Study: Sell RELCAPITAL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell RELCAPITAL 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 RELCAPITAL 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
1-13014197445345.363860.7514498-5660.64-28359.430.680.57-0.041-1341.66
2-23235897455246.396443.0524824.93-10044.14-44550.550.640.56-0.043-2395.44
3-31395697395840.219007.5937782.77-11469.86-51512.80.790.53-0.047-3236.66
4-39188397376038.149746.2950733.9-12541.6-712180.780.48-0.051-4040.03
5-38192697465147.429302.7162648.94-15879.42-92474.790.590.53-0.042-3937.38
6-52324097465147.429322.1554843.72-18667.83-1141970.50.45-0.051-5394.23
7-54862797435444.3310787.4853358.66-18749.79-1044220.580.46-0.05-5655.95
8-59020897435444.3312144.6665066.48-20600.51-91924.430.590.47-0.052-6084.61
9-60409997475048.4512356.8675841.82-23697.42-1090310.520.49-0.05-6227.82
10-70303797376038.1416817.2780400.62-22087.94-1111480.760.47-0.054-7247.81

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.57. This strategy is not profitable and we advice you not to use it.

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
atrnil34.66-5668572334319018.4523964.3937597.83-8406.98-14058.752.850.65-0.038-2432.86
atrnil23.74-5848862365717924.1516212.5428117.49-8430.17-13374.541.920.61-0.046-2478.33
atrtrail-13.27-5451282656619924.9111683.1568466.22-6614.15-13531.161.770.59-0.039-2057.09
atrtrail32.9-5614532656619924.9111435.841254.93-6614.15-13531.161.730.57-0.044-2118.69
nilnil-11-13014197445345.363860.7514498-5660.64-28359.430.680.57-0.041-1341.66
atrtrail22.72-5738172666819825.5610906.2128117.49-6643.63-13531.161.640.56-0.048-2157.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.65. 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.
RELCAPITAL Performance, Profit Factor:0.645

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018101 Jan 2018 (13.75%)
20171501 Mar 2017 (-2.93%), 14 Mar 2017 (-2.88%), 16 Mar 2017 (-3.02%), 03 Apr 2017 (-2.8%), 27 Apr 2017 (-2.88%), 28 Apr 2017 (-3.08%), 09 May 2017 (8.97%), 28 Jul 2017 (-2.73%), 02 Aug 2017 (-2.7%), 07 Aug 2017 (-2.76%), 09 Aug 2017 (8.98%), 01 Sep 2017 (11.22%), 26 Dec 2017 (-4.32%), 28 Dec 2017 (-4.56%), 29 Dec 2017 (-4.6%)
2016801 Jan 2016 (9.1%), 29 Jul 2016 (-2.8%), 24 Aug 2016 (-2.81%), 26 Aug 2016 (-2.75%), 29 Aug 2016 (-2.88%), 02 Sep 2016 (-2.81%), 06 Sep 2016 (-2.76%), 14 Sep 2016 (9.83%)
