Study: Sell M&M when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell M&M 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 M&M 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
1-112073106515548.113429.9515998.78-5218.19-18618.480.660.61-0.036-1057.29
2-98517.46106505647.175369.9730712.76-6553.86-33341.130.820.73-0.022-929.41
3-12966.56106574953.776463.3838039.16-7783.25-42468.480.830.97-0.0024-122.33
410057.59106525449.068422.2948271.64-7924.1-44463.521.061.020.001694.88
537300.25106584854.728337.1344661.98-9296.94-34609.440.91.080.0057351.89
631978.03106565052.838837.1842337.11-9258.09-34824.280.951.070.0048301.68
742141.02106565052.839971.9742535.94-10325.79-33561.830.971.080.0059397.56
84848.16106574953.779887.6942826.55-11403.06-32707.670.871.010.0006645.74
9-51053.35106505647.1711781.748225.76-11431.04-39656.551.030.92-0.0063-481.64
10-183606106505647.1711720.3643912.51-13743.29-46685.30.850.76-0.021-1732.13
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
atrtrail23.45-84047.12317615532.91005823864.8-5473.9-13643.171.840.9-0.0086-363.84
atrtrail33.94-1470442307315731.749648.2735298.48-5422.72-13643.171.780.83-0.014-639.32
atrnil24.59-2856642095615326.7914095.2223864.8-7026.12-13643.172.010.73-0.028-1366.81
atrtrail-14.28-2363212297215731.448490.8235517.93-5399.11-13643.171.570.72-0.025-1031.97
atrnil36.35-3624192073816918.3621555.2235298.48-6991.23-13643.173.080.69-0.031-1750.82

In the table above, row 1 shows the best exit criterion. Profit factor is 0.9. 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 32.9%, which is not acceptable. Avoid this strategy. Average return per trade is -0.18%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
M&M Performance, Profit Factor:0.901

