Study: Sell KTKBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell KTKBANK 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 KTKBANK 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
1-15263975354046.673556.8217264.96-6928.18-29231.920.510.45-0.061-2035.18
2-196706753342445175.8416337.52-8750.22-33383.010.590.46-0.061-2622.75
3-261143753045405855.0436953.74-9706.54-52160.950.60.4-0.064-3481.91
4-34952875284737.336785.6333375.93-11479.28-81262.530.590.35-0.073-4660.38
5-389894753639486309.7131944.8-15821.62-87274.550.40.37-0.071-5198.58
6-43106875344145.336689.7630513.67-16061.46-71886.650.420.35-0.078-5747.57
7-43736775344145.337661.822179.29-17021.17-79358.720.450.37-0.075-5831.56
8-41785175344145.339270.1934157.65-17878.97-74749.50.520.43-0.065-5571.35
9-4895597533424410349.9735113.72-19788.29-80340.490.520.41-0.067-6527.46
10-6408797530454011600.9735471.51-21975.73-1361170.530.35-0.071-8545.05
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
atrnil23.66-4637921934614723.8316931.5327641.74-8453.35-13988.4920.63-0.05-2403.07
atrnil35.72-6518371832715614.7524358.0141462.6-8394.25-13988.492.90.5-0.069-3561.95
atrtrail22.79-5610052105016023.8111111.5727641.74-6978.65-13722.651.590.5-0.068-2671.45
atrtrail33.03-6753882094816122.979187.3932443.2-6934.05-13722.651.320.4-0.087-3231.52
atrtrail-13.21-7072582094816122.978523.4436744.53-6934.05-13722.651.230.37-0.094-3384.01

In the table above, row 1 shows the best exit criterion. Profit factor is 0.63. 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.
KTKBANK Performance, Profit Factor:0.627

