Study: Sell KOTAKBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell KOTAKBANK 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 KOTAKBANK 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
1-208685113516245.134669.6416670.27-7207.04-40032.610.650.53-0.044-1846.77
2-321726113506344.255983.4630187.94-9855.54-67998.370.610.48-0.046-2847.13
3-420738113565749.566932.7833711.82-14192.52-69018.040.490.48-0.046-3723.35
4-452440113545947.799139.5137727.27-16033.46-72937.290.570.52-0.042-4003.9
5-428707113595452.2110586.44117067-19505.68-95049.50.540.59-0.031-3793.87
6-455251113536046.911949.26112322-18142.7-1188120.660.58-0.031-4028.77
7-467487113555848.6711659.1114817-19116.17-1432930.610.58-0.03-4137.06
8-578270113536046.911723.56115983-19993.65-1707840.590.52-0.033-5117.44
9-540345113545947.7912427.25118151-20532.48-2005310.610.55-0.03-4781.81
10-526995113526146.0214610.62120380-21094.22-2326690.690.59-0.028-4663.67
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
atrnil24.13-4636392476518226.3216094.431346.01-8295.47-17542.51.940.69-0.034-1877.08
atrtrail23.09-4669952677918829.5910450.4731346.01-6875.44-17542.51.520.64-0.038-1749.05
atrtrail33.46-5398142637518828.529821.4243457.58-6789.47-17542.51.450.58-0.043-2052.52
atrtrail-13.8-5670622637418928.149659.2102029-6782.24-17542.51.420.56-0.041-2156.13
atrnil36.24-7646632373819916.0323367.2343457.58-8304.61-17542.52.810.54-0.054-3226.43

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. 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.
KOTAKBANK Performance, Profit Factor:0.693

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019915 Mar 2019 (-1.9%), 18 Mar 2019 (-1.93%), 16 Apr 2019 (-1.78%), 03 May 2019 (-2.02%), 17 May 2019 (-2.15%), 20 May 2019 (-2.16%), 23 May 2019 (-2.31%), 30 May 2019 (4.38%), 03 Jun 2019 (4.72%)
20181222 Jan 2018 (-1.59%), 25 Jan 2018 (-1.72%), 29 Jan 2018 (3.49%), 16 Apr 2018 (-2.03%), 27 Apr 2018 (-1.93%), 30 Apr 2018 (-1.93%), 02 May 2018 (-2.17%), 14 May 2018 (-2.06%), 15 May 2018 (-2.15%), 31 May 2018 (-2.49%), 09 Jul 2018 (-1.72%), 13 Jul 2018 (3.34%)
20171325 Jan 2017 (4.21%), 23 Feb 2017 (-1.99%), 01 Mar 2017 (-1.99%), 14 Mar 2017 (-1.87%), 16 Mar 2017 (-1.79%), 23 Mar 2017 (-1.67%), 24 Mar 2017 (-1.71%), 05 Apr 2017 (-1.77%), 27 Apr 2017 (-1.94%), 12 May 2017 (-1.74%), 15 May 2017 (3.56%), 09 Jun 2017 (-1.4%), 18 Oct 2017 (4.05%)
