935377.15-8467.65-12152.392.690.69-0.058-2095.48
atrtrail-13.64-11662653153828.39343.626784.86-6757.37-12152.391.380.55-0.092-2200.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.74. 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.
JSWENERGY Performance, Profit Factor:0.744

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017528 Jul 2017 (-3.54%), 12 Sep 2017 (-3.84%), 13 Sep 2017 (-4.13%), 20 Sep 2017 (7.62%), 27 Oct 2017 (7.72%)
2016408 Jun 2016 (-3.3%), 10 Jun 2016 (-3.66%), 15 Jun 2016 (-3.57%), 16 Jun 2016 (7.09%)
2015419 Jan 2015 (-3.77%), 28 Jan 2015 (-3.5%), 30 Jan 2015 (-3.35%), 02 Feb 2015 (6.66%)
20141420 Mar 2014 (-3.84%), 25 Mar 2014 (-3.73%), 28 Mar 2014 (-4.03%), 09 Apr 2014 (-3.79%), 10 Apr 2014 (7.62%), 19 May 2014 (-4.44%), 20 May 2014 (-4.8%), 22 May 2014 (-4.88%), 26 May 2014 (-5.45%), 05 Jun 2014 (10.12%), 27 Nov 2014 (-4.36%), 01 Dec 2014 (-4.26%), 02 Dec 2014 (8.55%), 19 Dec 2014 (-4.76%)
2013323 Apr 2013 (-4.39%), 02 Dec 2013 (-3.87%), 10 Dec 2013 (7.64%)
20121324 Jan 2012 (-5.18%), 30 Jan 2012 (-5.06%), 06 Feb 2012 (-4.92%), 08 Feb 2012 (-6.08%), 10 Feb 2012 (-5.79%), 15 Feb 2012 (-5.77%), 17 Feb 2012 (11.79%), 03 Jul 2012 (-4.11%), 05 Jul 2012 (8.0%), 24 Sep 2012 (-4.1%), 25 Sep 2012 (-4.1%), 04 Oct 2012 (-3.98%), 09 Oct 2012 (7.83%)
2011505 Apr 2011 (-3.29%), 06 Apr 2011 (-3.51%), 07 Apr 2011 (7.0%), 14 Jul 2011 (-2.87%), 15 Jul 2011 (5.89%)
2010103 May 2010 (6.54%)



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