Study: Sell PAGEIND when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell PAGEIND 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 PAGEIND 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
1-137715652639403353.946519.29-5767.11-39367.230.580.39-0.09-2118.69
2-12902765323349.234350.6419344.74-8128.71-46861.130.540.52-0.058-1985.03
3-10424565343152.315730.9819056.26-9648.33-47949.590.590.65-0.041-1603.76
4-11047065303546.156250.3915306.36-8513.75-46030.460.730.63-0.046-1699.53
5-10471465283743.087275.5820790.94-8335.95-40979.620.870.66-0.044-1610.98
6-40010.8865313447.696993.9817796.12-7553.65-36291.590.930.84-0.018-615.55
7-12340.9865313447.697912.5724606.36-7577.38-34362.921.040.95-0.0052-189.86
832716.7565343152.318024.1222865.53-7745.27-23392.371.041.140.014503.33
912294.6965353053.858497.6829326.4-9504.14-29025.640.891.040.0048189.15
10-47650.5565323349.239497.428858.82-10653.55-46087.750.890.86-0.016-733.09
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
atrnil25.66-70566.05124368829.0314829.4827962.13-6868.49-14941.792.160.88-0.016-569.08
atrtrail23.96-81080.79131448733.599803.8323516.92-5890.22-14941.791.660.84-0.021-618.94
atrtrail34.57-97730.46131438832.829880.127882.8-5938.35-14941.791.660.81-0.023-746.03
atrnil38.92-2534251212010116.5322234.4533575.55-6912.02-14941.793.220.64-0.054-2094.42
atrtrail-14.96-205729130418931.547684.3927558.07-5851.56-14941.791.310.6-0.059-1582.53

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 29.03%, which is not acceptable. Avoid this strategy. Average return per trade is -0.28%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PAGEIND Performance, Profit Factor:0.883

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019420 Sep 2019 (-3.83%), 23 Sep 2019 (8.23%), 29 Oct 2019 (-3.49%), 31 Oct 2019 (7.21%)
2018809 Apr 2018 (6.6%), 18 Jun 2018 (-2.96%), 25 Jun 2018 (-2.85%), 09 Jul 2018 (5.41%), 09 Aug 2018 (-2.65%), 14 Aug 2018 (-3.0%), 20 Aug 2018 (-2.79%), 27 Aug 2018 (5.34%)
20171209 Jun 2017 (-3.4%), 14 Jun 2017 (-3.81%), 05 Jul 2017 (7.36%), 05 Sep 2017 (-2.6%), 11 Sep 2017 (-2.39%), 18 Sep 2017 (4.63%), 24 Oct 2017 (-2.59%), 25 Oct 2017 (-2.74%), 03 Nov 2017 (-2.93%), 09 Nov 2017 (-3.22%), 16 Nov 2017 (7.04%), 19 Dec 2017 (7.3%)
2016308 Apr 2016 (-3.8%), 20 Apr 2016 (7.01%), 01 Aug 2016 (4.87%)
2015705 Mar 2015 (-3.42%), 13 Mar 2015 (-3.5%), 18 Mar 2015 (-3.17%), 19 Mar 2015 (-3.12%), 20 Mar 2015 (6.35%), 29 May 2015 (-3.65%), 01 Jun 2015 (7.27%)
20142908 Jan 2014 (-2.12%), 09 Jan 2014 (-2.16%), 10 Jan 2014 (-2.26%), 23 Jan 2014 (-2.73%), 24 Jan 2014 (5.82%), 03 Mar 2014 (-2.97%), 04 Mar 2014 (-2.95%), 12 Mar 2014 (-3.37%), 19 Mar 2014 (6.24%), 30 May 2014 (6.06%), 23 Jun 2014 (-3.13%), 24 Jun 2014 (-3.19%), 26 Jun 2014 (6.44%), 03 Jul 2014 (-3.9%), 08 Jul 2014 (-3.83%), 10 Jul 2014 (-3.9%), 21 Jul 2014 (7.24%), 08 Oct 2014 (-3.2%), 09 Oct 2014 (-3.32%), 10 Oct 2014 (-3.51%), 13 Oct 2014 (7.62%), 10 Nov 2014 (-4.25%), 04 Dec 2014 (-2.98%), 05 Dec 2014 (-3.13%), 08 Dec 2014 (-3.17%), 12 Dec 2014 (7.08%), 18 Dec 2014 (-3.99%), 22 Dec 2014 (-4.44%), 23 Dec 2014 (8.97%)
20131404 Apr 2013 (-2.84%), 05 Apr 2013 (5.61%), 10 May 2013 (-2.83%), 14 May 2013 (5.66%), 30 May 2013 (7.54%), 15 Jul 2013 (-3.56%), 18 Sep 2013 (-3.07%), 05 Nov 2013 (-2.09%), 06 Nov 2013 (-2.34%), 12 Nov 2013 (-2.64%), 14 Nov 2013 (-2.74%), 27 Nov 2013 (-2.71%), 28 Nov 2013 (-2.78%), 29 Nov 2013 (-2.95%)
2012706 Feb 2012 (-3.81%), 08 Feb 2012 (8.56%), 18 Apr 2012 (-2.64%), 19 Apr 2012 (-3.04%), 28 Apr 2012 (5.45%), 02 Aug 2012 (-2.52%), 14 Sep 2012 (5.57%)
2011905 Apr 2011 (-4.14%), 29 Jun 2011 (-3.62%), 01 Jul 2011 (-3.94%), 20 Jul 2011 (-3.48%), 21 Jul 2011 (-4.37%), 22 Jul 2011 (-4.4%), 25 Jul 2011 (9.22%), 11 Aug 2011 (-6.32%), 18 Aug 2011 (11.19%)
20101311 Jan 2010 (-2.53%), 10 Jun 2010 (-3.16%), 12 Jul 2010 (-3.03%), 13 Jul 2010 (-3.23%), 20 Jul 2010 (-3.02%), 29 Jul 2010 (-3.14%), 30 Jul 2010 (-3.35%), 02 Aug 2010 (7.74%), 12 Aug 2010 (-4.78%), 13 Aug 2010 (-4.89%), 12 Nov 2010 (-3.66%), 30 Nov 2010 (-3.9%), 01 Dec 2010 (7.75%)
20091516 Apr 2009 (-7.47%), 17 Apr 2009 (13.98%), 24 Jun 2009 (-4.12%), 29 Jun 2009 (-4.1%), 30 Jun 2009 (8.56%), 02 Jul 2009 (-5.21%), 09 Jul 2009 (9.29%), 14 Jul 2009 (-5.53%), 24 Jul 2009 (-4.19%), 27 Jul 2009 (8.96%), 13 Nov 2009 (-3.76%), 11 Dec 2009 (-2.85%), 17 Dec 2009 (-2.63%), 22 Dec 2009 (-2.42%), 29 Dec 2009 (-2.41%)
2008217 Jan 2008 (-6.78%), 02 May 2008 (-4.82%)
2007131 Dec 2007 (11.76%)



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