Study: Sell MUTHOOTFIN when RSI is overbought

home > technical-strategy > muthootfin > 61

In this study, we evaluate the performance of strategy "Sell MUTHOOTFIN 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 MUTHOOTFIN 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
15162.9934201458.824877.1214744.8-6598.53-18720.750.741.060.007151.85
216528.9634191555.885770.0514878.73-6206.8-16248.350.931.180.021486.15
315165.9134181652.947745.617896.91-7765.93-30213.7311.120.015446.06
4-15172.2634181652.948014.3224824.74-9964.37-34682.640.80.9-0.013-446.24
5-8773.4434161847.068466.3122515.46-8013.03-25356.221.060.94-0.0081-258.04
631597.2734201458.828261.8422185.57-9545.68-33257.770.871.240.027929.33
741039.4934201458.828877.3325162.86-9750.51-28400.260.911.30.0331207.04
81081.743417175011186.8329173.59-11123.2-58937.821.011.010.0006931.82
953028.3834191555.8810440.6428024.01-9689.58-45952.071.081.360.0371559.66
1036823.134181652.9411959.0933541.96-11152.53-53529.791.071.210.0231083.03
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
atrnil38.482819.0565184727.6924648.837603.9-7677.86-10167.073.211.230.031274.14
atrnil24.5525327.5265224333.8516184.2325069.27-7691.29-10167.072.11.080.012389.65
atrtrail33.94-33674.0172234931.9411133.1934145.47-5913.01-11069.231.880.88-0.017-467.69
atrtrail23.39-44976.1272234931.9410641.7922763.65-5913.01-11069.231.80.84-0.024-624.67
atrtrail-14.53-65097.8872234931.949766.9329292.87-5913.01-11069.231.650.78-0.036-904.14

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 27.69%, which is not acceptable. Avoid this strategy. Average return per trade is 0.64%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.03, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
MUTHOOTFIN Performance, Profit Factor:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019411 Mar 2019 (-3.31%), 28 Mar 2019 (-2.63%), 27 May 2019 (9.17%), 24 Sep 2019 (-3.43%)
2018206 Sep 2018 (-3.24%), 07 Sep 2018 (9.85%)
2017802 Feb 2017 (-4.12%), 29 Mar 2017 (-3.13%), 05 Apr 2017 (-3.56%), 19 Apr 2017 (11.09%), 05 Jun 2017 (-3.46%), 09 Jun 2017 (-3.66%), 13 Jun 2017 (-3.43%), 15 Jun 2017 (-3.36%)
20161521 Apr 2016 (-2.42%), 22 Apr 2016 (-2.53%), 27 Apr 2016 (8.64%), 09 May 2016 (-3.63%), 01 Jun 2016 (-4.2%), 03 Jun 2016 (-4.58%), 06 Jun 2016 (-4.73%), 07 Jun 2016 (-5.08%), 24 Jun 2016 (-4.98%), 27 Jul 2016 (-4.0%), 28 Jul 2016 (-3.92%), 29 Jul 2016 (-3.95%), 01 Aug 2016 (-4.75%), 02 Aug 2016 (-5.01%), 08 Aug 2016 (17.07%)
2015601 Jan 2015 (9.17%), 21 Jan 2015 (11.69%), 28 Feb 2015 (12.59%), 03 Jul 2015 (-3.5%), 06 Jul 2015 (-3.62%), 03 Dec 2015 (9.13%)
2014909 Jan 2014 (-3.72%), 10 Jan 2014 (-4.41%), 13 Jan 2014 (-4.66%), 11 Feb 2014 (-4.91%), 12 Feb 2014 (14.85%), 13 May 2014 (-3.72%), 19 May 2014 (-4.16%), 21 May 2014 (-5.06%), 22 May 2014 (14.98%)
2013403 Jan 2013 (-4.21%), 07 Jan 2013 (13.59%), 29 Aug 2013 (18.8%), 07 Nov 2013 (12.81%)
20121527 Jan 2012 (-3.04%), 31 Jan 2012 (-3.17%), 03 Feb 2012 (9.87%), 26 Jun 2012 (-3.54%), 27 Jun 2012 (11.84%), 02 Jul 2012 (15.46%), 11 Sep 2012 (-3.74%), 12 Sep 2012 (-3.91%), 13 Sep 2012 (-4.03%), 27 Sep 2012 (-4.15%), 28 Sep 2012 (-4.01%), 08 Oct 2012 (-3.57%), 09 Oct 2012 (-3.53%), 12 Nov 2012 (-3.52%), 13 Nov 2012 (11.25%)
2011225 Jul 2011 (-3.46%), 01 Aug 2011 (-3.68%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play