Study: Sell MARUTI when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell MARUTI 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 MARUTI 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
1-55366.5484444052.381880.489438.25-3452.7-16034.520.540.6-0.043-659.13
2-70118.8684384645.243501.6510193.68-4416.99-22095.50.790.65-0.037-834.75
3-10627584374744.053917.0214566.21-5344.79-26404.080.730.58-0.047-1265.18
4-15317384325238.15193.3724254.37-6141.55-278570.850.52-0.058-1823.49
5-10899184384645.246035.5230348.53-7355.24-26476.540.820.68-0.035-1297.52
6-18395684325238.16701.8723860.32-7661.84-36663.830.870.54-0.057-2189.95
7-15225284354941.676960.8124702.77-8079.18-37957.450.860.62-0.045-1812.52
8-15693884364842.867455.8926381.62-8861.47-30965.080.840.63-0.043-1868.32
9-19025284354941.677919.9931066.64-9539.83-33841.70.830.59-0.05-2264.91
10-25714384275732.149285.2726673.01-8909.56-43339.531.040.49-0.065-3061.22
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
atrtrail23.63-2196011975614128.436413.1319385.89-4104.51-10169.011.560.62-0.048-1114.73
atrtrail33.93-2356121975614128.436127.2223223.28-4104.51-10169.011.490.59-0.05-1196
atrnil24.86-3103181734013323.1210422.0319385.89-5467.66-10546.961.910.57-0.063-1793.75
atrtrail-14.31-2723141955414127.695638.3925020.11-4090.69-10169.011.380.53-0.061-1396.48
atrnil36.12-3931661702714315.8814579.8724894.69-5502.26-10546.962.650.5-0.074-2312.74

In the table above, row 1 shows the best exit criterion. Profit factor is 0.62. 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.
MARUTI Performance, Profit Factor:0.621

