Study: Sell MRF when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell MRF 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 MRF 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
1-229471115496642.613471.8417018.43-6054.42-26190.70.570.43-0.058-1995.4
2-380876115516444.354873.5118567.99-9834.76-46068.540.50.39-0.061-3311.96
3-396850115526345.226406.4931868.71-11587.1-70676.860.550.46-0.054-3450.87
4-419533115526345.227707.9143124.42-13021.34-97397.270.590.49-0.048-3648.11
5-528469115506543.488624.3735635.6-14764.42-93594.40.580.45-0.057-4595.38
6-542946115496642.619329.7142629.83-15153.05-87391.250.620.46-0.056-4721.27
7-587643115516444.359174.0247525.79-16492.47-80281.610.560.44-0.058-5109.94
8-715753115476840.878414.3646126.95-16341.58-62789.940.510.36-0.072-6223.94
9-715597115496642.618925.3643374.22-17468.78-60154.990.510.38-0.069-6222.58
10-889573115476840.879595.9938133.54-19714.47-60529.720.490.34-0.081-7735.42
Although, strategy looks good but profit factor on day 2 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
atrnil24.18-5841672666120522.9313646.8926883.41-6910.38-14204.351.970.59-0.05-2196.12
atrtrail22.95-6054733007122923.679789.5626883.41-5679.18-14204.351.720.53-0.055-2018.24
atrtrail33.3-6305022977022723.579503.4434302.13-5708.12-14204.351.660.51-0.056-2122.9
atrnil35.71-7697522613922214.9419592.8440325.12-6909.34-14204.352.840.5-0.061-2949.24
atrtrail-13.57-7323942966822822.978366.9738371.3-5707.66-14204.351.470.44-0.07-2474.3

In the table above, row 1 shows the best exit criterion. Profit factor is 0.59. 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.
MRF Performance, Profit Factor:0.588

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019426 Aug 2019 (-2.03%), 12 Sep 2019 (3.72%), 20 Sep 2019 (-2.49%), 23 Sep 2019 (5.13%)
2018205 Apr 2018 (-2.16%), 17 Apr 2018 (3.7%)
20171111 Jan 2017 (5.41%), 15 Mar 2017 (-2.45%), 21 Mar 2017 (-2.58%), 23 Mar 2017 (-2.53%), 31 Mar 2017 (-2.46%), 19 Apr 2017 (-2.22%), 25 Apr 2017 (-2.11%), 26 Apr 2017 (-2.25%), 27 Apr 2017 (4.72%), 09 Jun 2017 (4.93%), 26 Dec 2017 (4.52%)
20161629 Mar 2016 (-2.51%), 30 Mar 2016 (-2.55%), 31 Mar 2016 (5.11%), 05 Aug 2016 (-2.39%), 02 Sep 2016 (-2.3%), 07 Sep 2016 (-2.22%), 14 Sep 2016 (-2.41%), 15 Sep 2016 (-2.42%), 19 Sep 2016 (-2.68%), 21 Sep 2016 (-2.57%), 23 Sep 2016 (-2.59%), 28 Sep 2016 (-2.7%), 29 Sep 2016 (-3.1%), 30 Sep 2016 (-3.11%), 04 Oct 2016 (-3.09%), 05 Oct 2016 (6.19%)
2015623 Jul 2015 (-2.11%), 24 Jul 2015 (-2.14%), 27 Jul 2015 (-2.35%), 31 Jul 2015 (-2.26%), 03 Aug 2015 (-2.34%), 04 Aug 2015 (5.16%)