2016203 Jun 2016 (4.2%), 01 Sep 2016 (-1.72%)
2015408 Jan 2015 (-2.51%), 12 Jan 2015 (-2.46%), 13 Jan 2015 (-2.47%), 15 Jan 2015 (4.96%)
20141710 Mar 2014 (-2.77%), 13 Mar 2014 (-2.83%), 31 Mar 2014 (-2.55%), 11 Apr 2014 (-2.46%), 09 May 2014 (-2.46%), 14 May 2014 (-2.51%), 16 May 2014 (-2.81%), 19 May 2014 (5.57%), 18 Jun 2014 (5.73%), 30 Jul 2014 (5.41%), 21 Aug 2014 (-2.42%), 25 Aug 2014 (-2.34%), 05 Sep 2014 (4.38%), 31 Oct 2014 (4.37%), 21 Nov 2014 (-3.2%), 05 Dec 2014 (-2.79%), 15 Dec 2014 (5.04%)
2013730 Jan 2013 (-2.0%), 06 Feb 2013 (3.89%), 25 Apr 2013 (-2.58%), 07 May 2013 (-2.57%), 15 May 2013 (-2.4%), 17 May 2013 (4.88%), 27 May 2013 (5.03%)
2012409 Feb 2012 (-3.4%), 13 Feb 2012 (6.75%), 25 Sep 2012 (4.78%), 30 Nov 2012 (4.4%)
2011330 Mar 2011 (-2.84%), 30 Jun 2011 (-2.62%), 04 Jul 2011 (-2.7%)
2010804 Aug 2010 (-2.27%), 19 Aug 2010 (4.82%), 13 Sep 2010 (-2.52%), 14 Sep 2010 (-2.79%), 15 Sep 2010 (-3.14%), 21 Sep 2010 (-3.14%), 04 Oct 2010 (-2.94%), 11 Oct 2010 (5.78%)
2009706 Apr 2009 (-6.46%), 13 Apr 2009 (-6.2%), 15 Apr 2009 (13.36%), 14 May 2009 (-7.36%), 18 May 2009 (-7.21%), 19 May 2009 (-7.57%), 15 Oct 2009 (7.0%)
2008202 Jan 2008 (11.06%), 05 May 2008 (10.3%)
20072119 Jan 2007 (-3.64%), 22 Jan 2007 (7.52%), 29 Jan 2007 (-5.33%), 02 Feb 2007 (-5.14%), 06 Feb 2007 (9.98%), 30 Apr 2007 (-4.11%), 03 May 2007 (-4.05%), 21 May 2007 (-3.56%), 22 May 2007 (7.57%), 29 Jun 2007 (-3.82%), 18 Jul 2007 (-4.25%), 20 Jul 2007 (-4.0%), 08 Aug 2007 (8.49%), 19 Sep 2007 (-4.95%), 24 Sep 2007 (-4.5%), 26 Sep 2007 (-4.56%), 03 Oct 2007 (8.99%), 20 Nov 2007 (-5.65%), 30 Nov 2007 (-6.04%), 05 Dec 2007 (-5.45%), 11 Dec 2007 (10.84%)
20061224 Mar 2006 (-4.27%), 20 Apr 2006 (-4.45%), 21 Apr 2006 (9.01%), 28 Apr 2006 (-5.25%), 04 May 2006 (-4.96%), 05 May 2006 (10.25%), 15 May 2006 (11.46%), 11 Aug 2006 (-4.74%), 16 Aug 2006 (-4.5%), 17 Aug 2006 (-4.6%), 14 Nov 2006 (-3.64%), 15 Nov 2006 (7.59%)
20051604 Jan 2005 (8.04%), 03 Feb 2005 (-4.29%), 07 Feb 2005 (-4.5%), 10 Feb 2005 (8.35%), 01 Mar 2005 (-5.67%), 02 Mar 2005 (-5.71%), 31 May 2005 (-4.84%), 01 Jun 2005 (-4.96%), 07 Jun 2005 (-4.88%), 11 Jul 2005 (-2.83%), 03 Aug 2005 (-3.1%), 04 Aug 2005 (-3.15%), 05 Aug 2005 (-3.24%), 08 Aug 2005 (7.69%), 02 Dec 2005 (-3.9%), 08 Dec 2005 (8.3%)
