Study: Sell LICHSGFIN when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell LICHSGFIN 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 LICHSGFIN 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
1-133159114526245.613725.7317936.61-5272.54-35683.20.710.59-0.036-1168.07
2-209079114496542.985258.4126850.12-7180.64-24489.80.730.55-0.042-1834.03
3-243935114427236.846749.8525407.43-7325.4-31051.110.920.54-0.047-2139.78
4-216281114466840.356461.3523576.58-7551.51-32786.890.860.58-0.04-1897.2
5-217657114496542.987541.2923735.67-9033.54-44744.460.830.63-0.034-1909.27
6-171780114555948.258052.7437551.02-10418.31-38321.770.770.72-0.025-1506.84
7-261611114506443.869428.0229931.97-11453.31-46238.940.820.64-0.035-2294.83
8-204642114516344.7410428.7941360.54-11690.64-40964.650.890.72-0.026-1795.1
9-274463114516344.7410781.9840816.33-13084.83-44469.030.820.67-0.031-2407.57
10-354617114496542.9811526.1451972.79-14144.59-49637.680.810.61-0.038-3110.68
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
atrnil23.81-3599092456418126.1214797.8727147.74-7220.84-14889.792.050.72-0.029-1469.02
atrnil35.55-4263012344419018.821310.4935973.74-7178.75-13632.122.970.69-0.032-1821.8
atrtrail23-3779502787820028.069955.0327147.74-5772.21-14060.141.720.67-0.033-1359.53
atrtrail33.45-4505232747619827.749078.4235441.66-5760.01-14060.141.580.6-0.039-1644.24
atrtrail-13.9-4806502747619827.748682.0159655.5-5760.01-14060.141.510.58-0.04-1754.2

In the table above, row 1 shows the best exit criterion. Profit factor is 0.72. 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.
LICHSGFIN Performance, Profit Factor:0.725

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Mar 2019 (-2.68%), 14 Mar 2019 (-2.59%), 22 Mar 2019 (-2.41%), 27 Mar 2019 (-2.38%), 02 Apr 2019 (4.53%), 29 May 2019 (-2.82%)
2018224 Jul 2018 (-2.71%), 07 Aug 2018 (-2.62%)
20171416 Mar 2017 (-1.79%), 27 Mar 2017 (-1.8%), 30 Mar 2017 (-1.74%), 10 Apr 2017 (-1.63%), 17 Apr 2017 (-1.62%), 18 Apr 2017 (-1.64%), 24 Apr 2017 (-1.69%), 25 Apr 2017 (-1.77%), 26 Apr 2017 (-1.89%), 02 May 2017 (-2.08%), 05 May 2017 (4.09%), 31 May 2017 (-2.29%), 09 Jun 2017 (-2.08%), 13 Jun 2017 (4.19%)
2016311 Jul 2016 (-2.23%), 26 Aug 2016 (-2.28%), 06 Sep 2016 (4.39%)
2015305 Jan 2015 (6.63%), 23 Jul 2015 (-2.94%), 04 Aug 2015 (5.62%)