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018623 Apr 2018 (-2.17%), 24 Apr 2018 (-2.17%), 25 Apr 2018 (-2.18%), 30 Apr 2018 (0.06%), 07 May 2018 (4.41%), 31 May 2018 (-0.11%)
2017326 Apr 2017 (0.51%), 18 Dec 2017 (-2.01%), 19 Dec 2017 (4.0%)
2016418 Apr 2016 (-0.35%), 27 Apr 2016 (5.15%), 29 Jun 2016 (-2.07%), 01 Jul 2016 (-0.75%)
2015323 Jan 2015 (4.59%), 23 Jun 2015 (5.27%), 27 Nov 2015 (4.59%)
2014910 Mar 2014 (-0.0%), 14 Mar 2014 (-2.56%), 09 May 2014 (-2.3%), 12 May 2014 (-2.34%), 13 May 2014 (0.57%), 26 May 2014 (1.78%), 19 Aug 2014 (-1.38%), 22 Aug 2014 (-2.52%), 25 Aug 2014 (0.75%)
2013206 May 2013 (-0.82%), 20 May 2013 (5.34%)
20121106 Jul 2012 (4.24%), 16 Aug 2012 (-2.1%), 21 Aug 2012 (0.89%), 18 Sep 2012 (-0.36%), 24 Sep 2012 (-2.31%), 26 Sep 2012 (-2.32%), 27 Sep 2012 (-2.35%), 28 Sep 2012 (-1.52%), 05 Oct 2012 (2.44%), 02 Nov 2012 (0.35%), 21 Nov 2012 (0.1%)
2011206 Sep 2011 (-1.11%), 28 Oct 2011 (5.15%)
20101405 Jan 2010 (-3.23%), 12 Jan 2010 (6.21%), 16 Jun 2010 (-1.89%), 14 Sep 2010 (-2.56%), 20 Sep 2010 (-2.48%), 21 Sep 2010 (-2.22%), 27 Sep 2010 (-2.49%), 28 Sep 2010 (0.2%), 01 Oct 2010 (-2.66%), 04 Oct 2010 (-2.69%), 06 Oct 2010 (5.38%), 01 Nov 2010 (-1.82%), 04 Nov 2010 (-2.86%), 10 Nov 2010 (1.0%)
20091416 Mar 2009 (0.01%), 26 Mar 2009 (-1.35%), 02 Apr 2009 (-5.8%), 06 Apr 2009 (-0.53%), 15 Apr 2009 (11.93%), 04 May 2009 (3.79%), 18 May 2009 (-5.94%), 19 May 2009 (-6.82%), 20 May 2009 (3.46%), 01 Jun 2009 (-2.76%), 09 Jun 2009 (-5.97%), 11 Jun 2009 (10.99%), 03 Aug 2009 (9.22%), 12 Nov 2009 (-1.74%)
2007702 Jan 2007 (6.63%), 16 Jan 2007 (6.8%), 13 Jul 2007 (-0.36%), 24 Sep 2007 (-0.1%), 15 Oct 2007 (8.71%), 26 Dec 2007 (-4.02%), 31 Dec 2007 (7.76%)
20062016 Jan 2006 (-2.18%), 20 Jan 2006 (-2.64%), 24 Jan 2006 (-1.56%), 30 Jan 2006 (-2.53%), 31 Jan 2006 (-2.55%), 07 Feb 2006 (-0.9%), 10 Feb 2006 (-2.55%), 14 Feb 2006 (-2.66%), 15 Feb 2006 (-2.97%), 16 Feb 2006 (5.91%), 07 Mar 2006 (6.1%), 09 May 2006 (7.91%), 21 Aug 2006 (7.45%), 26 Oct 2006 (-3.18%), 27 Oct 2006 (-3.19%), 30 Oct 2006 (0.21%), 07 Nov 2006 (-2.44%), 09 Nov 2006 (-1.39%), 21 Nov 2006 (-0.52%), 29 Dec 2006 (-3.27%)
20053003 Jan 2005 (4.92%), 01 Jun 2005 (-1.26%), 09 Jun 2005 (-2.48%), 13 Jun 2005 (-2.78%), 14 Jun 2005 (-2.38%), 20 Jun 2005 (-2.0%), 22 Jun 2005 (1.91%), 06 Jul 2005 (-2.73%), 11 Jul 2005 (-0.28%), 19 Jul 2005 (-0.45%), 25 Jul 2005 (-2.79%), 26 Jul 2005 (5.73%), 27 Jul 2005 (-3.09%), 29 Jul 2005 (-3.88%), 03 Aug 2005 (-1.13%), 18 Aug 2005 (-1.37%), 26 Aug 2005 (6.7%), 12 Sep 2005 (6.24%), 05 Oct 2005 (6.93%), 14 Nov 2005 (-3.46%), 18 Nov 2005 (-3.09%), 23 Nov 2005 (-3.03%), 24 Nov 2005 (-3.01%), 25 Nov 2005 (-3.0%), 26 Nov 2005 (-2.94%), 28 Nov 2005 (1.07%), 01 Dec 2005 (-1.83%), 08 Dec 2005 (-2.9%), 13 Dec 2005 (-2.99%), 14 Dec 2005 (-0.33%)
20041108 Jan 2004 (-3.34%), 09 Jan 2004 (6.7%), 13 Jan 2004 (-3.83%), 16 Feb 2004 (3.21%), 08 Jul 2004 (8.34%), 17 Nov 2004 (0.17%), 29 Nov 2004 (-2.49%), 01 Dec 2004 (-1.62%), 14 Dec 2004 (-2.83%), 16 Dec 2004 (-1.21%), 21 Dec 2004 (-1.16%)
20033103 Jan 2003 (5.77%), 05 May 2003 (-2.54%), 16 May 2003 (-2.28%), 20 May 2003 (-0.82%), 26 May 2003 (-0.11%), 29 May 2003 (5.08%), 16 Jun 2003 (-2.44%), 24 Jun 2003 (-2.53%), 25 Jun 2003 (5.05%), 30 Jun 2003 (-3.1%), 02 Jul 2003 (-3.16%), 03 Jul 2003 (-3.19%), 08 Jul 2003 (6.45%), 10 Jul 2003 (-4.03%), 15 Jul 2003 (-4.08%), 17 Jul 2003 (8.75%), 29 Jul 2003 (-4.3%), 30 Jul 2003 (-0.68%), 11 Aug 2003 (-2.65%), 18 Aug 2003 (7.56%), 03 Oct 2003 (-4.29%), 06 Oct 2003 (-4.1%), 09 Oct 2003 (-3.31%), 16 Oct 2003 (-4.01%), 17 Oct 2003 (7.97%), 25 Oct 2003 (-2.76%), 29 Oct 2003 (-5.0%), 31 Oct 2003 (-4.63%), 04 Nov 2003 (3.23%), 29 Dec 2003 (-3.67%), 31 Dec 2003 (-3.68%)
20021018 Jan 2002 (0.11%), 15 Feb 2002 (4.11%), 15 Nov 2002 (-2.5%), 18 Nov 2002 (-2.47%), 20 Nov 2002 (-1.81%), 25 Nov 2002 (-1.14%), 28 Nov 2002 (-2.93%), 02 Dec 2002 (0.5%), 05 Dec 2002 (5.86%), 27 Dec 2002 (-2.86%)
2001906 Feb 2001 (-2.85%), 20 Feb 2001 (8.13%), 01 Nov 2001 (-4.86%), 02 Nov 2001 (-4.83%), 06 Nov 2001 (0.93%), 15 Nov 2001 (-4.83%), 19 Nov 2001 (0.88%), 21 Nov 2001 (11.47%), 11 Dec 2001 (10.58%)
2000804 Jan 2000 (-4.36%), 05 Jan 2000 (-4.92%), 06 Jan 2000 (0.28%), 11 Jan 2000 (10.77%), 17 Jan 2000 (-5.96%), 18 Jan 2000 (-5.97%), 19 Jan 2000 (11.77%), 14 Feb 2000 (11.71%)
19992107 Jan 1999 (-3.32%), 08 Jan 1999 (-3.33%), 15 Feb 1999 (-4.08%), 16 Feb 1999 (-4.04%), 17 Feb 1999 (-4.0%), 18 Feb 1999 (-4.7%), 19 Feb 1999 (-5.08%), 24 Feb 1999 (-2.36%), 03 Mar 1999 (-1.78%), 07 Jul 1999 (-4.87%), 08 Jul 1999 (-4.73%), 09 Jul 1999 (-4.71%), 12 Jul 1999 (-4.75%), 13 Jul 1999 (-4.8%), 14 Jul 1999 (4.78%), 27 Jul 1999 (-2.15%), 29 Jul 1999 (-4.18%), 04 Aug 1999 (-5.44%), 05 Aug 1999 (3.56%), 18 Aug 1999 (-3.46%), 20 Aug 1999 (10.51%)
1998201 Apr 1998 (-3.73%), 02 Apr 1998 (-0.91%)
1997814 Jan 1997 (-2.88%), 16 Jun 1997 (-3.02%), 17 Jun 1997 (-2.53%), 24 Jun 1997 (-3.05%), 25 Jun 1997 (-1.53%), 09 Jul 1997 (-0.12%), 21 Jul 1997 (5.38%), 11 Aug 1997 (5.62%)
1996510 Jun 1996 (-0.61%), 13 Jun 1996 (-2.83%), 14 Jun 1996 (-3.07%), 17 Jun 1996 (-4.19%), 19 Jun 1996 (8.55%)
1995114 Aug 1995 (5.01%)



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