20041123 Sep 2004 (6.3%), 18 Nov 2004 (-3.16%), 19 Nov 2004 (-3.25%), 22 Nov 2004 (-3.27%), 24 Nov 2004 (-3.52%), 29 Nov 2004 (-3.76%), 30 Nov 2004 (-3.77%), 02 Dec 2004 (7.52%), 16 Dec 2004 (-4.31%), 24 Dec 2004 (-3.96%), 28 Dec 2004 (-3.82%)
20031107 Feb 2003 (-4.19%), 02 Jul 2003 (8.77%), 25 Jul 2003 (-4.72%), 28 Jul 2003 (9.87%), 18 Aug 2003 (10.13%), 30 Sep 2003 (-5.39%), 01 Oct 2003 (-5.45%), 08 Oct 2003 (-5.14%), 09 Oct 2003 (-4.97%), 10 Oct 2003 (-4.92%), 13 Oct 2003 (9.99%)
20021907 Jan 2002 (-6.38%), 08 Jan 2002 (-6.49%), 09 Jan 2002 (-6.68%), 11 Jan 2002 (-6.88%), 14 Jan 2002 (14.0%), 14 Feb 2002 (-6.82%), 15 Feb 2002 (-7.19%), 21 Feb 2002 (-7.52%), 22 Feb 2002 (-7.63%), 01 Mar 2002 (-8.77%), 04 Mar 2002 (-7.98%), 05 Mar 2002 (15.67%), 03 Apr 2002 (-6.9%), 12 Apr 2002 (-6.25%), 16 Apr 2002 (13.07%), 29 Nov 2002 (-4.02%), 13 Dec 2002 (-3.71%), 19 Dec 2002 (-3.63%), 20 Dec 2002 (7.35%)
2001515 Nov 2001 (-4.3%), 19 Nov 2001 (8.82%), 20 Nov 2001 (-5.28%), 22 Nov 2001 (-6.3%), 23 Nov 2001 (12.52%)
19994507 Jan 1999 (-5.06%), 08 Jan 1999 (9.92%), 24 May 1999 (-6.29%), 07 Jul 1999 (-5.31%), 08 Jul 1999 (-5.09%), 09 Jul 1999 (-5.17%), 12 Jul 1999 (-5.0%), 13 Jul 1999 (-5.6%), 14 Jul 1999 (-5.89%), 10 Aug 1999 (-4.91%), 11 Aug 1999 (-4.75%), 12 Aug 1999 (-4.62%), 13 Aug 1999 (-4.5%), 16 Aug 1999 (-4.4%), 17 Aug 1999 (-4.32%), 18 Aug 1999 (-4.24%), 19 Aug 1999 (-5.52%), 23 Aug 1999 (11.6%), 29 Sep 1999 (11.8%), 21 Oct 1999 (-6.07%), 22 Oct 1999 (-6.27%), 23 Oct 1999 (-5.92%), 25 Oct 1999 (-5.83%), 26 Oct 1999 (-6.04%), 27 Oct 1999 (14.49%), 29 Nov 1999 (-6.66%), 30 Nov 1999 (-6.25%), 01 Dec 1999 (-5.91%), 02 Dec 1999 (-5.61%), 03 Dec 1999 (-5.35%), 06 Dec 1999 (-5.13%), 07 Dec 1999 (-4.94%), 08 Dec 1999 (-4.78%), 09 Dec 1999 (-4.65%), 10 Dec 1999 (-4.53%), 13 Dec 1999 (-4.42%), 14 Dec 1999 (-4.33%), 15 Dec 1999 (-4.25%), 16 Dec 1999 (-4.19%), 17 Dec 1999 (-4.13%), 20 Dec 1999 (-4.08%), 21 Dec 1999 (-4.04%), 22 Dec 1999 (-4.0%), 23 Dec 1999 (-3.97%), 24 Dec 1999 (10.43%)
1998609 Mar 1998 (-5.98%), 11 Mar 1998 (11.32%), 09 Apr 1998 (-5.25%), 10 Apr 1998 (-4.99%), 15 Apr 1998 (-4.93%), 16 Apr 1998 (10.13%)
1997609 Jul 1997 (-4.26%), 10 Jul 1997 (-4.17%), 11 Jul 1997 (9.51%), 06 Aug 1997 (-4.85%), 07 Aug 1997 (-4.67%), 11 Aug 1997 (9.54%)
1996614 Feb 1996 (10.4%), 28 Aug 1996 (-3.29%), 29 Aug 1996 (-3.63%), 02 Sep 1996 (-3.63%), 03 Sep 1996 (7.56%), 04 Sep 1996 (8.82%)
1995125 Jul 1995 (-3.41%)



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