Study: Sell RCOM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell RCOM 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 RCOM 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
125524.12402218554715.6713134.66-4345.59-18216.321.091.330.032638.1
248984.82402416606310.9919614.71-6404.93-24390.240.991.480.0441224.62
3-37369.3140231757.56589.3716176.47-11113.23-48554.910.590.8-0.019-934.23
4-99517.61402416607963.8120971.3-18165.57-1317920.440.66-0.03-2487.94
5-63536.0440231757.511043.2623959.81-18678.3-1572250.590.8-0.016-1588.4
6-13458540211952.511674.0928638-19986.36-2179190.580.65-0.026-3364.62
7-95129.264026146510937.3332352.94-27107.13-2086710.40.75-0.019-2378.23
8-1160004018224514397.2950684.68-17052.32-1745660.840.69-0.026-2900
9-99833.714020205014222.2759972-19213.96-1531790.740.74-0.024-2495.84
10-15285639192048.7216315.7450599.48-23142.74-1849710.710.67-0.031-3919.38
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
atrnil37.4774160.0576225428.9526634.8750571.76-9477.91-17285.22.811.140.016975.79
atrtrail23.6649679.7385315436.4713877.6240660.78-7046.79-17285.21.971.130.014584.47
atrnil25.0655185.6477294837.6617991.8540660.78-9720.38-17285.21.851.120.014716.7
atrtrail34.2439625.2885315436.4713553.2839036.65-7046.79-17285.21.921.10.011466.18
atrtrail-14.71-25745.9884295534.5212250.7348465.34-6927.58-17285.21.770.93-0.0076-306.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 28.95%, which is not acceptable. Avoid this strategy. Average return per trade is 0.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.016, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RCOM Performance, Profit Factor:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018606 Aug 2018 (-6.22%), 08 Aug 2018 (-6.07%), 09 Aug 2018 (-5.92%), 14 Aug 2018 (19.33%), 03 Dec 2018 (-6.07%), 04 Dec 2018 (18.97%)
2017705 Apr 2017 (10.06%), 20 Dec 2017 (-7.09%), 21 Dec 2017 (-7.36%), 26 Dec 2017 (-8.64%), 27 Dec 2017 (-8.12%), 28 Dec 2017 (-8.32%), 29 Dec 2017 (25.29%)
2016201 Jan 2016 (10.04%), 27 Apr 2016 (10.48%)
2015315 Jul 2015 (-4.01%), 07 Oct 2015 (-4.81%), 16 Oct 2015 (12.16%)
2014309 Apr 2014 (10.48%), 23 May 2014 (-3.88%), 10 Jun 2014 (12.33%)
20131104 Jan 2013 (-3.09%), 07 Jan 2013 (-3.07%), 08 Jan 2013 (-3.0%), 15 Jan 2013 (-3.39%), 16 Apr 2013 (-5.48%), 22 Apr 2013 (-5.46%), 02 May 2013 (-5.77%), 03 May 2013 (-5.6%), 15 May 2013 (-4.6%), 08 Jul 2013 (15.01%), 19 Sep 2013 (15.35%)
20121213 Jan 2012 (-4.59%), 18 Jan 2012 (-4.62%), 20 Jan 2012 (-4.54%), 24 Jan 2012 (-4.42%), 31 Jan 2012 (-4.51%), 15 Feb 2012 (-4.73%), 21 Sep 2012 (-4.42%), 24 Sep 2012 (13.24%), 30 Nov 2012 (-4.11%), 07 Dec 2012 (-3.95%), 11 Dec 2012 (-3.95%), 12 Dec 2012 (-3.87%)
2010317 Jun 2010 (-4.41%), 28 Jun 2010 (12.93%), 11 Oct 2010 (9.32%)
2009606 Apr 2009 (-5.93%), 15 Apr 2009 (-5.85%), 18 May 2009 (-6.59%), 19 May 2009 (-7.47%), 04 Jun 2009 (19.29%), 07 Sep 2009 (12.49%)
2008109 Jan 2008 (10.14%)
20071205 Feb 2007 (11.13%), 21 May 2007 (-3.12%), 22 May 2007 (-3.1%), 24 Sep 2007 (-3.2%), 01 Oct 2007 (-3.51%), 03 Oct 2007 (-3.79%), 09 Oct 2007 (-4.27%), 11 Oct 2007 (-4.04%), 16 Oct 2007 (12.31%), 17 Oct 2007 (-5.07%), 26 Oct 2007 (-5.26%), 01 Nov 2007 (14.31%)
20061008 Sep 2006 (-3.29%), 12 Sep 2006 (-3.47%), 19 Sep 2006 (-3.44%), 20 Sep 2006 (-3.51%), 16 Oct 2006 (9.83%), 27 Oct 2006 (-3.62%), 21 Nov 2006 (-3.21%), 22 Nov 2006 (-3.14%), 01 Dec 2006 (-2.95%), 05 Dec 2006 (8.49%)



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