20141610 Mar 2014 (-2.16%), 18 Mar 2014 (-2.2%), 21 Mar 2014 (4.5%), 15 Apr 2014 (-2.38%), 06 Jun 2014 (4.79%), 02 Sep 2014 (-2.08%), 04 Sep 2014 (-2.35%), 05 Sep 2014 (-2.42%), 08 Sep 2014 (-3.02%), 10 Sep 2014 (-3.05%), 16 Sep 2014 (-3.25%), 17 Sep 2014 (-3.25%), 30 Sep 2014 (6.18%), 02 Dec 2014 (-2.25%), 03 Dec 2014 (-2.57%), 04 Dec 2014 (5.61%)
20131801 Jan 2013 (-2.17%), 09 Jan 2013 (4.05%), 14 Jan 2013 (4.37%), 23 Apr 2013 (-3.47%), 07 May 2013 (-3.36%), 08 May 2013 (-3.36%), 15 May 2013 (5.69%), 03 Oct 2013 (-3.22%), 08 Oct 2013 (-3.16%), 22 Oct 2013 (-2.79%), 03 Nov 2013 (-2.38%), 05 Nov 2013 (-2.52%), 19 Nov 2013 (-2.39%), 26 Nov 2013 (-2.34%), 10 Dec 2013 (-2.37%), 11 Dec 2013 (-2.55%), 12 Dec 2013 (-2.59%), 17 Dec 2013 (5.56%)
20121730 Jan 2012 (-2.71%), 31 Jan 2012 (-2.69%), 01 Feb 2012 (-2.79%), 06 Feb 2012 (-2.92%), 09 Feb 2012 (-2.97%), 10 Feb 2012 (-3.12%), 13 Feb 2012 (-3.19%), 15 Feb 2012 (-3.23%), 21 Feb 2012 (6.57%), 30 Nov 2012 (-2.23%), 04 Dec 2012 (-2.33%), 05 Dec 2012 (-2.48%), 07 Dec 2012 (-2.4%), 10 Dec 2012 (-2.4%), 12 Dec 2012 (-2.36%), 20 Dec 2012 (-2.36%), 31 Dec 2012 (-2.08%)
2011521 Apr 2011 (6.14%), 12 Jul 2011 (-2.67%), 15 Jul 2011 (5.4%), 02 Dec 2011 (-2.85%), 05 Dec 2011 (5.65%)
2010518 Mar 2010 (-3.86%), 23 Aug 2010 (5.41%), 03 Sep 2010 (-3.44%), 06 Sep 2010 (-3.51%), 08 Sep 2010 (-3.57%)
20092401 Apr 2009 (-3.95%), 02 Apr 2009 (-3.94%), 06 Apr 2009 (-4.05%), 08 Apr 2009 (-4.31%), 13 Apr 2009 (9.07%), 20 Apr 2009 (-5.72%), 21 Apr 2009 (-5.81%), 18 May 2009 (-4.89%), 21 May 2009 (-5.67%), 25 May 2009 (-6.19%), 26 May 2009 (-7.1%), 27 May 2009 (-6.96%), 01 Jun 2009 (-6.34%), 08 Jun 2009 (-6.13%), 27 Jul 2009 (-5.64%), 28 Jul 2009 (-5.78%), 30 Jul 2009 (11.86%), 09 Sep 2009 (-4.57%), 10 Sep 2009 (-4.73%), 14 Sep 2009 (-5.03%), 24 Sep 2009 (-4.73%), 12 Oct 2009 (-4.77%), 14 Oct 2009 (9.42%), 18 Dec 2009 (-3.51%)
2008125 Apr 2008 (7.96%)
20071725 Apr 2007 (-3.41%), 03 May 2007 (-3.35%), 16 May 2007 (-2.44%), 28 May 2007 (-2.48%), 29 May 2007 (-2.64%), 31 May 2007 (-2.64%), 04 Jun 2007 (5.34%), 11 Oct 2007 (6.03%), 16 Oct 2007 (7.55%), 18 Oct 2007 (-5.01%), 23 Oct 2007 (-5.69%), 25 Oct 2007 (-5.56%), 29 Oct 2007 (-5.33%), 30 Oct 2007 (-5.15%), 31 Oct 2007 (-5.0%), 01 Nov 2007 (-5.91%), 02 Nov 2007 (13.44%)
20061908 Feb 2006 (-3.4%), 10 Feb 2006 (6.92%), 05 Apr 2006 (-3.88%), 07 Apr 2006 (-3.95%), 10 Apr 2006 (8.4%), 27 Jul 2006 (-3.73%), 28 Jul 2006 (-3.92%), 31 Jul 2006 (-3.92%), 03 Aug 2006 (-3.75%), 07 Aug 2006 (-4.32%), 09 Aug 2006 (-4.17%), 16 Aug 2006 (-4.44%), 31 Aug 2006 (-3.84%), 04 Sep 2006 (-3.68%), 08 Sep 2006 (-3.39%), 06 Oct 2006 (-3.14%), 09 Oct 2006 (-3.29%), 10 Oct 2006 (-3.49%), 13 Oct 2006 (7.92%)
