Study: Sell LUPIN when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell LUPIN 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 LUPIN 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
134526.7383513261.453106.9917361.72-3872.8-13610.430.81.280.022415.98
2-19367.0583414249.43841.2512468.71-4210.92-17300.890.910.89-0.01-233.34
3-15112.383424150.64919.1319748.07-5407.7-19522.330.910.93-0.0063-182.08
4-2067.2383453854.226765.0521018.44-8065.64-34406.370.840.99-0.00063-24.91
55957.2683443953.017547.5936538.68-8362.48-418830.91.020.001671.77
6-24105.8383394446.998883.2328281.19-8421.63-30025.581.050.93-0.0063-290.43
7-15531383414249.47335.6939496.14-10858.96-34456.930.680.66-0.037-1871.24
8-22181483374644.588180.5452255.18-11402.05-43338.680.720.58-0.046-2672.46
9-36088683354842.179027.354205.61-14100.86-52451.30.640.47-0.064-4348.02
10-41450583335039.769195.6555099.55-14359.22-47514.040.640.42-0.074-4994.03

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.45%, which is good. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1134526.7383513261.453106.9917361.72-3872.8-13610.430.81.280.022415.98
atrnil25.04-1772081665011630.1213764.6623416.81-7460.7-16814.131.840.8-0.025-1067.52
atrnil36.66-3203651633412920.8619197.235125.21-7543.18-16814.132.540.67-0.041-1965.43
atrtrail23.49-2435841876012732.097990.3522086.94-5692.95-13456.491.40.66-0.04-1302.59
atrtrail33.81-3435731865513129.576986.2132274.35-5555.84-13456.491.260.53-0.06-1847.17
atrtrail-14.22-3533121865513129.576809.1533424.88-5555.84-13456.491.230.51-0.06-1899.53

In the table above, row 1 shows the best exit criterion. Profit factor is 1.28. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.45%, which is good. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.022, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
LUPIN Performance, X=1, Profit Factor:1.28

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Apr 2019 (0.39%)
2018408 Jan 2018 (0.01%), 23 Jan 2018 (-2.32%), 12 Jun 2018 (-1.98%), 26 Jun 2018 (0.97%)
2016207 Jul 2016 (1.0%), 25 Jul 2016 (1.3%)
2015629 Jan 2015 (-1.98%), 13 Feb 2015 (1.02%), 28 Feb 2015 (-2.86%), 16 Mar 2015 (-0.65%), 30 Mar 2015 (-0.47%), 01 Oct 2015 (1.24%)
2014728 Feb 2014 (1.28%), 27 Jun 2014 (0.03%), 25 Jul 2014 (1.0%), 14 Aug 2014 (-1.51%), 01 Sep 2014 (-1.45%), 15 Sep 2014 (3.88%), 20 Nov 2014 (0.36%)
2013625 Mar 2013 (1.56%), 17 Apr 2013 (0.07%), 07 May 2013 (-2.27%), 04 Jul 2013 (1.84%), 18 Jul 2013 (-0.99%), 10 Oct 2013 (1.69%)
2012606 Feb 2012 (0.3%), 21 Mar 2012 (2.7%), 09 Apr 2012 (-1.04%), 16 Jul 2012 (0.22%), 31 Jul 2012 (0.85%), 10 Sep 2012 (1.72%)
2011329 Apr 2011 (1.84%), 31 May 2011 (0.7%), 14 Jul 2011 (-1.05%)
2010601 Feb 2010 (1.08%), 03 May 2010 (1.04%), 24 Jun 2010 (0.37%), 12 Oct 2010 (-0.41%), 11 Nov 2010 (1.65%), 29 Nov 2010 (-0.68%)
2009708 May 2009 (2.03%), 22 May 2009 (-0.82%), 23 Jul 2009 (2.04%), 25 Aug 2009 (0.06%), 16 Sep 2009 (2.08%), 05 Oct 2009 (-3.29%), 18 Dec 2009 (1.3%)
2008324 Apr 2008 (-0.28%), 15 May 2008 (-4.83%), 30 May 2008 (4.96%)
2007302 Jan 2007 (0.53%), 20 Apr 2007 (-1.84%), 14 Dec 2007 (5.16%)
2006731 Jan 2006 (1.8%), 15 Feb 2006 (-1.88%), 03 Apr 2006 (0.13%), 27 Apr 2006 (-0.08%), 17 Aug 2006 (-1.39%), 01 Dec 2006 (-2.73%), 15 Dec 2006 (-0.94%)
2005103 Jun 2005 (-2.33%)
2004625 Mar 2004 (1.79%), 08 Apr 2004 (-4.9%), 23 Apr 2004 (1.13%), 10 May 2004 (3.08%), 06 Dec 2004 (0.72%), 20 Dec 2004 (-0.59%)
2003903 Jan 2003 (-1.42%), 16 May 2003 (2.41%), 30 May 2003 (0.46%), 13 Jun 2003 (1.87%), 27 Jun 2003 (-0.81%), 11 Jul 2003 (0.99%), 25 Jul 2003 (-2.83%), 22 Aug 2003 (8.68%), 05 Sep 2003 (-4.56%)
2002422 Feb 2002 (-6.81%), 16 Apr 2002 (2.31%), 02 Dec 2002 (0.23%), 18 Dec 2002 (2.33%)
2001221 Nov 2001 (0.86%), 10 Dec 2001 (2.15%)



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