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019217 Jan 2019 (5.56%), 20 Mar 2019 (-3.33%)
2018112 Jan 2018 (4.71%)
2017923 Feb 2017 (-2.88%), 28 Feb 2017 (-3.09%), 02 Mar 2017 (-3.24%), 16 Mar 2017 (-2.86%), 05 Apr 2017 (-2.23%), 11 Apr 2017 (5.2%), 28 Apr 2017 (-2.93%), 02 May 2017 (-2.99%), 04 May 2017 (5.77%)
2016822 Apr 2016 (-3.05%), 26 May 2016 (-3.2%), 06 Jun 2016 (-3.24%), 21 Jun 2016 (5.49%), 01 Jul 2016 (-2.62%), 04 Jul 2016 (-2.63%), 11 Jul 2016 (-2.67%), 15 Jul 2016 (5.22%)
2015527 May 2015 (6.75%), 22 Jun 2015 (-3.16%), 25 Jun 2015 (-3.36%), 02 Jul 2015 (-3.32%), 07 Jul 2015 (6.96%)
2014810 Mar 2014 (6.61%), 24 Mar 2014 (-3.14%), 26 Mar 2014 (-3.11%), 28 Mar 2014 (-2.99%), 19 May 2014 (-4.16%), 22 May 2014 (-3.99%), 11 Nov 2014 (-3.21%), 02 Dec 2014 (7.17%)
2013114 Oct 2013 (9.4%)
20122923 Jan 2012 (-3.46%), 24 Jan 2012 (-3.6%), 01 Feb 2012 (-3.58%), 02 Feb 2012 (-3.53%), 06 Feb 2012 (-3.47%), 07 Feb 2012 (-3.63%), 16 Feb 2012 (7.41%), 28 Jun 2012 (-3.8%), 06 Jul 2012 (-3.37%), 10 Jul 2012 (-3.36%), 11 Jul 2012 (-3.47%), 13 Jul 2012 (7.09%), 25 Sep 2012 (-3.57%), 26 Sep 2012 (-3.63%), 28 Sep 2012 (-3.61%), 03 Oct 2012 (-3.54%), 09 Oct 2012 (-3.75%), 12 Oct 2012 (-3.89%), 16 Oct 2012 (-3.83%), 18 Oct 2012 (-5.09%), 25 Oct 2012 (9.13%), 30 Oct 2012 (-5.26%), 02 Nov 2012 (-4.84%), 12 Nov 2012 (-4.17%), 23 Nov 2012 (-4.23%), 29 Nov 2012 (-4.31%), 30 Nov 2012 (-4.39%), 03 Dec 2012 (-4.33%), 10 Dec 2012 (9.55%)
2011113 Jun 2011 (6.85%)
2010909 Apr 2010 (-3.34%), 12 Apr 2010 (6.54%), 18 May 2010 (-3.73%), 20 May 2010 (-4.38%), 31 May 2010 (9.25%), 23 Jun 2010 (-4.38%), 24 Jun 2010 (8.6%), 02 Nov 2010 (-3.24%), 09 Nov 2010 (6.04%)
20091709 Apr 2009 (-4.72%), 13 Apr 2009 (-4.85%), 15 Apr 2009 (-5.21%), 22 Apr 2009 (-6.67%), 06 May 2009 (-6.02%), 08 May 2009 (-6.44%), 18 May 2009 (-5.56%), 19 May 2009 (-6.23%), 20 May 2009 (-6.13%), 21 May 2009 (-5.89%), 22 May 2009 (-6.62%), 25 May 2009 (-6.99%), 05 Jun 2009 (12.93%), 18 Sep 2009 (6.86%), 16 Oct 2009 (-3.73%), 17 Oct 2009 (-3.88%), 20 Oct 2009 (8.44%)
2008203 Jan 2008 (-5.49%), 08 Jan 2008 (11.11%)
20071119 Jan 2007 (-4.6%), 25 Jan 2007 (-4.14%), 29 Jan 2007 (-4.14%), 02 Feb 2007 (8.37%), 17 Jul 2007 (7.17%), 14 Sep 2007 (-3.42%), 17 Sep 2007 (-3.56%), 19 Sep 2007 (-3.4%), 20 Sep 2007 (-3.42%), 01 Oct 2007 (-3.69%), 03 Oct 2007 (7.41%)
2006916 Aug 2006 (-3.59%), 21 Aug 2006 (-3.63%), 22 Aug 2006 (-3.53%), 28 Aug 2006 (-3.32%), 04 Sep 2006 (6.65%), 30 Nov 2006 (-3.74%), 04 Dec 2006 (7.37%), 21 Dec 2006 (-5.05%), 22 Dec 2006 (-4.98%)
2005906 Jan 2005 (-5.88%), 10 Jan 2005 (10.81%), 07 Jun 2005 (-3.51%), 13 Jun 2005 (-3.5%), 14 Jun 2005 (6.94%), 06 Jul 2005 (9.11%), 08 Jul 2005 (-5.33%), 01 Aug 2005 (-5.14%), 02 Aug 2005 (9.98%)
20041902 Jan 2004 (-4.48%), 12 Jan 2004 (-4.74%), 15 Jan 2004 (9.34%), 01 Apr 2004 (-5.19%), 05 Apr 2004 (10.6%), 02 Nov 2004 (-3.62%), 04 Nov 2004 (-3.85%), 10 Nov 2004 (-4.89%), 16 Nov 2004 (-4.56%), 18 Nov 2004 (-4.38%), 06 Dec 2004 (-4.3%), 07 Dec 2004 (-4.29%), 08 Dec 2004 (-4.32%), 10 Dec 2004 (-4.22%), 13 Dec 2004 (-4.38%), 16 Dec 2004 (-4.68%), 17 Dec 2004 (-4.82%), 20 Dec 2004 (10.9%), 30 Dec 2004 (-6.1%)
20032313 Jan 2003 (-3.35%), 14 Jan 2003 (-3.38%), 15 Jan 2003 (-3.37%), 20 Jan 2003 (-3.72%), 21 Jan 2003 (-3.79%), 22 Jan 2003 (7.85%), 12 May 2003 (-3.77%), 13 May 2003 (-4.4%), 15 May 2003 (-4.46%), 16 May 2003 (-4.76%), 19 May 2003 (-4.8%), 21 May 2003 (-4.77%), 22 May 2003 (-4.61%), 23 May 2003 (-4.53%), 26 May 2003 (-4.74%), 29 May 2003 (9.85%), 03 Dec 2003 (-3.73%), 04 Dec 2003 (-3.89%), 09 Dec 2003 (-4.27%), 10 Dec 2003 (-4.47%), 11 Dec 2003 (-4.53%), 12 Dec 2003 (-4.53%), 15 Dec 2003 (-4.68%)
20021701 Feb 2002 (-2.77%), 04 Feb 2002 (-3.4%), 05 Feb 2002 (-4.19%), 06 Feb 2002 (-4.44%), 07 Feb 2002 (-4.54%), 08 Feb 2002 (-4.67%), 11 Feb 2002 (-4.98%), 18 Feb 2002 (10.75%), 19 Feb 2002 (-6.38%), 21 Feb 2002 (-6.72%), 22 Feb 2002 (-6.44%), 25 Feb 2002 (12.63%), 14 Mar 2002 (-6.86%), 15 Mar 2002 (-6.71%), 18 Mar 2002 (13.82%), 13 Jun 2002 (10.76%), 26 Aug 2002 (10.41%)
2001809 Feb 2001 (-4.2%), 13 Feb 2001 (-4.99%), 14 Feb 2001 (-4.87%), 15 Feb 2001 (-4.72%), 16 Feb 2001 (-4.86%), 21 Feb 2001 (11.51%), 02 Nov 2001 (-4.1%), 05 Nov 2001 (8.45%)
2000508 Dec 2000 (-4.03%), 11 Dec 2000 (-3.99%), 12 Dec 2000 (-3.96%), 13 Dec 2000 (-3.94%), 14 Dec 2000 (10.13%)



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