Study: Sell MANAPPURAM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell MANAPPURAM 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 MANAPPURAM 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
1-8239.644271761.363965.319950.25-6782.53-22426.470.580.93-0.0094-187.26
2-8194.1944261859.096152.5419895.29-9342.24-42647.060.660.95-0.0058-186.23
3-2554.8244242054.558386.5746559.05-10191.62-35661.760.820.99-0.0014-58.06
4-22877.22442222508189.5836012.86-9229.45-30882.350.890.89-0.013-519.94
530983.7544251956.829521.0944350.04-10897.03-24632.350.871.150.016704.18
642807.6444261859.099884.5442443.73-11899.47-36780.770.831.20.022972.9
738645.2444271761.3610129.1344010.2-13814.19-34158.780.731.160.019878.3
820073.144251956.8212450.5652676.3-15325.83-33354.630.811.070.0085456.21
98695.2643251858.1411253.2548428.21-15146.44-41408.210.741.030.0039202.22
10-53264.3943222151.1612668.3439932.03-15808-60687.340.80.84-0.021-1238.71
Although, strategy looks good but profit factor on day 4 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
atrnil24.62-13271382235928.0515604.5421749.29-8332.49-11736.551.870.73-0.049-1618.45
atrtrail23.09-16289495266927.3710860.421749.29-6453.11-11139.341.680.63-0.063-1714.67
atrnil36.41-23821781146717.2822722.2630422.86-8303.42-11736.552.740.57-0.081-2940.95
atrtrail-13.77-19936895266927.379457.5636624.38-6453.11-11139.341.470.55-0.077-2098.61
atrtrail33.51-21205595266927.378969.5924706.66-6453.11-11139.341.390.52-0.089-2232.16

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
MANAPPURAM Performance, Profit Factor:0.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191010 Jan 2019 (6.15%), 21 Feb 2019 (-3.47%), 05 Mar 2019 (-3.49%), 18 Mar 2019 (-3.22%), 24 May 2019 (7.38%), 24 Sep 2019 (-3.57%), 27 Sep 2019 (7.06%), 18 Oct 2019 (-3.67%), 23 Oct 2019 (-3.6%), 24 Oct 2019 (-3.76%)
2018408 Jan 2018 (7.28%), 10 Apr 2018 (-2.93%), 03 May 2018 (5.84%), 03 Aug 2018 (6.16%)
2017902 Feb 2017 (-3.8%), 03 Feb 2017 (-3.84%), 06 Feb 2017 (-3.98%), 09 Feb 2017 (-4.29%), 17 Feb 2017 (7.42%), 24 Jul 2017 (6.48%), 21 Dec 2017 (-3.72%), 26 Dec 2017 (-4.06%), 28 Dec 2017 (-3.97%)
20161910 Mar 2016 (-4.33%), 08 Apr 2016 (-3.48%), 20 Apr 2016 (-3.17%), 13 May 2016 (-3.64%), 23 May 2016 (-4.66%), 24 May 2016 (-4.57%), 03 Jun 2016 (-4.74%), 20 Jun 2016 (-4.0%), 21 Jun 2016 (-4.07%), 22 Jun 2016 (8.21%), 24 Jun 2016 (-4.7%), 30 Jun 2016 (-4.1%), 01 Jul 2016 (-4.0%), 04 Jul 2016 (-4.33%), 28 Jul 2016 (-3.74%), 01 Aug 2016 (-3.84%), 02 Aug 2016 (7.6%), 04 Aug 2016 (-4.31%), 08 Aug 2016 (8.21%)
2015130 Nov 2015 (-4.07%)
20141110 Jan 2014 (-5.44%), 13 Jan 2014 (-5.87%), 11 Feb 2014 (-4.39%), 12 Feb 2014 (9.47%), 13 May 2014 (6.26%), 19 Aug 2014 (-3.9%), 21 Aug 2014 (-4.31%), 22 Aug 2014 (8.81%), 07 Nov 2014 (-4.84%), 11 Nov 2014 (-4.94%), 19 Nov 2014 (8.98%)
2013803 Jan 2013 (-4.06%), 04 Jan 2013 (-4.43%), 08 Jan 2013 (8.82%), 25 Jul 2013 (-4.67%), 27 Aug 2013 (-4.83%), 29 Aug 2013 (-4.5%), 30 Aug 2013 (-4.82%), 02 Sep 2013 (10.14%)
2012902 Feb 2012 (7.44%), 25 Jun 2012 (-5.02%), 26 Jun 2012 (-5.02%), 27 Jun 2012 (-4.97%), 28 Jun 2012 (-5.49%), 10 Jul 2012 (-5.36%), 11 Jul 2012 (10.87%), 17 Aug 2012 (-4.33%), 09 Oct 2012 (-3.69%)
2011305 Apr 2011 (8.3%), 08 Nov 2011 (-3.69%), 11 Nov 2011 (7.13%)
2010807 Sep 2010 (-3.56%), 13 Sep 2010 (-3.98%), 27 Sep 2010 (-3.54%), 29 Sep 2010 (-3.41%), 01 Oct 2010 (-3.44%), 04 Oct 2010 (7.25%), 08 Nov 2010 (-4.17%), 12 Nov 2010 (8.19%)



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