Study: Sell PIDILITIND when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell PIDILITIND 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 PIDILITIND 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
1-37804.71120645653.332952.349888.67-4049.18-20390.240.730.83-0.013-315.04
2-30993.61120655554.174826.6414350.8-6267.73-38926.830.770.91-0.0062-258.28
3-109804120625851.675871.5418678.82-8169.65-51741.830.720.77-0.018-915.03
4-101507120625851.676588.7519817.77-8793.28-62867.940.750.8-0.015-845.89
5-119850120645653.337438.3920381.71-10641.19-82473.670.70.8-0.015-998.75
6-122406120645653.336898.0322398.27-10069.27-88414.80.690.78-0.016-1020.05
7-170944120596149.177975.5528592.01-10516.42-87064.540.760.73-0.02-1424.53
8-195906120625851.677639.4528815.41-11543.99-65136.380.660.71-0.023-1632.55
9-228143120596149.178150.5629024.13-11623.38-57073.170.70.68-0.028-1901.19
10-73119.68120586248.3311846.06177202-12261.14-54146.340.970.9-0.0057-609.33
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
atrnil24.18-3973332676919825.8412915.7823250.3-6507.69-13080.441.980.69-0.034-1488.14
atrnil35.99-4840892614621517.6219682.7834875.45-6462.78-13080.443.050.65-0.037-1854.75
atrtrail23-4110562938021327.38966.4123250.3-5297.51-13080.441.690.64-0.039-1402.92
atrtrail-13.84-4409552907621426.219050.28178800-5274.66-13080.441.720.61-0.025-1520.53
atrtrail33.42-4813542907621426.218518.7234875.45-5274.66-13080.441.620.57-0.045-1659.84

In the table above, row 1 shows the best exit criterion. Profit factor is 0.69. 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.
PIDILITIND Performance, Profit Factor:0.692

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019726 Mar 2019 (-2.47%), 01 Apr 2019 (-2.28%), 03 Apr 2019 (-2.3%), 15 Apr 2019 (4.02%), 09 Aug 2019 (-2.61%), 26 Aug 2019 (4.54%), 23 Sep 2019 (5.23%)
20181303 Apr 2018 (-1.99%), 09 Apr 2018 (-1.98%), 12 Apr 2018 (-2.15%), 13 Apr 2018 (-2.11%), 17 Apr 2018 (-2.03%), 19 Apr 2018 (-1.93%), 24 Apr 2018 (-1.81%), 26 Apr 2018 (-1.79%), 02 May 2018 (3.8%), 08 May 2018 (-2.05%), 30 May 2018 (5.4%), 21 Nov 2018 (-3.17%), 29 Nov 2018 (6.17%)
2017925 Jan 2017 (-2.41%), 04 May 2017 (-1.64%), 08 May 2017 (-1.67%), 11 May 2017 (-1.73%), 17 May 2017 (3.6%), 13 Jun 2017 (-2.2%), 23 Jun 2017 (4.11%), 08 Dec 2017 (-2.46%), 21 Dec 2017 (-2.86%)
2016905 Feb 2016 (-2.46%), 08 Feb 2016 (4.92%), 22 Feb 2016 (5.66%), 20 May 2016 (-2.19%), 25 May 2016 (-2.25%), 27 May 2016 (-2.37%), 01 Jun 2016 (4.67%), 29 Jun 2016 (-2.24%), 28 Jul 2016 (-1.92%)
