Study: Sell ORIENTBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ORIENTBANK 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 ORIENTBANK 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
1-24487.6689484153.935477.3122554.66-7009.72-41322.310.780.91-0.0063-275.14
2-3047.5889494055.067419.3532945.53-9164.89-38201.550.810.99-0.00062-34.24
3-23793.0989464351.698731.1632099.42-9893.64-38181.820.880.94-0.0045-267.34
413971.5689454450.5611014.7833791.64-10947.58-34214.881.011.030.0023156.98
597416.7389454450.5612613.138771.66-10685.74-27904.451.181.210.0151094.57
661336.9889523758.4311164.3341353.78-14032.65-41596.850.81.120.0088689.18
742606.5289444549.4414066.0946906.4-12806.7-43666.831.11.070.0057478.72
8-15784.8889474252.811363144526.71-15629.57-57184.220.870.98-0.0019-177.36
9-61351.489484153.9313422.737284.23-17210.75-45318.220.780.91-0.0075-689.34
10-11379189474252.8114047.1242117.38-18428.71-52677.460.760.85-0.013-1278.55
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
atrtrail22.92-1389082177314433.6411706.3629213.56-6899.11-13540.281.70.86-0.013-640.13
atrnil23.68-1610092016014129.8516492.3629213.56-8159.93-13268.042.020.86-0.014-801.04
atrtrail33.47-1742992157114433.0211454.4843820.34-6858.11-13540.281.670.82-0.016-810.69
atrnil35.9-2705231964115520.9224314.4743820.34-8176.88-13268.042.970.79-0.021-1380.22
atrtrail-13.92-2369392157114433.0210572.2243838.81-6858.11-13540.281.540.76-0.022-1102.04

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 33.64%, which is not acceptable. Avoid this strategy. Average return per trade is -0.32%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ORIENTBANK Performance, Profit Factor:0.86

