Study: Sell ONGC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ONGC 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 ONGC 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
1-11231778384048.723068.158461.13-5722.67-16045.380.540.51-0.053-1439.96
2-24127678344443.595255.3418897.39-9544.5-42888.730.550.43-0.06-3093.29
3-23614078384048.726839.0822137.21-12400.63-54863.670.550.52-0.047-3027.44
4-24668278403851.287948.9323593.84-14858.93-56927.040.530.56-0.043-3162.59
5-24981578403851.287600.4824687.58-14574.58-50016.680.520.55-0.044-3202.76
6-243831783939508969.3730728.24-15221.45-51584.380.590.59-0.04-3126.04
7-22754978384048.7210725.5941724.05-15878.04-67254.410.680.64-0.032-2917.3
8-21954478364246.1512850.5743203.26-16242.01-1017630.790.68-0.027-2814.67
9-21135478374147.4413135.8744878.63-17009.31-95088.160.770.7-0.027-2709.67
10-23605278413752.5612925.743255.63-20702.85-88664.990.620.69-0.029-3026.31
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
atrnil23.61-1247911825213028.5714450.1424755.5-6739.99-12391.182.140.86-0.014-685.67
atrnil35.99-1416151823814420.8821908.0137133.25-6764.71-12391.183.240.85-0.013-778.1
atrtrail33.27-1226832025514727.2312723.9831198.93-5595.25-12821.832.270.85-0.013-607.34
atrtrail22.75-1354642025514727.2312491.621327.48-5595.25-12821.832.230.84-0.016-670.61
atrtrail-13.67-2143612025514727.2311057.1134518.84-5595.25-12821.831.980.74-0.024-1061.19

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.34%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ONGC Performance, Profit Factor:0.858