2015601 Jan 2015 (-3.58%), 02 Jan 2015 (7.05%), 14 Jan 2015 (-3.42%), 15 Jan 2015 (-3.55%), 20 Jan 2015 (7.12%), 05 Aug 2015 (5.32%)
20141727 Mar 2014 (-2.22%), 03 Apr 2014 (-2.34%), 10 Apr 2014 (-2.42%), 21 Apr 2014 (5.01%), 16 Jul 2014 (-2.51%), 17 Jul 2014 (-2.48%), 24 Jul 2014 (-2.49%), 25 Jul 2014 (-2.5%), 04 Aug 2014 (-2.96%), 22 Aug 2014 (-2.67%), 25 Aug 2014 (-2.65%), 26 Aug 2014 (5.68%), 23 Oct 2014 (4.82%), 24 Nov 2014 (-2.55%), 01 Dec 2014 (-3.33%), 08 Dec 2014 (6.74%), 30 Dec 2014 (-3.67%)
20131201 Jan 2013 (-2.83%), 02 Jan 2013 (-2.84%), 01 Feb 2013 (-3.38%), 13 Feb 2013 (-3.41%), 18 Feb 2013 (-3.55%), 20 Feb 2013 (6.84%), 09 May 2013 (-2.68%), 10 May 2013 (-2.68%), 14 May 2013 (-2.92%), 15 May 2013 (5.77%), 15 Jul 2013 (-2.59%), 31 Oct 2013 (-2.98%)
20121012 Mar 2012 (-2.95%), 27 Mar 2012 (-2.57%), 29 Mar 2012 (-2.78%), 30 Mar 2012 (5.95%), 30 Apr 2012 (6.18%), 06 Aug 2012 (-2.99%), 08 Aug 2012 (-3.09%), 23 Aug 2012 (-3.12%), 03 Sep 2012 (-3.5%), 10 Sep 2012 (-3.46%)
2011531 Mar 2011 (-3.73%), 18 Apr 2011 (-3.26%), 21 Apr 2011 (-3.16%), 25 Apr 2011 (6.36%), 19 Jul 2011 (6.15%)
20101606 Jan 2010 (7.39%), 05 Mar 2010 (-3.46%), 08 Mar 2010 (-3.45%), 10 Mar 2010 (-3.25%), 11 Mar 2010 (-3.25%), 12 Mar 2010 (6.5%), 25 Jun 2010 (-3.66%), 28 Jun 2010 (-3.61%), 29 Jun 2010 (-3.68%), 23 Jul 2010 (-3.43%), 03 Aug 2010 (-3.18%), 04 Aug 2010 (-3.12%), 05 Aug 2010 (-3.1%), 06 Aug 2010 (6.22%), 24 Sep 2010 (-3.02%), 27 Sep 2010 (6.02%)
20092115 Apr 2009 (-4.48%), 20 May 2009 (-4.65%), 21 May 2009 (-5.06%), 22 May 2009 (-5.0%), 25 May 2009 (-5.48%), 26 May 2009 (-5.76%), 27 May 2009 (-5.71%), 02 Jun 2009 (-5.49%), 04 Jun 2009 (11.63%), 28 Jul 2009 (-4.58%), 30 Jul 2009 (-5.5%), 31 Jul 2009 (-5.38%), 31 Aug 2009 (-5.13%), 22 Oct 2009 (-3.66%), 23 Oct 2009 (-3.63%), 26 Oct 2009 (7.25%), 12 Nov 2009 (-3.93%), 17 Nov 2009 (-4.06%), 23 Nov 2009 (-3.96%), 24 Nov 2009 (8.12%), 27 Nov 2009 (-4.45%)
2008122 Dec 2008 (11.07%)
20071122 May 2007 (-3.75%), 12 Jul 2007 (-3.3%), 13 Jul 2007 (-3.29%), 16 Jul 2007 (-3.7%), 17 Jul 2007 (-4.16%), 18 Jul 2007 (8.28%), 24 Oct 2007 (-5.69%), 25 Oct 2007 (-5.59%), 29 Oct 2007 (-5.3%), 31 Oct 2007 (-5.56%), 05 Nov 2007 (-6.54%)
20061106 Mar 2006 (-3.21%), 16 Mar 2006 (-2.99%), 17 Mar 2006 (-3.15%), 20 Mar 2006 (-3.15%), 29 Mar 2006 (-3.14%), 13 Apr 2006 (-3.96%), 17 Apr 2006 (8.02%), 14 Aug 2006 (-3.74%), 16 Aug 2006 (7.87%), 05 Oct 2006 (6.46%), 27 Nov 2006 (8.5%)
