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
1-26404.24562828504824.6319968.64-5767.64-400000.840.84-0.015-471.5
2-56837.2556332358.935074.8424777.84-9752.47-56395.60.520.75-0.024-1014.95
3-10823556312555.365436.2923941.45-11070.39-52791.210.490.61-0.042-1932.76
4-57344.1656302653.577468.6128606.62-10823.17-41758.240.690.8-0.021-1024
5-69676.4456332358.937208.3237167.05-13371.78-65934.070.540.77-0.022-1244.22
6-89693.6856312555.368433.2443664.36-14044.97-63692.310.60.74-0.027-1601.67
7-12848156263046.439211.3451362.59-12265.87-64744.110.750.65-0.036-2294.31
8-14324056272948.2110080.9358783.68-14324.99-67831.030.70.66-0.036-2557.85
9-8831556272948.2111782.0869530.41-14014.87-70285.710.840.78-0.021-1577.05
10-16589256272948.2111398.5171963.05-16332.81-85494.510.70.65-0.036-2962.35

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.84. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.24%, we advise you not to use 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-11-26404.24562828504824.6319968.64-5767.64-400000.840.84-0.015-471.5
atrnil25.12-185251106287826.4217353.2430657.95-8604.38-16708.622.020.72-0.04-1747.65
atrtrail23.57-204927115338228.710136.2527587.25-6578.33-16708.621.540.62-0.053-1781.98
atrnil38.62-297648104168815.3828137.6845986.92-8498.3-16708.623.310.6-0.057-2862
atrtrail-14.28-248161115338228.78826.1587268.72-6578.33-16708.621.340.54-0.053-2157.92
atrtrail34.04-251716115338228.78718.4239376.46-6578.33-16708.621.330.53-0.066-2188.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 50%, which is not acceptable. Avoid this strategy. Average return per trade is -0.24%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
PVR Performance, X=1, Profit Factor:0.837

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019318 Mar 2019 (-0.24%), 02 May 2019 (-0.17%), 23 Sep 2019 (-1.46%)
2018309 Jan 2018 (1.2%), 27 Apr 2018 (-0.82%), 31 Dec 2018 (0.62%)
2017610 Jan 2017 (-0.48%), 07 Mar 2017 (0.58%), 28 Mar 2017 (1.0%), 12 Apr 2017 (-1.95%), 27 Apr 2017 (-0.09%), 20 Dec 2017 (-0.85%)
2016712 Apr 2016 (-1.07%), 29 Apr 2016 (1.91%), 20 May 2016 (3.22%), 07 Jun 2016 (-2.67%), 30 Jun 2016 (-1.37%), 19 Jul 2016 (4.31%), 05 Aug 2016 (2.17%)
2015215 Jul 2015 (0.26%), 30 Jul 2015 (-0.23%)
2014303 Jun 2014 (-8.71%), 19 Jun 2014 (3.98%), 03 Sep 2014 (1.32%)
2013725 Apr 2013 (0.08%), 10 May 2013 (0.47%), 26 Aug 2013 (-0.26%), 11 Sep 2013 (-3.54%), 26 Sep 2013 (-3.48%), 31 Oct 2013 (-3.63%), 29 Nov 2013 (-1.04%)
2012829 May 2012 (6.84%), 01 Aug 2012 (3.15%), 16 Aug 2012 (3.89%), 01 Oct 2012 (4.09%), 16 Oct 2012 (0.07%), 31 Oct 2012 (-0.0%), 21 Nov 2012 (-1.42%), 06 Dec 2012 (0.95%)
2011313 Jul 2011 (0.26%), 27 Jul 2011 (1.1%), 31 Oct 2011 (-2.06%)
2010108 Sep 2010 (1.09%)
2009705 Jan 2009 (-3.52%), 15 Apr 2009 (9.98%), 20 May 2009 (-7.29%), 03 Jun 2009 (3.1%), 07 Sep 2009 (-0.8%), 24 Sep 2009 (-2.08%), 02 Dec 2009 (-8.05%)
2008111 Aug 2008 (5.31%)
2007420 Apr 2007 (-3.47%), 08 May 2007 (2.06%), 26 Nov 2007 (-20.0%), 10 Dec 2007 (0.54%)
2006103 Apr 2006 (4.02%)



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