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019107 May 2019 (4.82%)
2018124 Jan 2018 (4.66%)
2017427 Oct 2017 (-2.15%), 30 Oct 2017 (-2.25%), 31 Oct 2017 (-2.32%), 06 Nov 2017 (-2.43%)
2016918 Aug 2016 (-2.08%), 09 Sep 2016 (-2.25%), 22 Sep 2016 (4.51%), 04 Oct 2016 (-2.69%), 20 Oct 2016 (-2.45%), 24 Oct 2016 (5.05%), 06 Dec 2016 (-2.63%), 09 Dec 2016 (-2.4%), 12 Dec 2016 (4.75%)
20141106 Mar 2014 (-2.31%), 07 Mar 2014 (-2.38%), 10 Mar 2014 (-2.55%), 14 Mar 2014 (-2.56%), 18 Mar 2014 (5.17%), 09 May 2014 (-2.74%), 12 May 2014 (-2.75%), 13 May 2014 (-2.88%), 16 May 2014 (-3.56%), 19 May 2014 (7.33%), 06 Jun 2014 (8.74%)
2013704 Jan 2013 (-2.08%), 08 Jan 2013 (-2.08%), 10 Jan 2013 (-2.15%), 15 Jan 2013 (-2.45%), 17 Jan 2013 (-2.7%), 18 Jan 2013 (-3.2%), 24 Jan 2013 (6.6%)
2012103 Jul 2012 (5.3%)
2011127 Apr 2011 (-2.64%)
2010803 Jun 2010 (-3.25%), 25 Jun 2010 (-3.1%), 28 Jun 2010 (-3.16%), 01 Jul 2010 (6.34%), 13 Sep 2010 (-2.27%), 15 Sep 2010 (-2.44%), 24 Sep 2010 (-2.23%), 28 Sep 2010 (4.35%)
2009823 Mar 2009 (-3.86%), 02 Apr 2009 (-4.79%), 06 Apr 2009 (9.43%), 19 May 2009 (-5.72%), 21 May 2009 (-5.99%), 28 May 2009 (-6.19%), 29 May 2009 (12.38%), 14 Oct 2009 (6.33%)
2008224 Jul 2008 (-5.19%), 11 Aug 2008 (8.59%)
20071025 Apr 2007 (6.15%), 26 Sep 2007 (-3.04%), 27 Sep 2007 (-3.04%), 01 Oct 2007 (-3.21%), 03 Oct 2007 (6.59%), 11 Oct 2007 (-3.97%), 12 Oct 2007 (-4.04%), 15 Oct 2007 (8.17%), 29 Oct 2007 (-5.67%), 01 Nov 2007 (10.66%)
2006816 Jan 2006 (-2.79%), 20 Jan 2006 (-2.92%), 25 Jan 2006 (7.93%), 28 Mar 2006 (-2.53%), 30 Mar 2006 (5.14%), 10 May 2006 (6.84%), 02 Nov 2006 (-2.52%), 03 Nov 2006 (5.23%)
2005901 Mar 2005 (-2.06%), 03 Mar 2005 (-2.14%), 07 Mar 2005 (-2.1%), 10 Mar 2005 (-2.21%), 27 Jun 2005 (-2.56%), 30 Jun 2005 (5.39%), 09 Dec 2005 (-3.03%), 12 Dec 2005 (-3.12%), 23 Dec 2005 (-2.83%)
2004701 Jan 2004 (-3.29%), 02 Jan 2004 (-3.68%), 05 Jan 2004 (-3.97%), 09 Jan 2004 (9.69%), 21 Sep 2004 (4.23%), 01 Oct 2004 (-2.37%), 04 Oct 2004 (-2.41%)
20032303 Mar 2003 (4.76%), 15 May 2003 (-2.11%), 16 May 2003 (-2.28%), 19 May 2003 (-2.29%), 20 May 2003 (-2.46%), 22 May 2003 (-2.56%), 23 May 2003 (-2.69%), 26 May 2003 (-2.78%), 30 May 2003 (-3.49%), 02 Jun 2003 (-3.52%), 04 Jun 2003 (6.94%), 18 Jun 2003 (-3.52%), 08 Aug 2003 (-3.56%), 11 Aug 2003 (-3.54%), 22 Aug 2003 (-3.23%), 27 Aug 2003 (-4.26%), 01 Sep 2003 (-4.08%), 08 Sep 2003 (7.98%), 11 Dec 2003 (-3.02%), 18 Dec 2003 (-3.01%), 19 Dec 2003 (-3.08%), 30 Dec 2003 (-3.38%), 31 Dec 2003 (-3.36%)
20021521 Jan 2002 (-2.13%), 04 Feb 2002 (-3.93%), 05 Feb 2002 (-4.36%), 06 Feb 2002 (9.63%), 13 Feb 2002 (-5.55%), 14 Feb 2002 (-5.6%), 15 Feb 2002 (-6.2%), 26 Feb 2002 (12.03%), 27 Mar 2002 (-4.94%), 28 Mar 2002 (-4.91%), 01 Apr 2002 (-4.99%), 02 Apr 2002 (-5.52%), 03 Apr 2002 (-5.59%), 16 May 2002 (10.23%), 15 Jul 2002 (7.28%)
20011022 Jan 2001 (-3.94%), 02 Feb 2001 (-3.99%), 05 Feb 2001 (-3.93%), 09 Feb 2001 (-3.83%), 12 Feb 2001 (7.71%), 13 Jun 2001 (-3.59%), 15 Jun 2001 (-3.53%), 19 Jun 2001 (-3.59%), 20 Jun 2001 (7.62%), 08 Nov 2001 (5.51%)
2000422 Jun 2000 (-4.42%), 23 Jun 2000 (8.76%), 05 Dec 2000 (-3.85%), 11 Dec 2000 (7.84%)
19991407 May 1999 (-4.69%), 10 May 1999 (-4.86%), 11 May 1999 (-4.72%), 14 May 1999 (-4.94%), 17 May 1999 (-4.96%), 18 May 1999 (9.91%), 14 Jul 1999 (-4.13%), 15 Jul 1999 (-4.08%), 16 Jul 1999 (-4.04%), 19 Jul 1999 (-4.0%), 20 Jul 1999 (-5.2%), 21 Jul 1999 (10.4%), 18 Aug 1999 (-5.04%), 19 Aug 1999 (9.72%)
1998209 Apr 1998 (8.53%), 29 Dec 1998 (5.11%)
19971809 Jan 1997 (-3.47%), 10 Jan 1997 (6.96%), 01 Mar 1997 (-3.39%), 03 Mar 1997 (-3.41%), 05 Mar 1997 (-3.25%), 06 Mar 1997 (-3.65%), 12 Mar 1997 (7.27%), 24 Apr 1997 (-3.61%), 25 Apr 1997 (7.42%), 05 Jun 1997 (-2.48%), 10 Jun 1997 (-2.55%), 11 Jun 1997 (-2.6%), 19 Jun 1997 (-2.46%), 20 Jun 1997 (-2.57%), 23 Jun 1997 (-2.7%), 24 Jun 1997 (-2.8%), 25 Jun 1997 (6.08%), 07 Aug 1997 (6.51%)
1996912 Feb 1996 (-3.19%), 14 Feb 1996 (-3.5%), 15 Feb 1996 (7.42%), 26 Feb 1996 (-3.86%), 27 Feb 1996 (8.25%), 19 Apr 1996 (-2.32%), 24 Apr 1996 (-2.24%), 25 Apr 1996 (-2.42%), 13 Aug 1996 (5.43%)



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