20142607 Mar 2014 (-2.41%), 10 Mar 2014 (-2.54%), 11 Mar 2014 (5.43%), 14 Mar 2014 (-3.07%), 28 Mar 2014 (-2.67%), 02 Apr 2014 (5.81%), 03 Apr 2014 (-3.22%), 09 Apr 2014 (-3.12%), 10 Apr 2014 (-3.18%), 21 Apr 2014 (-3.22%), 23 Apr 2014 (6.26%), 12 May 2014 (-3.21%), 13 May 2014 (-3.26%), 14 May 2014 (-3.34%), 16 May 2014 (-3.73%), 19 May 2014 (-3.85%), 20 May 2014 (-4.37%), 04 Jun 2014 (8.31%), 09 Sep 2014 (4.85%), 05 Nov 2014 (-3.22%), 07 Nov 2014 (-3.22%), 11 Nov 2014 (-3.21%), 12 Nov 2014 (-3.2%), 14 Nov 2014 (-3.25%), 03 Dec 2014 (-2.91%), 10 Dec 2014 (6.21%)
2013202 Jan 2013 (4.45%), 17 May 2013 (6.1%)
2012916 Jan 2012 (-3.02%), 25 Jan 2012 (-3.66%), 06 Feb 2012 (-3.68%), 04 Jul 2012 (5.49%), 24 Sep 2012 (-3.07%), 04 Dec 2012 (-2.43%), 07 Dec 2012 (-2.38%), 17 Dec 2012 (-2.3%), 28 Dec 2012 (-2.28%)
2011328 Mar 2011 (-3.57%), 01 Apr 2011 (-3.37%), 05 Apr 2011 (6.63%)
20101329 Mar 2010 (-3.08%), 06 Apr 2010 (6.31%), 30 Apr 2010 (-3.12%), 15 Jul 2010 (-2.64%), 28 Jul 2010 (-2.63%), 05 Aug 2010 (-2.52%), 09 Aug 2010 (-2.5%), 16 Aug 2010 (5.31%), 17 Sep 2010 (-2.75%), 24 Sep 2010 (-2.93%), 27 Sep 2010 (-2.92%), 28 Sep 2010 (-2.96%), 29 Sep 2010 (5.98%)
20091809 Apr 2009 (-4.99%), 13 Apr 2009 (-4.94%), 23 Apr 2009 (-5.51%), 24 Apr 2009 (-5.38%), 29 Apr 2009 (-5.96%), 06 May 2009 (-6.37%), 12 May 2009 (-6.27%), 19 May 2009 (13.57%), 20 May 2009 (-7.44%), 27 May 2009 (-6.63%), 28 May 2009 (-6.58%), 01 Jun 2009 (-6.19%), 10 Jun 2009 (-6.27%), 24 Jun 2009 (-6.82%), 16 Sep 2009 (-3.95%), 18 Sep 2009 (-4.14%), 22 Sep 2009 (8.34%), 20 Oct 2009 (-3.75%)
2008328 Apr 2008 (-4.75%), 30 Apr 2008 (-5.03%), 02 May 2008 (9.93%)
20071614 May 2007 (-3.06%), 15 May 2007 (-3.26%), 22 May 2007 (6.08%), 21 Jun 2007 (-2.96%), 22 Jun 2007 (-2.98%), 25 Jun 2007 (-3.09%), 26 Jun 2007 (-3.06%), 29 Jun 2007 (-3.22%), 09 Jul 2007 (6.77%), 07 Sep 2007 (-3.71%), 27 Sep 2007 (-3.66%), 28 Sep 2007 (-3.66%), 03 Oct 2007 (8.11%), 29 Oct 2007 (-6.29%), 30 Oct 2007 (-6.77%), 19 Nov 2007 (12.73%)
2006907 Apr 2006 (-3.29%), 10 Apr 2006 (-3.31%), 18 Apr 2006 (-3.85%), 20 Apr 2006 (7.43%), 04 Sep 2006 (5.47%), 03 Oct 2006 (-2.59%), 09 Oct 2006 (-2.6%), 30 Oct 2006 (-2.96%), 01 Nov 2006 (6.31%)
20051204 Jan 2005 (6.53%), 07 Feb 2005 (-3.4%), 09 Feb 2005 (-3.28%), 14 Feb 2005 (-3.08%), 15 Feb 2005 (6.61%), 16 Feb 2005 (-3.9%), 17 Feb 2005 (-4.03%), 23 Feb 2005 (-4.19%), 04 Mar 2005 (-3.7%), 08 Mar 2005 (7.36%), 25 Apr 2005 (-4.02%), 26 Apr 2005 (7.82%)
