Study: Sell NMDC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell NMDC 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 NMDC 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
1-26446.8732201262.53884.99984.44-8678.74-26444.220.450.75-0.027-826.46
2-23083.4432201262.54671.5613379.97-9709.56-36360.580.480.8-0.02-721.36
3-34026.7432191359.386466.9619561.92-12069.16-59996.640.540.78-0.022-1063.34
4-35916.232171553.129120.5818452.12-12731.07-85781.430.720.81-0.018-1122.38
5-81540.5632181456.259115.3421512.9-17544.05-1012930.520.67-0.034-2548.14
6-14289732141843.7510798.5423416.34-16337.6-1063960.660.51-0.056-4465.54
7-13189132171553.128847.3623559.08-18819.73-91086.120.470.53-0.057-4121.59
8-11728832181456.259944.8226512.97-21163.95-76548.60.470.6-0.051-3665.26
9-1154413216165012912.7631484.15-20127.81-90381.060.640.64-0.044-3607.53
10-53253.332181456.2512141.7648847.26-19414.64-80443.180.630.8-0.02-1664.17
Although, strategy looks good but profit factor on day 1 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
atrtrail22.9130602.1480314938.7511729.9825268.69-6796.48-15739.711.731.090.01382.53
atrnil35.6615749.8574205427.0320520.0635465.28-7308.36-15739.712.811.040.0047212.84
atrtrail33.7-3546.8679304937.9710982.6829640.31-6796.48-15739.711.620.99-0.0012-44.9
atrnil23.6-6959.3277255232.4714968.9225268.69-7330.43-15739.712.040.98-0.0023-90.38
atrtrail-14.43-26224.2379304937.9710226.7726079.57-6796.48-15739.711.50.92-0.0096-331.95

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 38.75%, which is not acceptable. Avoid this strategy. Average return per trade is 0.19%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.01, 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.
NMDC Performance, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020420 Jan 2020 (6.09%), 08 Jun 2020 (8.97%), 19 Aug 2020 (0.47%), 28 Aug 2020 (6.85%)
20191628 Feb 2019 (-2.3%), 01 Mar 2019 (-2.26%), 05 Mar 2019 (-2.27%), 06 Mar 2019 (-2.27%), 08 Mar 2019 (-2.3%), 12 Mar 2019 (-2.28%), 13 Mar 2019 (-2.28%), 18 Mar 2019 (-2.12%), 20 Mar 2019 (4.73%), 21 Jun 2019 (-1.69%), 27 Jun 2019 (-2.62%), 03 Jul 2019 (5.26%), 18 Dec 2019 (-3.14%), 19 Dec 2019 (-3.09%), 30 Dec 2019 (-2.6%), 31 Dec 2019 (5.32%)
2018702 Jan 2018 (-2.72%), 03 Jan 2018 (-2.74%), 04 Jan 2018 (-2.73%), 05 Jan 2018 (5.47%), 07 Aug 2018 (6.11%), 07 Sep 2018 (-2.83%), 12 Sep 2018 (6.79%)
2017611 Jan 2017 (-2.02%), 13 Jan 2017 (-1.25%), 31 Jul 2017 (1.8%), 04 Sep 2017 (-2.68%), 07 Sep 2017 (5.52%), 26 Dec 2017 (-0.34%)
2016723 Mar 2016 (0.71%), 28 Jul 2016 (0.77%), 19 Aug 2016 (0.69%), 07 Sep 2016 (5.23%), 20 Oct 2016 (1.13%), 28 Oct 2016 (-3.27%), 01 Nov 2016 (6.49%)
20141209 Apr 2014 (-2.64%), 10 Apr 2014 (-2.65%), 11 Apr 2014 (-1.22%), 14 May 2014 (0.0%), 16 May 2014 (-2.87%), 19 May 2014 (-3.07%), 20 May 2014 (-3.27%), 21 May 2014 (-3.73%), 22 May 2014 (-2.86%), 26 May 2014 (-0.09%), 03 Jun 2014 (-4.36%), 04 Jun 2014 (8.56%)
2013224 Oct 2013 (0.59%), 05 Nov 2013 (5.95%)
2012427 Jun 2012 (-2.47%), 29 Jun 2012 (-2.9%), 02 Jul 2012 (-2.99%), 04 Jul 2012 (5.83%)
2011104 Apr 2011 (5.91%)
2010315 Jan 2010 (-3.65%), 18 Jan 2010 (-4.13%), 19 Jan 2010 (8.4%)
20091613 Apr 2009 (-5.8%), 15 Apr 2009 (12.47%), 08 May 2009 (-0.93%), 18 May 2009 (-6.39%), 19 May 2009 (-7.87%), 20 May 2009 (-7.56%), 21 May 2009 (-7.54%), 25 May 2009 (-6.89%), 26 May 2009 (-6.78%), 27 May 2009 (-6.38%), 28 May 2009 (-6.04%), 29 May 2009 (11.82%), 04 Jun 2009 (12.63%), 10 Nov 2009 (-4.91%), 11 Nov 2009 (9.88%), 13 Nov 2009 (11.39%)
2008204 Aug 2008 (-4.71%), 05 Aug 2008 (9.99%)



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