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019418 Mar 2019 (-3.97%), 19 Mar 2019 (-3.96%), 20 Mar 2019 (-2.16%), 27 Mar 2019 (-1.46%)
2018301 Nov 2018 (-3.7%), 09 Nov 2018 (3.06%), 16 Nov 2018 (0.47%)
20171103 Feb 2017 (0.47%), 24 Mar 2017 (0.5%), 10 Apr 2017 (-3.48%), 26 Apr 2017 (-3.38%), 28 Apr 2017 (-3.44%), 02 May 2017 (-3.53%), 03 May 2017 (-3.65%), 04 May 2017 (-3.59%), 05 May 2017 (8.58%), 25 Oct 2017 (-3.92%), 26 Oct 2017 (2.35%)
2016817 Jun 2016 (-3.73%), 20 Jun 2016 (7.68%), 27 Jun 2016 (-3.87%), 01 Jul 2016 (-3.62%), 04 Jul 2016 (-3.66%), 07 Jul 2016 (-1.57%), 11 Jul 2016 (0.24%), 14 Jul 2016 (7.75%)
20141328 Mar 2014 (-1.91%), 02 Apr 2014 (2.5%), 28 Apr 2014 (-1.69%), 09 May 2014 (-3.88%), 13 May 2014 (-4.07%), 14 May 2014 (-3.17%), 16 May 2014 (-5.08%), 19 May 2014 (-3.4%), 23 May 2014 (9.56%), 26 May 2014 (-4.66%), 28 May 2014 (-5.59%), 29 May 2014 (-2.61%), 02 Jun 2014 (11.68%)
2013419 Sep 2013 (11.12%), 03 Nov 2013 (10.55%), 09 Dec 2013 (-4.46%), 10 Dec 2013 (3.28%)
20121002 Feb 2012 (-4.03%), 06 Feb 2012 (-3.96%), 08 Feb 2012 (-1.98%), 15 Feb 2012 (-1.45%), 21 Feb 2012 (7.63%), 02 Jul 2012 (6.25%), 18 Sep 2012 (-3.54%), 25 Sep 2012 (-3.76%), 27 Sep 2012 (0.22%), 10 Dec 2012 (6.71%)
2011330 Mar 2011 (-1.53%), 05 Apr 2011 (6.24%), 25 Jul 2011 (4.84%)
20101003 Mar 2010 (-1.61%), 05 Apr 2010 (1.49%), 30 Apr 2010 (5.7%), 16 Jul 2010 (-2.75%), 19 Jul 2010 (1.85%), 30 Jul 2010 (-0.22%), 16 Aug 2010 (-3.36%), 20 Aug 2010 (0.42%), 13 Sep 2010 (6.59%), 06 Oct 2010 (0.89%)
20091905 Jan 2009 (9.91%), 18 May 2009 (-5.26%), 19 May 2009 (-5.35%), 20 May 2009 (1.14%), 27 May 2009 (1.74%), 04 Sep 2009 (-4.01%), 08 Sep 2009 (-3.99%), 09 Sep 2009 (-4.14%), 10 Sep 2009 (-4.21%), 11 Sep 2009 (-4.33%), 15 Sep 2009 (-1.05%), 30 Sep 2009 (-0.28%), 07 Oct 2009 (-4.07%), 12 Oct 2009 (-3.98%), 15 Oct 2009 (-3.78%), 16 Oct 2009 (-2.82%), 20 Oct 2009 (-0.24%), 18 Nov 2009 (-1.91%), 20 Nov 2009 (8.36%)
2008202 Jan 2008 (-4.28%), 03 Jan 2008 (8.52%)
2007717 May 2007 (-2.16%), 21 May 2007 (8.4%), 12 Jul 2007 (-2.19%), 16 Jul 2007 (7.29%), 16 Nov 2007 (-4.73%), 19 Nov 2007 (9.41%), 10 Dec 2007 (8.86%)
2006910 May 2006 (6.23%), 08 Sep 2006 (0.56%), 13 Sep 2006 (-4.11%), 18 Sep 2006 (-2.8%), 20 Sep 2006 (-3.98%), 21 Sep 2006 (-3.95%), 26 Sep 2006 (-3.71%), 28 Sep 2006 (1.7%), 05 Oct 2006 (7.42%)
2005407 Mar 2005 (-3.32%), 08 Mar 2005 (-1.4%), 11 Mar 2005 (6.92%), 27 Jul 2005 (6.04%)
20041314 Jan 2004 (8.65%), 09 Mar 2004 (9.37%), 02 Apr 2004 (0.95%), 16 Apr 2004 (3.62%), 18 Nov 2004 (-2.93%), 19 Nov 2004 (-2.16%), 25 Nov 2004 (-3.24%), 30 Nov 2004 (-3.26%), 01 Dec 2004 (-3.41%), 02 Dec 2004 (-3.38%), 03 Dec 2004 (0.65%), 10 Dec 2004 (-1.61%), 21 Dec 2004 (-0.35%)
20033209 Jan 2003 (-3.78%), 10 Jan 2003 (-3.95%), 13 Jan 2003 (-3.94%), 14 Jan 2003 (-2.71%), 17 Jan 2003 (-4.24%), 20 Jan 2003 (-4.12%), 22 Jan 2003 (8.63%), 02 Apr 2003 (-4.49%), 03 Apr 2003 (-4.5%), 04 Apr 2003 (-3.54%), 10 Apr 2003 (-5.7%), 11 Apr 2003 (1.3%), 30 Apr 2003 (-5.58%), 02 May 2003 (-5.35%), 05 May 2003 (-4.42%), 08 May 2003 (-5.28%), 12 May 2003 (-5.16%), 13 May 2003 (-5.31%), 15 May 2003 (10.34%), 20 May 2003 (-3.78%), 22 May 2003 (-6.77%), 26 May 2003 (-3.48%), 29 May 2003 (14.61%), 30 Jun 2003 (-1.86%), 03 Jul 2003 (-4.84%), 09 Jul 2003 (-2.87%), 11 Jul 2003 (-5.83%), 16 Jul 2003 (10.99%), 13 Oct 2003 (-4.75%), 14 Oct 2003 (-5.01%), 15 Oct 2003 (-4.91%), 16 Oct 2003 (1.99%)
20021929 Jan 2002 (-2.44%), 04 Feb 2002 (-2.74%), 05 Feb 2002 (-2.82%), 06 Feb 2002 (-3.02%), 07 Feb 2002 (-3.4%), 11 Feb 2002 (-0.6%), 14 Feb 2002 (-3.24%), 15 Feb 2002 (-3.35%), 18 Feb 2002 (6.97%), 12 Jun 2002 (-3.44%), 17 Jun 2002 (6.46%), 19 Jun 2002 (7.09%), 02 Dec 2002 (-2.34%), 06 Dec 2002 (-4.25%), 09 Dec 2002 (-3.04%), 11 Dec 2002 (-4.39%), 12 Dec 2002 (-4.45%), 16 Dec 2002 (-4.44%), 18 Dec 2002 (-1.96%)
2001716 Jan 2001 (-0.62%), 24 Jan 2001 (-3.57%), 25 Jan 2001 (7.12%), 08 Feb 2001 (-3.95%), 09 Feb 2001 (-4.07%), 12 Feb 2001 (8.16%), 29 May 2001 (5.83%)
2000414 Nov 2000 (-3.61%), 15 Nov 2000 (-3.74%), 16 Nov 2000 (7.74%), 13 Dec 2000 (7.65%)
1999917 May 1999 (-5.11%), 18 May 1999 (-5.08%), 19 May 1999 (10.94%), 09 Jul 1999 (-5.07%), 12 Jul 1999 (-4.89%), 13 Jul 1999 (9.72%), 11 Oct 1999 (7.95%), 03 Dec 1999 (-3.67%), 06 Dec 1999 (-3.8%)
1998309 Apr 1998 (-3.47%), 10 Apr 1998 (-1.88%), 15 Apr 1998 (7.98%)
1997603 Mar 1997 (-3.81%), 05 Mar 1997 (7.77%), 17 Jun 1997 (-2.32%), 24 Dec 1997 (-3.89%), 26 Dec 1997 (-4.29%), 29 Dec 1997 (2.21%)
19961402 Feb 1996 (-2.8%), 12 Feb 1996 (0.1%), 14 Feb 1996 (2.45%), 03 Apr 1996 (-2.74%), 12 Apr 1996 (-3.74%), 15 Apr 1996 (-3.17%), 17 Apr 1996 (-3.55%), 18 Apr 1996 (-3.66%), 19 Apr 1996 (-3.81%), 22 Apr 1996 (-1.59%), 24 Apr 1996 (9.38%), 07 Jun 1996 (-3.01%), 10 Jun 1996 (-3.2%), 12 Jun 1996 (6.61%)
1995307 Jun 1995 (7.58%), 26 Sep 1995 (-0.79%), 10 Oct 1995 (5.36%)



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