Study: Sell KSCL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell KSCL 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 KSCL 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
129652.83502723543797.8114953.27-3169.05-11836.281.21.410.036593.06
22197295030206010513.65157865-4784.02-16500.742.23.30.0574394.58
32084105029215811218.09157239-5567.36-14177.732.012.780.0544168.2
41855065025255014013.34159043-6593.1-14888.542.132.130.0463710.12
51027725026245212456.91160157-9212.8-25716.561.351.460.0252055.45
694602.125024264814485.83158767-9732.99-27561.291.491.370.0221892.04
71039885026245214722.84153354-11616.93-21465.091.271.370.0252079.75
842194.035022284416941.38153271-11804.15-25237.351.441.130.0099843.88
971481.325022284417685.82151762-11343.1-30177.851.561.230.0171429.63
1083804.565023274618888.98150840-12986.74-45071.721.451.240.0191676.09
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
KSCL Performance, X=2, Profit Factor:3.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-1.77%)
2018311 Apr 2018 (0.6%), 19 Jun 2018 (0.42%), 13 Dec 2018 (1.2%)
2017413 Jan 2017 (-2.82%), 07 Mar 2017 (2.74%), 24 Mar 2017 (4.03%), 01 Jun 2017 (-2.54%)
2016308 Jun 2016 (2.3%), 06 Oct 2016 (-2.04%), 24 Oct 2016 (0.79%)
2015205 Feb 2015 (6.15%), 09 Mar 2015 (5.95%)
2014523 Jan 2014 (78.93%), 24 Jun 2014 (0.76%), 08 Jul 2014 (5.31%), 27 Aug 2014 (-0.33%), 11 Sep 2014 (4.22%)
2013615 Jan 2013 (3.12%), 28 May 2013 (0.39%), 13 Jun 2013 (0.86%), 02 Jul 2013 (-0.56%), 12 Dec 2013 (-1.89%), 27 Dec 2013 (-1.09%)
20121201 Feb 2012 (4.17%), 15 Feb 2012 (-8.25%), 12 Apr 2012 (-1.83%), 26 Apr 2012 (0.93%), 25 Jun 2012 (-3.58%), 29 Aug 2012 (0.3%), 11 Sep 2012 (-3.98%), 26 Sep 2012 (1.58%), 22 Oct 2012 (0.78%), 07 Nov 2012 (-1.27%), 22 Nov 2012 (-2.04%), 07 Dec 2012 (-0.39%)
2011328 Jun 2011 (0.06%), 15 Jul 2011 (0.66%), 29 Jul 2011 (3.14%)
2010512 Jan 2010 (-1.72%), 02 Aug 2010 (11.74%), 21 Sep 2010 (0.89%), 05 Oct 2010 (3.22%), 03 Nov 2010 (-3.6%)
2009527 Feb 2009 (1.91%), 25 May 2009 (1.84%), 08 Jun 2009 (-2.86%), 31 Jul 2009 (-4.59%), 29 Sep 2009 (-0.69%)
2007112 Dec 2007 (8.69%)

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
atrtrail-14.75-118675111288325.2313980.7145149-6146.19-14616.872.270.77-0.02-1069.14
atrnil36.54-22973699178217.1724944.9942788.41-7973.18-14616.873.130.65-0.054-2320.56
atrnil25.22-22438199237623.2316534.7128525.61-7956.31-14616.872.080.63-0.063-2266.48
atrtrail23.91-190383111288325.2311242.5428525.61-6086.44-14616.871.850.62-0.058-1715.17
atrtrail34.28-223926111288325.2310221.7241661.57-6146.19-14616.871.660.56-0.067-2017.35

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 25.23%, which is not acceptable. Avoid this strategy. Average return per trade is -0.53%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
KSCL Performance, Profit Factor:0.767

