Study: Sell MARICO when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell MARICO 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 MARICO 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
115891.3872333945.834146.89804.81-3101.36-12096.111.341.130.011220.71
2-62239.1572353748.615357.3116547.62-6749.87-24717.540.790.75-0.022-864.43
3-80059.0472343847.226409.9421708.74-7842.02-37098.30.820.73-0.023-1111.93
4-57284.6372383452.786836.5233361.86-9325.66-34357.280.730.82-0.015-795.62
5-10239272393354.177206.8630480.67-11619.98-38620.460.620.73-0.024-1422.11
6-40751.9872403255.568038.8336043.36-11322.04-28023.990.710.89-0.0096-566
7-11333772423058.337394.830338.04-14130.62-40539.630.520.73-0.024-1574.12
8-15338272383452.788722.9732641.77-14260.43-48094.440.610.68-0.029-2130.3
9-16653172393354.179102.1135686.78-15803.42-50312.890.580.68-0.03-2312.92
10-10867472423058.338812.9636585.37-15960.62-64330.410.550.77-0.02-1509.36

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.13. 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 45.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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-1115891.3872333945.834146.89804.81-3101.36-12096.111.341.130.011220.71
atrnil24.55-46707.371565010632.0513553.6722239.6-6833.88-11171.071.980.94-0.0066-299.41
atrnil37.65-230034155311242019962.9530280.44-6845.85-11171.072.920.73-0.029-1484.09
atrtrail23.14-2493791765112528.988649.2220186.96-5523.91-11171.071.570.64-0.041-1416.93
atrtrail33.55-3165421765112528.987332.330280.44-5523.91-11171.071.330.54-0.053-1798.53
atrtrail-13.69-39169317549126286113.7326135.19-5486.23-11171.071.110.43-0.076-2238.24

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 45.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.11%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MARICO Performance, X=1, Profit Factor:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Aug 2019 (-0.13%)
2018308 Jun 2018 (-1.75%), 26 Nov 2018 (-1.3%), 19 Dec 2018 (3.48%)
2017416 Mar 2017 (-0.15%), 12 Apr 2017 (1.0%), 27 Apr 2017 (0.88%), 13 Sep 2017 (1.78%)
2016126 Jul 2016 (3.13%)
2015314 Jan 2015 (-1.01%), 04 Mar 2015 (-3.74%), 17 Dec 2015 (-0.82%)
2014505 May 2014 (1.1%), 01 Aug 2014 (2.27%), 05 Sep 2014 (-2.92%), 30 Sep 2014 (-0.4%), 11 Nov 2014 (1.69%)
2013208 Jan 2013 (1.02%), 31 May 2013 (0.85%)
2012603 Feb 2012 (1.41%), 28 Mar 2012 (-0.92%), 13 Apr 2012 (-1.08%), 25 Jul 2012 (-0.38%), 04 Sep 2012 (1.04%), 13 Nov 2012 (1.46%)
2011211 Apr 2011 (2.57%), 08 Jul 2011 (-0.67%)
2010205 Apr 2010 (2.18%), 01 Jul 2010 (3.36%)
2009602 Jan 2009 (2.74%), 22 Apr 2009 (-1.86%), 04 Jun 2009 (-0.93%), 09 Jul 2009 (3.15%), 21 Oct 2009 (-3.82%), 11 Nov 2009 (4.9%)
2008103 Jan 2008 (-1.09%)
2007308 Aug 2007 (3.33%), 04 Oct 2007 (3.79%), 01 Nov 2007 (-4.45%)
2006617 Jan 2006 (-0.22%), 01 Feb 2006 (0.53%), 07 Mar 2006 (4.48%), 22 Mar 2006 (-3.48%), 05 Apr 2006 (2.94%), 04 Dec 2006 (-1.47%)
2005403 Feb 2005 (-1.24%), 17 Feb 2005 (1.35%), 30 May 2005 (0.02%), 13 Dec 2005 (-1.12%)
2004404 Mar 2004 (-0.54%), 03 Sep 2004 (-2.89%), 09 Nov 2004 (-1.11%), 25 Nov 2004 (0.25%)
2003311 Jun 2003 (-0.52%), 26 Aug 2003 (0.29%), 05 Dec 2003 (-3.67%)
2002411 Feb 2002 (-3.16%), 08 Apr 2002 (-0.85%), 05 Nov 2002 (-0.63%), 21 Nov 2002 (1.48%)
1999618 Jan 1999 (-2.0%), 03 Feb 1999 (-0.39%), 01 Mar 1999 (-6.05%), 16 Mar 1999 (-0.0%), 31 Mar 1999 (-1.59%), 19 Jul 1999 (3.87%)
1998323 Mar 1998 (0.44%), 09 Apr 1998 (-1.97%), 01 Dec 1998 (0.88%)
1997323 Jun 1997 (-0.07%), 07 Jul 1997 (-0.1%), 25 Jul 1997 (4.75%)



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