20041108 Jan 2004 (-4.24%), 13 Jan 2004 (9.0%), 03 Sep 2004 (-3.61%), 08 Sep 2004 (-3.46%), 13 Sep 2004 (7.91%), 18 Nov 2004 (-3.12%), 19 Nov 2004 (-3.29%), 02 Dec 2004 (-3.33%), 10 Dec 2004 (-3.38%), 21 Dec 2004 (-3.01%), 27 Dec 2004 (-3.38%)
20032021 Apr 2003 (-2.76%), 23 Apr 2003 (-2.74%), 05 May 2003 (-3.16%), 21 May 2003 (-3.25%), 28 May 2003 (-3.42%), 30 May 2003 (8.26%), 02 Jun 2003 (-4.91%), 03 Jun 2003 (-5.05%), 04 Jun 2003 (-5.04%), 05 Jun 2003 (10.66%), 18 Jun 2003 (-6.03%), 19 Jun 2003 (11.94%), 16 Jul 2003 (-5.19%), 17 Jul 2003 (11.81%), 07 Oct 2003 (-4.59%), 08 Oct 2003 (-4.46%), 09 Oct 2003 (-4.39%), 10 Oct 2003 (-4.53%), 14 Oct 2003 (8.87%), 08 Dec 2003 (-4.96%)
20021518 Jan 2002 (-3.03%), 21 Jan 2002 (-3.18%), 22 Jan 2002 (6.58%), 01 Feb 2002 (-4.23%), 04 Feb 2002 (-4.41%), 05 Feb 2002 (-4.46%), 06 Feb 2002 (-4.55%), 07 Feb 2002 (-5.54%), 12 Feb 2002 (-5.29%), 14 Feb 2002 (-4.91%), 15 Feb 2002 (9.71%), 22 Feb 2002 (-5.41%), 25 Feb 2002 (-5.41%), 26 Feb 2002 (10.45%), 20 Jun 2002 (8.0%)
20011708 Feb 2001 (-3.06%), 09 Feb 2001 (-3.19%), 12 Feb 2001 (6.73%), 29 May 2001 (-2.61%), 30 May 2001 (-2.72%), 31 May 2001 (-2.95%), 01 Jun 2001 (-3.13%), 11 Jun 2001 (6.19%), 20 Aug 2001 (4.01%), 22 Oct 2001 (-2.34%), 23 Oct 2001 (-2.44%), 25 Oct 2001 (-2.56%), 09 Nov 2001 (-1.95%), 14 Nov 2001 (-2.84%), 23 Nov 2001 (-3.78%), 28 Nov 2001 (-3.34%), 10 Dec 2001 (5.75%)
20001124 Feb 2000 (-3.95%), 25 Feb 2000 (-4.02%), 28 Feb 2000 (8.86%), 06 Sep 2000 (-2.18%), 08 Sep 2000 (4.59%), 07 Nov 2000 (-2.73%), 08 Nov 2000 (-2.75%), 20 Nov 2000 (-2.78%), 24 Nov 2000 (-2.85%), 27 Nov 2000 (-2.84%), 11 Dec 2000 (6.03%)
1999808 Jan 1999 (8.91%), 01 Mar 1999 (-3.66%), 03 Mar 1999 (-3.68%), 04 Mar 1999 (8.59%), 11 May 1999 (8.93%), 07 Jul 1999 (-3.68%), 08 Jul 1999 (-3.99%), 12 Jul 1999 (8.0%)
1998616 Mar 1998 (-5.63%), 18 Mar 1998 (-5.45%), 06 Apr 1998 (-5.78%), 09 Apr 1998 (-5.65%), 10 Apr 1998 (-5.58%), 15 Apr 1998 (11.99%)
1997901 Jan 1997 (7.21%), 15 Jan 1997 (-3.85%), 21 Jan 1997 (8.06%), 05 Mar 1997 (8.12%), 07 May 1997 (-3.25%), 08 May 1997 (-3.29%), 14 May 1997 (6.17%), 24 Jul 1997 (-3.41%), 29 Jul 1997 (6.95%)
1996914 Feb 1996 (-4.78%), 16 Apr 1996 (-4.05%), 17 Apr 1996 (-4.23%), 18 Apr 1996 (-4.21%), 01 May 1996 (8.85%), 10 Jun 1996 (-3.71%), 11 Jun 1996 (-4.22%), 12 Jun 1996 (8.59%), 23 Jul 1996 (8.18%)



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