Study: Sell PNB when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell PNB 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 PNB 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
130311.3271403156.344291.8119778.97-4560.03-12972.20.941.210.017426.92
2-76699.8871304142.256832.2619848.38-6869.94-25470.540.990.73-0.029-1080.28
3-69505.2571314043.667825.7225223.98-7802.56-33762.7710.78-0.023-978.95
4-10965271343747.898165.3733218.47-10466.9-45011.110.780.72-0.029-1544.4
5-16187871323945.079261.6432895.89-11750.02-42806.680.790.65-0.038-2279.98
6-15995271284339.4410664.3537272.94-10664.04-38711.6110.65-0.038-2252.84
7-27409071294240.859299.0127206.52-12946.7-45452.950.720.5-0.062-3860.42
8-23674071304142.2510148.5334007.82-13199.91-50210.970.770.56-0.05-3334.37
9-30878171294240.8510983.3432858.13-14935.66-66525.950.740.51-0.057-4349.02
10-41013871284339.4410749.3535732.35-16537.68-66525.950.650.42-0.072-5776.6

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.21. 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 56.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1130311.3271403156.344291.8119778.97-4560.03-12972.20.941.210.017426.92
atrtrail23.13-2082571764613026.1411223.3722945.83-5573.32-13305.252.010.71-0.033-1183.28
atrtrail33.54-2549741744512925.8610208.7432459.66-5537.73-13305.251.840.64-0.041-1465.37
atrnil24.12-3122901563612023.0815262.7922945.83-7181.26-13305.252.130.64-0.049-2001.86
atrtrail-13.84-2752421734412925.439863.8243547.27-5498.06-13305.251.790.61-0.044-1590.99
atrnil35.66-3901311512312815.2322939.132459.66-7169.77-13305.253.20.57-0.056-2583.65

In the table above, row 1 shows the best exit criterion. Profit factor is 1.21. 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 56.34%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, which is low, don't trade solely on the basis of this study. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PNB Performance, X=1, Profit Factor:1.21

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019401 Jan 2019 (2.44%), 17 Jan 2019 (2.01%), 07 Mar 2019 (1.93%), 22 Mar 2019 (1.37%)
2017302 Feb 2017 (-5.29%), 26 Apr 2017 (1.47%), 25 Oct 2017 (-5.72%)
2016414 Jun 2016 (-0.11%), 28 Jun 2016 (-0.1%), 13 Jul 2016 (-6.32%), 07 Sep 2016 (-2.44%)
2015106 Aug 2015 (1.27%)
2014610 Mar 2014 (1.21%), 24 Mar 2014 (-1.08%), 07 Apr 2014 (-4.01%), 12 May 2014 (4.18%), 26 May 2014 (2.73%), 28 Nov 2014 (-0.69%)
2013201 Nov 2013 (-0.88%), 06 Dec 2013 (-2.4%)
2012624 Jan 2012 (0.16%), 15 Feb 2012 (-0.6%), 18 Sep 2012 (0.92%), 04 Oct 2012 (1.62%), 10 Dec 2012 (1.2%), 31 Dec 2012 (-2.43%)
2011229 Mar 2011 (-3.96%), 08 Jul 2011 (2.12%)
2010719 Mar 2010 (1.22%), 06 Apr 2010 (1.76%), 02 Aug 2010 (-0.0%), 16 Aug 2010 (-1.51%), 13 Sep 2010 (-0.98%), 27 Sep 2010 (-0.01%), 11 Oct 2010 (0.91%)
2009827 Mar 2009 (9.89%), 16 Apr 2009 (-1.46%), 13 May 2009 (0.09%), 27 May 2009 (-0.85%), 15 Sep 2009 (-3.87%), 01 Oct 2009 (0.34%), 17 Oct 2009 (0.69%), 09 Nov 2009 (0.44%)
2008123 Jul 2008 (5.27%)
2007215 May 2007 (-1.79%), 13 Dec 2007 (1.2%)
2006610 Aug 2006 (1.97%), 28 Aug 2006 (-1.08%), 13 Sep 2006 (0.63%), 28 Sep 2006 (0.14%), 16 Nov 2006 (3.64%), 04 Dec 2006 (1.23%)
2005304 Jan 2005 (2.66%), 28 Feb 2005 (2.44%), 25 Jul 2005 (-0.3%)
2004708 Jan 2004 (-3.71%), 26 Mar 2004 (0.48%), 13 Apr 2004 (-1.43%), 28 Apr 2004 (-0.38%), 17 Nov 2004 (-6.42%), 03 Dec 2004 (0.07%), 21 Dec 2004 (1.49%)
2003616 Jan 2003 (1.77%), 08 Apr 2003 (5.67%), 05 May 2003 (1.9%), 26 May 2003 (3.79%), 13 Oct 2003 (1.75%), 24 Dec 2003 (-6.49%)
2002302 Dec 2002 (-0.53%), 16 Dec 2002 (-3.83%), 31 Dec 2002 (9.79%)



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