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019128 May 2019 (-2.75%)
2018311 Apr 2018 (-1.72%), 19 Jun 2018 (4.26%), 13 Dec 2018 (0.66%)
20171113 Jan 2017 (-2.06%), 17 Jan 2017 (-3.39%), 19 Jan 2017 (-3.11%), 25 Jan 2017 (4.04%), 07 Mar 2017 (-0.58%), 16 Mar 2017 (-2.87%), 20 Mar 2017 (-0.52%), 24 Mar 2017 (0.85%), 01 Jun 2017 (-3.73%), 06 Jun 2017 (-2.6%), 08 Jun 2017 (3.73%)
2016308 Jun 2016 (4.6%), 06 Oct 2016 (-3.25%), 18 Oct 2016 (6.98%)
2015205 Feb 2015 (1.87%), 09 Mar 2015 (4.47%)
20141207 Jan 2014 (-3.34%), 08 Jan 2014 (0.42%), 23 Jan 2014 (72.57%), 24 Jun 2014 (-2.23%), 30 Jun 2014 (-4.48%), 03 Jul 2014 (-4.49%), 08 Jul 2014 (-4.58%), 27 Aug 2014 (-3.66%), 03 Sep 2014 (-3.46%), 08 Sep 2014 (-1.94%), 11 Sep 2014 (-3.23%), 12 Sep 2014 (17.83%)
20131215 Jan 2013 (7.81%), 28 May 2013 (-3.16%), 03 Jun 2013 (-3.72%), 04 Jun 2013 (-1.76%), 13 Jun 2013 (-1.07%), 02 Jul 2013 (3.65%), 12 Dec 2013 (-3.54%), 16 Dec 2013 (-1.56%), 19 Dec 2013 (-3.35%), 20 Dec 2013 (-1.19%), 27 Dec 2013 (-1.52%), 31 Dec 2013 (-2.1%)
20123501 Feb 2012 (0.91%), 15 Feb 2012 (-3.82%), 16 Feb 2012 (-3.95%), 21 Feb 2012 (-2.05%), 28 Feb 2012 (-0.06%), 12 Apr 2012 (-3.98%), 13 Apr 2012 (-3.89%), 16 Apr 2012 (-4.35%), 19 Apr 2012 (-1.26%), 24 Apr 2012 (1.82%), 25 Jun 2012 (-3.72%), 26 Jun 2012 (-1.01%), 05 Jul 2012 (4.65%), 29 Aug 2012 (-1.86%), 05 Sep 2012 (-2.48%), 07 Sep 2012 (-3.16%), 10 Sep 2012 (-2.37%), 12 Sep 2012 (-2.96%), 13 Sep 2012 (-3.03%), 20 Sep 2012 (-2.98%), 21 Sep 2012 (-3.0%), 24 Sep 2012 (-2.94%), 25 Sep 2012 (-2.92%), 26 Sep 2012 (-1.35%), 03 Oct 2012 (-2.73%), 08 Oct 2012 (1.17%), 22 Oct 2012 (-4.11%), 23 Oct 2012 (0.39%), 07 Nov 2012 (-2.81%), 12 Nov 2012 (-4.37%), 15 Nov 2012 (-2.99%), 23 Nov 2012 (-4.22%), 30 Nov 2012 (-3.71%), 07 Dec 2012 (-1.57%), 17 Dec 2012 (-3.34%)
2011528 Jun 2011 (-2.79%), 07 Jul 2011 (-1.26%), 15 Jul 2011 (-2.45%), 25 Jul 2011 (-1.92%), 27 Jul 2011 (4.72%)
20101412 Jan 2010 (-4.74%), 15 Jan 2010 (0.51%), 02 Aug 2010 (7.53%), 21 Sep 2010 (-2.61%), 27 Sep 2010 (-3.87%), 28 Sep 2010 (-4.0%), 29 Sep 2010 (-4.1%), 01 Oct 2010 (-3.85%), 06 Oct 2010 (-0.68%), 11 Oct 2010 (1.25%), 03 Nov 2010 (-4.08%), 05 Nov 2010 (-4.3%), 08 Nov 2010 (-4.82%), 10 Nov 2010 (0.09%)
20091227 Feb 2009 (-0.76%), 25 May 2009 (-1.4%), 29 May 2009 (-2.59%), 04 Jun 2009 (-6.14%), 05 Jun 2009 (-6.5%), 08 Jun 2009 (-7.31%), 10 Jun 2009 (10.24%), 31 Jul 2009 (-6.12%), 04 Aug 2009 (-6.02%), 07 Aug 2009 (6.48%), 29 Sep 2009 (-4.79%), 30 Sep 2009 (4.32%)
2007112 Dec 2007 (17.9%)



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