Study: Sell LT when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell LT 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 LT 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
1-11610062263641.942464.466175.99-5004.89-20396.10.490.36-0.09-1872.58
2-16621062253740.323436.8310258.42-6814.35-22934.310.50.34-0.098-2680.81
3-13839162253740.323371.7710485.49-6018.54-19130.860.560.38-0.093-2232.12
4-16753462233937.13634.169728.95-6438.97-28478.10.560.33-0.091-2702.16
5-20598562233937.13431.6410145.71-7305.44-30344.970.470.28-0.12-3322.33
6-19344362243838.714254.3812138.4-7777.59-25691.290.550.35-0.1-3120.05
7-24412562204232.265234.4219085.73-8305.09-32570.590.630.3-0.11-3937.51
8-24827862214133.874942.0416678.4-8586.84-32606.290.580.29-0.11-4004.48
9-22701662233937.14899.3118016.36-8710.25-28196.790.560.33-0.099-3661.54
10-31517762233937.15056.1614132.5-11063.29-58519.180.460.27-0.11-5083.49
Although, strategy looks good but profit factor on day 2 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
atrnil24.96-190827133359826.3211494.8921827.43-6052.53-12032.411.90.68-0.045-1434.79
atrnil37.05-2143101322510718.9417072.5631425.6-5991.81-12032.412.850.67-0.044-1623.56
atrtrail23.19-1811941554511029.037431.5521827.43-4687.39-12254.11.590.65-0.044-1168.99
atrtrail33.5-2048941554411128.397088.0520628.86-4655.57-12254.11.520.6-0.05-1321.9
atrtrail-13.77-2722481554411128.395557.2722912.82-4655.57-12254.11.190.47-0.078-1756.44

In the table above, row 1 shows the best exit criterion. Profit factor is 0.68. 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.
LT Performance, Profit Factor:0.678

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019512 Mar 2019 (-2.11%), 23 May 2019 (-2.59%), 24 May 2019 (-2.64%), 27 May 2019 (5.35%), 23 Sep 2019 (5.86%)
2018804 Jan 2018 (-1.93%), 08 Jan 2018 (-1.9%), 18 Jan 2018 (-1.84%), 22 Jan 2018 (-2.24%), 29 Jan 2018 (-2.1%), 01 Feb 2018 (4.44%), 13 Nov 2018 (-2.27%), 20 Nov 2018 (4.0%)
2017912 Jan 2017 (3.34%), 14 Mar 2017 (-1.73%), 03 Apr 2017 (-1.83%), 05 Apr 2017 (-1.88%), 24 Apr 2017 (-1.84%), 27 Apr 2017 (3.43%), 11 Sep 2017 (-2.01%), 18 Sep 2017 (3.9%), 30 Oct 2017 (-1.97%)
2016126 May 2016 (-2.98%)
2015622 Jan 2015 (-2.11%), 23 Jan 2015 (-2.12%), 27 Jan 2015 (4.19%), 02 Mar 2015 (5.58%), 25 Jun 2015 (4.41%), 10 Jul 2015 (4.22%)
20141524 Feb 2014 (-2.22%), 28 Feb 2014 (-2.09%), 06 Mar 2014 (-2.06%), 07 Mar 2014 (-2.3%), 10 Mar 2014 (-2.38%), 18 Mar 2014 (-2.53%), 26 Mar 2014 (-2.24%), 02 Apr 2014 (-2.32%), 23 Apr 2014 (4.99%), 19 May 2014 (-3.18%), 26 May 2014 (-3.33%), 28 May 2014 (-3.22%), 02 Jun 2014 (-3.34%), 09 Jun 2014 (7.11%), 31 Oct 2014 (-2.2%)
2013424 Oct 2013 (-3.32%), 02 Dec 2013 (-2.66%), 06 Dec 2013 (-2.64%), 09 Dec 2013 (5.41%)
2012717 Jan 2012 (-3.4%), 24 Jan 2012 (-3.57%), 05 Jul 2012 (5.24%), 17 Sep 2012 (-2.61%), 21 Sep 2012 (-2.68%), 04 Oct 2012 (4.66%), 05 Oct 2012 (-3.66%)
2011230 Jun 2011 (-2.33%), 07 Jul 2011 (4.6%)
2010818 Jun 2010 (-2.32%), 21 Jun 2010 (4.57%), 14 Jul 2010 (-1.94%), 22 Jul 2010 (3.57%), 17 Sep 2010 (-1.84%), 20 Sep 2010 (-1.86%), 21 Sep 2010 (-1.95%), 01 Oct 2010 (4.13%)
20091206 Apr 2009 (-4.51%), 08 Apr 2009 (-4.64%), 09 Apr 2009 (-4.57%), 15 Apr 2009 (-5.07%), 04 May 2009 (-5.2%), 06 May 2009 (-4.98%), 18 May 2009 (-5.45%), 19 May 2009 (-5.94%), 20 May 2009 (-6.02%), 04 Jun 2009 (-5.29%), 05 Jun 2009 (-5.14%), 10 Jun 2009 (10.48%)
20072418 Jan 2007 (-2.84%), 02 Feb 2007 (-3.0%), 07 Feb 2007 (5.79%), 29 May 2007 (-3.1%), 30 May 2007 (-3.26%), 31 May 2007 (6.7%), 21 Jun 2007 (-3.18%), 25 Jun 2007 (-3.24%), 02 Jul 2007 (-2.87%), 04 Jul 2007 (-2.82%), 05 Jul 2007 (-2.8%), 09 Jul 2007 (-2.67%), 20 Jul 2007 (-2.82%), 23 Jul 2007 (-3.08%), 24 Jul 2007 (6.24%), 20 Sep 2007 (-2.53%), 24 Sep 2007 (-2.65%), 05 Oct 2007 (-3.16%), 10 Oct 2007 (-3.51%), 11 Oct 2007 (6.88%), 26 Oct 2007 (-5.05%), 29 Oct 2007 (-4.97%), 01 Nov 2007 (10.23%), 13 Nov 2007 (10.91%)
20061216 Jan 2006 (-2.92%), 19 Jan 2006 (-3.0%), 25 Jan 2006 (-3.13%), 27 Jan 2006 (-3.16%), 30 Jan 2006 (-3.77%), 31 Jan 2006 (-3.77%), 01 Feb 2006 (-4.0%), 13 Feb 2006 (8.08%), 06 Sep 2006 (-2.83%), 18 Sep 2006 (6.04%), 23 Nov 2006 (-2.52%), 05 Dec 2006 (4.98%)
20051622 Feb 2005 (-2.96%), 23 Feb 2005 (-3.0%), 01 Mar 2005 (6.48%), 26 May 2005 (-2.58%), 11 Jul 2005 (-2.78%), 18 Jul 2005 (-2.81%), 04 Aug 2005 (5.79%), 28 Sep 2005 (-2.78%), 29 Sep 2005 (-3.04%), 30 Sep 2005 (-3.29%), 04 Oct 2005 (6.28%), 25 Nov 2005 (-3.05%), 26 Nov 2005 (-3.06%), 28 Nov 2005 (-3.04%), 30 Nov 2005 (-3.38%), 01 Dec 2005 (-3.41%)
2004401 Sep 2004 (7.41%), 01 Dec 2004 (-2.69%), 02 Dec 2004 (-2.9%), 03 Dec 2004 (5.88%)



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