Study: Sell PVR when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell PVR 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 PVR 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
1-26561.3360293148.335108.2519968.64-5635.5-400000.910.85-0.014-442.69
2-59534.9460342656.675658.3924915.47-9689.23-56395.60.580.76-0.022-992.25
3-78418.03603327556317.438270.81-10625.64-52791.210.590.73-0.026-1306.97
4-49670.4960322853.337957.4430132.02-10868.17-41758.240.730.84-0.016-827.84
5-67663.660352558.337857.0837167.05-13706.45-65934.070.570.8-0.019-1127.73
6-83715.08603327559174.7243664.36-14314.11-63692.310.640.78-0.022-1395.25
7-11088660283246.6710212.1751362.59-12400.82-64744.110.820.72-0.027-1848.09
8-11901760293148.3311071.5158783.68-14196.48-67831.030.780.73-0.026-1983.62
9-48568.76030305012636.5569530.41-14255.51-70285.710.890.89-0.01-809.48
10-1129596030305012733.6771963.05-16498.97-85494.510.770.77-0.022-1882.65
Although, strategy looks good but profit factor on day 7 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
atrnil25.57-180118113308326.5517564.2330657.95-8518.62-16708.622.060.75-0.035-1593.97
atrtrail23.66-184129122358728.6910729.527587.25-6432.89-16708.621.670.67-0.042-1509.25
atrnil38.91-271997111189316.2228430.9445986.92-8427.46-16708.623.370.65-0.046-2450.43
atrtrail34.13-223935122358728.699592.1839376.46-6432.89-16708.621.490.6-0.05-1835.53
atrtrail-14.43-231827122358728.699366.787268.72-6432.89-16708.621.460.59-0.045-1900.22

In the table above, row 1 shows the best exit criterion. Profit factor is 0.75. 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.
PVR Performance, Profit Factor:0.745

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020614 Feb 2020 (-2.24%), 05 Jun 2020 (12.72%), 12 Aug 2020 (-3.99%), 13 Aug 2020 (-3.96%), 19 Aug 2020 (-4.05%), 28 Aug 2020 (7.8%)
2019318 Mar 2019 (5.48%), 02 May 2019 (5.0%), 23 Sep 2019 (-3.71%)
2018309 Jan 2018 (-2.64%), 27 Apr 2018 (-2.61%), 31 Dec 2018 (5.6%)
20171210 Jan 2017 (-3.25%), 18 Jan 2017 (7.04%), 07 Mar 2017 (-2.44%), 10 Mar 2017 (-2.58%), 03 Apr 2017 (-2.37%), 05 Apr 2017 (-2.75%), 11 Apr 2017 (-2.78%), 17 Apr 2017 (-2.64%), 25 Apr 2017 (-2.5%), 28 Apr 2017 (5.19%), 20 Dec 2017 (-3.0%), 22 Dec 2017 (-2.92%)
20161212 Apr 2016 (-3.15%), 21 Apr 2016 (-2.85%), 03 May 2016 (-2.68%), 20 May 2016 (5.47%), 01 Jun 2016 (-2.99%), 07 Jun 2016 (-2.98%), 08 Jun 2016 (-2.99%), 14 Jun 2016 (6.32%), 30 Jun 2016 (-3.69%), 01 Jul 2016 (-3.69%), 19 Jul 2016 (-3.79%), 05 Aug 2016 (-4.26%)
2015415 Jul 2015 (-3.93%), 20 Jul 2015 (-3.73%), 22 Jul 2015 (7.32%), 30 Jul 2015 (7.91%)
2014403 Jun 2014 (-4.41%), 04 Jun 2014 (8.77%), 19 Jun 2014 (8.89%), 03 Sep 2014 (-4.02%)
20131725 Apr 2013 (-4.14%), 02 May 2013 (-3.9%), 09 May 2013 (-3.36%), 10 May 2013 (-3.31%), 14 May 2013 (6.73%), 26 Aug 2013 (-3.59%), 28 Aug 2013 (-3.93%), 11 Sep 2013 (-4.21%), 12 Sep 2013 (-4.16%), 13 Sep 2013 (-4.16%), 27 Sep 2013 (-3.78%), 30 Sep 2013 (-3.98%), 01 Oct 2013 (-4.14%), 03 Oct 2013 (8.56%), 31 Oct 2013 (-4.62%), 01 Nov 2013 (-4.5%), 29 Nov 2013 (8.2%)
20121229 May 2012 (6.5%), 01 Aug 2012 (-3.79%), 14 Aug 2012 (-3.66%), 01 Oct 2012 (7.64%), 15 Oct 2012 (-4.13%), 16 Oct 2012 (-4.29%), 29 Oct 2012 (-4.2%), 31 Oct 2012 (-4.34%), 13 Nov 2012 (-3.7%), 21 Nov 2012 (-3.98%), 30 Nov 2012 (-5.34%), 03 Dec 2012 (11.0%)
2011713 Jul 2011 (-3.92%), 20 Jul 2011 (-3.59%), 21 Jul 2011 (-3.59%), 22 Jul 2011 (7.01%), 31 Oct 2011 (-4.92%), 02 Nov 2011 (-4.92%), 03 Nov 2011 (10.63%)
2010208 Sep 2010 (-4.46%), 15 Sep 2010 (8.64%)
20091605 Jan 2009 (-6.8%), 06 Jan 2009 (13.37%), 15 Apr 2009 (13.79%), 20 May 2009 (-7.5%), 21 May 2009 (-7.51%), 25 May 2009 (-7.3%), 29 May 2009 (-8.35%), 01 Jun 2009 (-7.76%), 03 Jun 2009 (15.33%), 07 Sep 2009 (-5.42%), 08 Sep 2009 (-5.46%), 24 Sep 2009 (-5.45%), 25 Sep 2009 (10.82%), 02 Dec 2009 (-4.85%), 03 Dec 2009 (-4.82%), 04 Dec 2009 (9.99%)
2008111 Aug 2008 (9.67%)
20071320 Apr 2007 (-4.61%), 24 Apr 2007 (-4.49%), 07 May 2007 (-4.19%), 16 May 2007 (-4.12%), 17 May 2007 (-4.32%), 21 May 2007 (-4.68%), 26 Nov 2007 (-5.65%), 27 Nov 2007 (-5.56%), 28 Nov 2007 (-6.17%), 29 Nov 2007 (-6.67%), 04 Dec 2007 (-6.96%), 07 Dec 2007 (-6.69%), 10 Dec 2007 (13.13%)
2006103 Apr 2006 (8.95%)



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