20051209 Feb 2005 (-3.51%), 01 Mar 2005 (-3.53%), 04 Mar 2005 (8.33%), 10 Aug 2005 (-2.69%), 11 Aug 2005 (-3.09%), 16 Aug 2005 (-3.64%), 19 Aug 2005 (-3.59%), 22 Aug 2005 (-3.7%), 23 Aug 2005 (-3.71%), 14 Sep 2005 (-3.76%), 15 Sep 2005 (-3.67%), 16 Sep 2005 (7.44%)
20041506 Aug 2004 (-3.22%), 09 Aug 2004 (-3.55%), 10 Aug 2004 (-3.65%), 11 Aug 2004 (-4.13%), 17 Aug 2004 (-4.18%), 14 Sep 2004 (-3.23%), 17 Sep 2004 (6.83%), 30 Nov 2004 (-2.75%), 01 Dec 2004 (-2.81%), 06 Dec 2004 (-2.88%), 15 Dec 2004 (-3.16%), 16 Dec 2004 (-3.13%), 17 Dec 2004 (-3.66%), 20 Dec 2004 (-3.62%), 23 Dec 2004 (7.53%)
20032115 Apr 2003 (-2.57%), 16 Apr 2003 (-2.99%), 02 May 2003 (-4.11%), 12 May 2003 (-5.08%), 14 May 2003 (-4.99%), 23 May 2003 (-4.05%), 26 May 2003 (8.39%), 02 Jul 2003 (-4.01%), 03 Jul 2003 (-4.15%), 08 Jul 2003 (-4.05%), 28 Jul 2003 (6.73%), 06 Oct 2003 (-4.46%), 09 Oct 2003 (-4.66%), 13 Oct 2003 (10.59%), 11 Nov 2003 (9.4%), 10 Dec 2003 (-4.6%), 11 Dec 2003 (-5.01%), 15 Dec 2003 (-4.73%), 16 Dec 2003 (-4.99%), 17 Dec 2003 (9.87%), 22 Dec 2003 (11.68%)
2002621 Jan 2002 (-4.42%), 12 Feb 2002 (-3.75%), 15 Feb 2002 (7.18%), 19 Feb 2002 (7.92%), 20 Dec 2002 (-2.26%), 23 Dec 2002 (4.52%)
20011002 Nov 2001 (-3.55%), 05 Nov 2001 (-3.95%), 06 Nov 2001 (-4.01%), 07 Nov 2001 (-4.63%), 09 Nov 2001 (-4.87%), 20 Nov 2001 (-4.39%), 22 Nov 2001 (-4.32%), 27 Nov 2001 (-4.68%), 28 Nov 2001 (-5.28%), 29 Nov 2001 (11.43%)
2000803 Nov 2000 (-2.95%), 06 Nov 2000 (-3.17%), 08 Nov 2000 (-3.28%), 14 Nov 2000 (-3.3%), 04 Dec 2000 (-2.56%), 06 Dec 2000 (-2.63%), 08 Dec 2000 (-2.85%), 11 Dec 2000 (6.06%)
19991506 Jan 1999 (-2.23%), 07 Jan 1999 (-2.45%), 08 Jan 1999 (-2.63%), 11 Jan 1999 (-2.91%), 12 Jan 1999 (-3.34%), 13 Jan 1999 (6.94%), 27 Jan 1999 (7.86%), 11 Mar 1999 (-4.38%), 12 Mar 1999 (8.81%), 09 Jul 1999 (-3.18%), 12 Jul 1999 (-3.26%), 13 Jul 1999 (-3.54%), 14 Jul 1999 (-3.55%), 19 Jul 1999 (-3.93%), 21 Jul 1999 (7.83%)
1998425 Mar 1998 (5.29%), 09 Apr 1998 (-2.98%), 10 Apr 1998 (7.38%), 15 Apr 1998 (8.87%)
1997103 Mar 1997 (3.1%)
19961312 Feb 1996 (-3.88%), 13 Feb 1996 (-3.95%), 14 Feb 1996 (-4.04%), 28 Mar 1996 (-2.59%), 29 Mar 1996 (-2.74%), 02 Apr 1996 (5.29%), 02 May 1996 (-3.1%), 03 May 1996 (-3.28%), 07 May 1996 (7.0%), 14 May 1996 (7.16%), 17 Jun 1996 (-2.3%), 25 Jun 1996 (-2.27%), 02 Jul 1996 (4.36%)



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