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Apr 2019 (3.72%), 23 Oct 2019 (-2.39%), 29 Oct 2019 (5.83%)
2018310 Jul 2018 (0.28%), 23 Jul 2018 (-1.74%), 24 Jul 2018 (3.52%)
20172905 Jan 2017 (-1.66%), 11 Jan 2017 (0.03%), 27 Jan 2017 (-1.12%), 01 Feb 2017 (-0.59%), 07 Feb 2017 (3.14%), 05 Apr 2017 (3.22%), 02 May 2017 (-0.45%), 10 May 2017 (-1.45%), 15 May 2017 (-1.55%), 16 May 2017 (3.14%), 26 May 2017 (-1.84%), 29 May 2017 (-1.37%), 08 Jun 2017 (-1.61%), 09 Jun 2017 (3.38%), 13 Jul 2017 (-0.58%), 31 Jul 2017 (-1.48%), 01 Aug 2017 (-0.0%), 11 Sep 2017 (3.05%), 06 Nov 2017 (0.96%), 20 Nov 2017 (-1.35%), 24 Nov 2017 (-1.28%), 28 Nov 2017 (0.12%), 07 Dec 2017 (-1.54%), 08 Dec 2017 (-1.59%), 12 Dec 2017 (-1.28%), 18 Dec 2017 (-1.61%), 19 Dec 2017 (-1.82%), 20 Dec 2017 (-0.88%), 22 Dec 2017 (3.93%)
20161826 May 2016 (-1.0%), 03 Jun 2016 (0.81%), 15 Jul 2016 (-1.9%), 19 Jul 2016 (-0.23%), 25 Jul 2016 (-0.23%), 28 Jul 2016 (-2.06%), 01 Aug 2016 (-2.17%), 02 Aug 2016 (-0.04%), 08 Aug 2016 (1.32%), 02 Sep 2016 (-1.82%), 06 Sep 2016 (-1.87%), 08 Sep 2016 (3.77%), 15 Sep 2016 (-1.92%), 16 Sep 2016 (-0.47%), 22 Sep 2016 (3.75%), 06 Oct 2016 (0.21%), 26 Oct 2016 (-1.5%), 01 Nov 2016 (3.14%)
20151815 Jan 2015 (-1.14%), 21 Jan 2015 (-0.72%), 27 Jan 2015 (-1.83%), 28 Jan 2015 (0.2%), 22 Jun 2015 (-1.74%), 26 Jun 2015 (0.15%), 15 Jul 2015 (-1.62%), 17 Jul 2015 (-0.57%), 23 Jul 2015 (-0.18%), 29 Jul 2015 (-1.66%), 31 Jul 2015 (-1.6%), 03 Aug 2015 (-1.63%), 10 Aug 2015 (-0.4%), 13 Aug 2015 (-1.55%), 14 Aug 2015 (-1.04%), 18 Aug 2015 (3.16%), 29 Sep 2015 (4.92%), 11 Nov 2015 (3.99%)
20142307 Jan 2014 (4.25%), 26 Mar 2014 (-0.84%), 13 May 2014 (-2.3%), 16 May 2014 (-2.95%), 19 May 2014 (-0.82%), 22 May 2014 (-2.98%), 23 May 2014 (-3.04%), 26 May 2014 (-0.49%), 04 Jun 2014 (-3.22%), 09 Jun 2014 (0.11%), 01 Jul 2014 (-2.78%), 02 Jul 2014 (5.58%), 19 Aug 2014 (-1.62%), 25 Aug 2014 (-0.59%), 01 Sep 2014 (-0.81%), 12 Sep 2014 (-1.05%), 18 Sep 2014 (-1.87%), 23 Sep 2014 (-0.2%), 22 Oct 2014 (-1.21%), 29 Oct 2014 (-2.03%), 30 Oct 2014 (-2.14%), 31 Oct 2014 (-0.63%), 12 Nov 2014 (-0.99%)
2013922 Apr 2013 (-2.59%), 25 Apr 2013 (-2.85%), 26 Apr 2013 (-1.86%), 10 May 2013 (-1.08%), 15 May 2013 (-0.68%), 29 Oct 2013 (0.84%), 19 Nov 2013 (-0.0%), 09 Dec 2013 (4.65%), 20 Dec 2013 (0.48%)
20121817 Jan 2012 (-3.28%), 18 Jan 2012 (-3.41%), 23 Jan 2012 (-3.46%), 27 Jan 2012 (-1.69%), 02 Feb 2012 (-3.56%), 06 Feb 2012 (-0.97%), 14 Feb 2012 (-3.23%), 15 Feb 2012 (-3.23%), 16 Feb 2012 (6.75%), 14 Sep 2012 (-2.22%), 17 Sep 2012 (-2.09%), 21 Sep 2012 (-2.42%), 24 Sep 2012 (0.57%), 28 Sep 2012 (-2.58%), 04 Oct 2012 (4.99%), 05 Oct 2012 (0.71%), 31 Oct 2012 (-2.56%), 02 Nov 2012 (-0.33%)
2011110 Aug 2011 (5.45%)
2010914 Sep 2010 (-2.22%), 15 Sep 2010 (-2.2%), 16 Sep 2010 (-1.6%), 22 Sep 2010 (-1.84%), 27 Sep 2010 (1.08%), 01 Oct 2010 (-2.59%), 05 Oct 2010 (-1.64%), 12 Oct 2010 (-2.39%), 13 Oct 2010 (4.78%)
20092026 Feb 2009 (1.27%), 26 Mar 2009 (-2.74%), 01 Apr 2009 (-4.21%), 02 Apr 2009 (-4.37%), 09 Apr 2009 (-4.26%), 15 Apr 2009 (2.54%), 18 May 2009 (-4.8%), 19 May 2009 (-5.08%), 20 May 2009 (3.31%), 01 Jun 2009 (-3.95%), 04 Jun 2009 (-2.07%), 10 Jun 2009 (3.39%), 20 Jul 2009 (-4.01%), 23 Jul 2009 (-4.07%), 24 Jul 2009 (-3.43%), 31 Jul 2009 (-3.94%), 03 Aug 2009 (7.74%), 01 Sep 2009 (-1.92%), 18 Sep 2009 (-3.17%), 30 Sep 2009 (6.96%)
2007624 Sep 2007 (-2.0%), 28 Sep 2007 (-2.99%), 03 Oct 2007 (-4.03%), 09 Oct 2007 (-3.41%), 15 Oct 2007 (-4.18%), 17 Oct 2007 (9.69%)
20061320 Jan 2006 (-3.37%), 24 Jan 2006 (-3.05%), 27 Jan 2006 (0.84%), 10 Feb 2006 (-1.29%), 28 Feb 2006 (-2.94%), 01 Mar 2006 (-3.3%), 02 Mar 2006 (-3.39%), 03 Mar 2006 (6.73%), 01 Sep 2006 (-2.66%), 04 Sep 2006 (5.27%), 05 Sep 2006 (-2.94%), 08 Sep 2006 (-0.65%), 13 Sep 2006 (1.14%)
2005801 Aug 2005 (-3.09%), 03 Aug 2005 (6.07%), 14 Sep 2005 (-2.93%), 15 Sep 2005 (-2.9%), 16 Sep 2005 (-3.14%), 19 Sep 2005 (6.49%), 13 Dec 2005 (-2.92%), 14 Dec 2005 (-1.29%)
20041009 Jan 2004 (7.34%), 14 Jan 2004 (-3.97%), 16 Feb 2004 (1.2%), 22 Apr 2004 (7.2%), 29 Nov 2004 (-0.31%), 02 Dec 2004 (-2.89%), 06 Dec 2004 (-1.98%), 09 Dec 2004 (-0.93%), 15 Dec 2004 (-1.18%), 22 Dec 2004 (-1.08%)
2003909 Oct 2003 (-3.65%), 10 Oct 2003 (-3.63%), 13 Oct 2003 (0.32%), 16 Oct 2003 (1.3%), 25 Oct 2003 (-0.97%), 29 Oct 2003 (-4.61%), 31 Oct 2003 (-4.35%), 03 Nov 2003 (-0.08%), 13 Nov 2003 (0.76%)



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