2015127 Oct 2015 (-3.31%)
20141021 Apr 2014 (10.17%), 14 May 2014 (-3.85%), 16 May 2014 (-4.16%), 19 May 2014 (-4.26%), 20 May 2014 (-4.29%), 23 May 2014 (-4.38%), 26 May 2014 (-5.39%), 02 Jun 2014 (-5.06%), 04 Jun 2014 (-4.83%), 06 Jun 2014 (13.32%)
2013104 Jan 2013 (7.98%)
20122117 Jan 2012 (-4.75%), 19 Jan 2012 (-4.61%), 25 Jan 2012 (-4.48%), 30 Jan 2012 (-4.65%), 01 Feb 2012 (-4.32%), 06 Feb 2012 (-4.24%), 08 Feb 2012 (-4.46%), 09 Feb 2012 (-4.32%), 16 Feb 2012 (-4.23%), 17 Feb 2012 (-4.34%), 21 Feb 2012 (12.82%), 04 Jul 2012 (10.9%), 21 Sep 2012 (-3.51%), 24 Sep 2012 (-3.55%), 27 Sep 2012 (-3.53%), 01 Oct 2012 (-3.49%), 04 Oct 2012 (-3.51%), 05 Oct 2012 (10.96%), 06 Dec 2012 (-2.88%), 12 Dec 2012 (-3.12%), 19 Dec 2012 (-3.24%)
2011301 Apr 2011 (10.97%), 04 Jul 2011 (-3.0%), 05 Jul 2011 (9.22%)
2010116 Jul 2010 (7.69%)
2009709 Apr 2009 (-6.44%), 15 Apr 2009 (-6.55%), 05 May 2009 (-6.69%), 18 May 2009 (-6.6%), 19 May 2009 (-6.55%), 29 May 2009 (-6.43%), 04 Jun 2009 (17.76%)
2008204 Jan 2008 (-4.28%), 09 Jan 2008 (13.09%)
20072605 Jan 2007 (-3.7%), 05 Feb 2007 (-3.6%), 08 Feb 2007 (10.65%), 09 May 2007 (-3.73%), 15 May 2007 (-3.56%), 17 May 2007 (-3.57%), 21 May 2007 (-3.87%), 22 May 2007 (-3.96%), 18 Jun 2007 (-4.53%), 19 Jun 2007 (-4.4%), 26 Jun 2007 (-3.82%), 09 Jul 2007 (-3.4%), 13 Jul 2007 (-3.11%), 24 Jul 2007 (-2.84%), 25 Jul 2007 (-2.92%), 26 Jul 2007 (8.81%), 12 Sep 2007 (-3.88%), 13 Sep 2007 (-3.82%), 18 Sep 2007 (-3.83%), 19 Sep 2007 (-3.91%), 21 Sep 2007 (-3.84%), 28 Sep 2007 (-4.09%), 01 Oct 2007 (-4.39%), 03 Oct 2007 (-5.02%), 15 Oct 2007 (17.16%), 19 Nov 2007 (-6.46%)
2006601 Mar 2006 (-3.62%), 03 May 2006 (-3.88%), 04 May 2006 (11.38%), 15 Sep 2006 (-3.36%), 27 Sep 2006 (-3.33%), 03 Oct 2006 (-3.17%)
20052011 Feb 2005 (-3.7%), 14 Feb 2005 (-3.73%), 18 Feb 2005 (-3.9%), 25 Feb 2005 (-3.84%), 07 Mar 2005 (11.42%), 03 Jun 2005 (-3.96%), 06 Jun 2005 (-3.78%), 07 Jun 2005 (-3.81%), 14 Jun 2005 (-3.66%), 16 Jun 2005 (-3.55%), 20 Jun 2005 (-4.59%), 23 Jun 2005 (-4.69%), 24 Jun 2005 (-4.75%), 27 Jun 2005 (-5.25%), 30 Jun 2005 (-5.57%), 06 Jul 2005 (-5.04%), 11 Jul 2005 (-5.76%), 29 Jul 2005 (-4.36%), 01 Aug 2005 (-4.4%), 04 Aug 2005 (-4.9%)
2004602 Jan 2004 (-3.8%), 05 Jan 2004 (-3.79%), 19 Jan 2004 (12.43%), 06 Apr 2004 (-4.31%), 07 Apr 2004 (-4.18%), 16 Apr 2004 (12.04%)