20052103 Jan 2005 (6.74%), 11 Feb 2005 (6.38%), 02 Mar 2005 (-3.35%), 03 Mar 2005 (6.55%), 12 May 2005 (-3.55%), 16 May 2005 (6.98%), 09 Jun 2005 (-3.2%), 14 Jun 2005 (-3.01%), 15 Jun 2005 (6.43%), 27 Jun 2005 (-4.01%), 05 Jul 2005 (-4.29%), 06 Jul 2005 (-4.45%), 08 Aug 2005 (-2.87%), 16 Aug 2005 (-3.26%), 17 Aug 2005 (-3.26%), 22 Aug 2005 (-3.59%), 26 Aug 2005 (-4.36%), 30 Aug 2005 (-4.13%), 31 Aug 2005 (-4.12%), 02 Sep 2005 (-4.27%), 19 Sep 2005 (8.0%)
20041025 Aug 2004 (-2.43%), 26 Aug 2004 (-2.49%), 30 Aug 2004 (-2.61%), 06 Sep 2004 (-2.64%), 08 Sep 2004 (5.34%), 11 Nov 2004 (-3.38%), 13 Dec 2004 (-3.08%), 14 Dec 2004 (-3.52%), 20 Dec 2004 (-3.41%), 29 Dec 2004 (-3.08%)
20031506 Jan 2003 (-2.77%), 21 Jan 2003 (4.81%), 16 May 2003 (-2.16%), 19 May 2003 (-2.45%), 20 May 2003 (-2.56%), 27 May 2003 (5.07%), 18 Aug 2003 (-2.61%), 21 Aug 2003 (-2.54%), 09 Sep 2003 (6.24%), 08 Dec 2003 (-2.94%), 09 Dec 2003 (-3.02%), 17 Dec 2003 (-3.74%), 19 Dec 2003 (-3.68%), 23 Dec 2003 (-3.71%), 26 Dec 2003 (7.6%)
2002922 Feb 2002 (-3.34%), 25 Feb 2002 (-3.63%), 26 Feb 2002 (-3.61%), 10 Apr 2002 (-4.24%), 11 Apr 2002 (-4.34%), 02 Jul 2002 (-3.14%), 03 Jul 2002 (-3.19%), 04 Jul 2002 (-3.16%), 08 Jul 2002 (6.19%)
2001213 Nov 2001 (-3.54%), 19 Nov 2001 (8.15%)
2000519 Jan 2000 (-3.81%), 20 Jan 2000 (-4.35%), 03 Feb 2000 (9.6%), 13 Dec 2000 (-3.44%), 14 Dec 2000 (6.88%)
19992312 Jan 1999 (-3.32%), 13 Jan 1999 (-3.35%), 21 Jan 1999 (-3.63%), 22 Jan 1999 (7.52%), 09 Feb 1999 (9.12%), 15 Mar 1999 (-3.51%), 16 Mar 1999 (-3.54%), 17 Mar 1999 (-3.64%), 18 Mar 1999 (-3.82%), 24 Mar 1999 (-4.06%), 01 Apr 1999 (7.86%), 20 Jul 1999 (-2.58%), 21 Jul 1999 (-2.69%), 22 Jul 1999 (-2.94%), 28 Jul 1999 (-3.07%), 29 Jul 1999 (6.61%), 03 Aug 1999 (-3.67%), 06 Aug 1999 (-3.25%), 16 Aug 1999 (-3.17%), 17 Aug 1999 (-3.23%), 23 Aug 1999 (-3.31%), 24 Aug 1999 (6.94%), 11 Oct 1999 (-3.38%)
19981623 Mar 1998 (-2.25%), 25 Mar 1998 (4.5%), 09 Apr 1998 (-2.93%), 15 Apr 1998 (-3.19%), 21 Apr 1998 (-3.49%), 22 Apr 1998 (7.31%), 18 Sep 1998 (-2.48%), 21 Sep 1998 (-2.67%), 22 Sep 1998 (-2.99%), 23 Sep 1998 (-3.1%), 24 Sep 1998 (-3.34%), 25 Sep 1998 (-3.54%), 28 Sep 1998 (7.74%), 30 Sep 1998 (9.14%), 21 Dec 1998 (-2.72%), 23 Dec 1998 (6.1%)
1997910 Jan 1997 (5.5%), 03 Mar 1997 (-2.86%), 06 Mar 1997 (5.85%), 19 May 1997 (-2.62%), 20 May 1997 (-2.81%), 21 May 1997 (5.8%), 30 Jul 1997 (-3.3%), 31 Jul 1997 (-3.27%), 04 Aug 1997 (6.85%)
1996912 Feb 1996 (-1.58%), 14 Feb 1996 (-1.83%), 15 Feb 1996 (-2.01%), 19 Feb 1996 (3.98%), 17 Apr 1996 (-1.98%), 18 Apr 1996 (-2.05%), 08 May 1996 (4.37%), 07 Jun 1996 (5.03%), 14 Jun 1996 (-3.5%)



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