Study: Sell NIFTY when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell NIFTY 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 NIFTY 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
1-5088.6343162737.211024.854210.78-795.78-3021.641.290.76-0.029-118.34
2-10234.3143162737.211598.385494.15-1326.23-3505.211.210.71-0.04-238.01
3-4270.5943162737.211985.795634.92-1334.93-4146.861.490.88-0.015-99.32
4-9695.0543212248.842269.218412.58-2606.75-5381.90.870.83-0.024-225.47
5-20514.9243172639.533040.619980.41-2777.12-7654.511.090.72-0.04-477.09
6-34961.2343162737.212779.2410370.46-2941.82-8647.570.940.56-0.072-813.05
7-36805.4343172639.532593.328557.74-3111.23-8020.830.830.55-0.076-855.94
8-28993.9243172639.533154.7510764.14-3177.87-9139.220.990.65-0.054-674.28
9-31731.1543212248.842889.839229.25-4200.8-10060.950.690.66-0.056-737.93
10-30378.6443192444.193149.669932.44-3759.26-9831.410.840.66-0.052-706.48
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
atrnil35.92-40812.2484166819.056369.859297.99-2098.97-3084.793.030.71-0.046-485.86
atrnil24.99-51762.2386216524.4241256198.66-2129.03-3059.821.940.63-0.07-601.89
atrtrail23.48-50533.6399267326.262534.046169.59-1594.78-3059.821.590.57-0.076-510.44
atrtrail33.69-53527.8199267326.262418.888476.61-1594.78-3059.821.520.54-0.078-540.68
atrtrail-13.83-59985.8299267326.262170.499227.19-1594.78-3059.821.360.48-0.093-605.92

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. 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.
NIFTY Performance, Profit Factor:0.714

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Mar 2019 (-1.01%), 15 Mar 2019 (-0.97%), 19 Mar 2019 (-0.95%), 01 Apr 2019 (-0.97%)
2018915 Jan 2018 (-0.79%), 18 Jan 2018 (-0.82%), 19 Jan 2018 (-0.83%), 23 Jan 2018 (2.53%), 27 Jul 2018 (-0.77%), 31 Jul 2018 (-0.76%), 08 Aug 2018 (-0.75%), 21 Aug 2018 (-0.71%), 27 Aug 2018 (2.19%)
20171625 Jan 2017 (-0.93%), 01 Feb 2017 (-0.97%), 06 Feb 2017 (-0.91%), 20 Feb 2017 (-0.89%), 22 Feb 2017 (-0.85%), 14 Mar 2017 (-0.85%), 17 Mar 2017 (-0.81%), 03 Apr 2017 (-0.73%), 16 May 2017 (-0.69%), 02 Jun 2017 (-0.76%), 11 Jul 2017 (-0.73%), 13 Jul 2017 (-0.71%), 24 Jul 2017 (-0.72%), 27 Jul 2017 (-0.73%), 01 Aug 2017 (2.16%), 01 Nov 2017 (2.4%)
2016402 Jun 2016 (3.34%), 12 Jul 2016 (-1.07%), 25 Jul 2016 (-0.98%), 06 Sep 2016 (2.76%)
2015321 Jan 2015 (-1.21%), 23 Jan 2015 (-1.15%), 28 Jan 2015 (3.43%)
20142207 Mar 2014 (-1.05%), 25 Mar 2014 (-0.96%), 27 Mar 2014 (-0.95%), 31 Mar 2014 (-0.94%), 03 Apr 2014 (-0.93%), 09 Apr 2014 (-0.98%), 12 May 2014 (-1.18%), 13 May 2014 (-1.24%), 16 May 2014 (-1.53%), 20 May 2014 (-1.5%), 26 May 2014 (-1.54%), 05 Jun 2014 (-1.43%), 06 Jun 2014 (-1.42%), 11 Jun 2014 (-1.4%), 07 Jul 2014 (3.33%), 01 Sep 2014 (-0.9%), 02 Sep 2014 (-0.9%), 08 Sep 2014 (2.64%), 31 Oct 2014 (-1.11%), 12 Nov 2014 (-0.96%), 21 Nov 2014 (-0.92%), 28 Nov 2014 (2.76%)
2013111 May 2013 (-1.14%)
20121324 Jan 2012 (-1.48%), 27 Jan 2012 (-1.4%), 02 Feb 2012 (-1.51%), 06 Feb 2012 (-1.46%), 15 Feb 2012 (-1.45%), 21 Feb 2012 (4.13%), 05 Jul 2012 (3.86%), 14 Sep 2012 (-1.08%), 17 Sep 2012 (-1.09%), 21 Sep 2012 (-1.18%), 04 Oct 2012 (3.11%), 30 Nov 2012 (-1.04%), 06 Dec 2012 (-1.0%)
2011104 Apr 2011 (4.65%)
20101117 Mar 2010 (-1.31%), 29 Mar 2010 (-1.2%), 05 Apr 2010 (3.61%), 13 Sep 2010 (-1.11%), 14 Sep 2010 (-1.12%), 15 Sep 2010 (-1.12%), 20 Sep 2010 (-1.17%), 27 Sep 2010 (-1.18%), 01 Oct 2010 (-1.24%), 04 Oct 2010 (-1.24%), 13 Oct 2010 (4.03%)



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