20031924 Feb 2003 (10.46%), 20 May 2003 (-2.92%), 20 Jun 2003 (-3.77%), 23 Jun 2003 (-3.88%), 24 Jun 2003 (-3.95%), 03 Jul 2003 (11.61%), 13 Oct 2003 (-3.28%), 14 Oct 2003 (10.2%), 06 Nov 2003 (-3.46%), 07 Nov 2003 (-3.57%), 10 Nov 2003 (-3.59%), 12 Nov 2003 (11.26%), 27 Nov 2003 (-4.71%), 01 Dec 2003 (-4.5%), 03 Dec 2003 (-4.64%), 05 Dec 2003 (-4.63%), 10 Dec 2003 (-4.45%), 26 Dec 2003 (-3.82%), 29 Dec 2003 (-3.75%)
20021015 Feb 2002 (13.18%), 14 Jun 2002 (13.86%), 20 Nov 2002 (-2.53%), 21 Nov 2002 (-2.73%), 22 Nov 2002 (-2.76%), 29 Nov 2002 (-3.0%), 02 Dec 2002 (-2.96%), 06 Dec 2002 (-3.14%), 26 Dec 2002 (-2.99%), 27 Dec 2002 (9.34%)
20011207 Feb 2001 (-4.12%), 08 Feb 2001 (-4.0%), 12 Feb 2001 (11.7%), 25 Oct 2001 (-4.16%), 15 Nov 2001 (-3.83%), 19 Nov 2001 (-3.92%), 20 Nov 2001 (-4.38%), 26 Nov 2001 (-4.18%), 05 Dec 2001 (-3.87%), 06 Dec 2001 (-4.05%), 07 Dec 2001 (-4.1%), 10 Dec 2001 (12.27%)
20001704 Jan 2000 (-6.06%), 05 Jan 2000 (-6.61%), 06 Jan 2000 (-6.21%), 07 Jan 2000 (-6.06%), 10 Jan 2000 (18.5%), 07 Feb 2000 (-5.65%), 08 Feb 2000 (-5.39%), 09 Feb 2000 (-5.9%), 18 Feb 2000 (-5.59%), 21 Feb 2000 (-5.33%), 22 Feb 2000 (-5.11%), 23 Feb 2000 (-6.18%), 24 Feb 2000 (-6.17%), 25 Feb 2000 (-5.83%), 28 Feb 2000 (-5.79%), 02 Mar 2000 (18.8%), 05 Sep 2000 (14.27%)
19992008 Jan 1999 (-3.26%), 11 Jan 1999 (10.49%), 28 Jun 1999 (-4.88%), 12 Jul 1999 (-4.59%), 13 Jul 1999 (-4.9%), 14 Jul 1999 (-4.75%), 15 Jul 1999 (-5.54%), 16 Aug 1999 (-4.68%), 18 Aug 1999 (-4.98%), 23 Aug 1999 (-5.31%), 24 Aug 1999 (15.28%), 14 Oct 1999 (-5.15%), 15 Oct 1999 (-5.43%), 18 Oct 1999 (-5.2%), 20 Oct 1999 (-5.0%), 21 Oct 1999 (-4.83%), 22 Oct 1999 (-5.22%), 23 Oct 1999 (15.59%), 16 Nov 1999 (-7.03%), 22 Dec 1999 (-5.64%)
1998207 Jan 1998 (10.89%), 09 Apr 1998 (-3.7%)
19971801 Jan 1997 (-3.87%), 02 Jan 1997 (-4.2%), 06 Jan 1997 (-4.27%), 08 Jan 1997 (-4.21%), 15 Jan 1997 (-3.78%), 16 Jan 1997 (-3.9%), 03 Mar 1997 (-4.01%), 05 Mar 1997 (11.76%), 07 Jul 1997 (-4.49%), 09 Jul 1997 (-4.22%), 10 Jul 1997 (-4.32%), 17 Jul 1997 (-4.86%), 22 Jul 1997 (-4.76%), 23 Jul 1997 (-4.65%), 06 Aug 1997 (-4.23%), 12 Aug 1997 (-4.62%), 13 Aug 1997 (13.54%), 29 Dec 1997 (-3.81%)
1996218 Apr 1996 (-3.4%), 19 Apr 1996 (-3.46%)
1995520 Jul 1995 (-2.77%), 21 Jul 1995 (-2.81%), 24 Jul 1995 (-2.93%), 25 Jul 1995 (-3.27%), 26 Jul 1995 (11.61%)



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