Study: Sell RELIANCE when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell RELIANCE 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 RELIANCE 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
165186.9797583959.793697.1450576.2-3826.85-19903.480.971.440.02672.03
2-6135.7597445345.365613.548249.87-4776.04-24442.421.180.98-0.0016-63.26
3974.997534454.645617.6248314.49-6744.52-31414.380.8310.0002210.05
4-23307.9397445345.367290.4848712.98-6492.25-26963.41.120.93-0.005-240.29
521252.5797504751.557244.1450630.05-7254.35-24150.3911.060.0041219.1
6-35546.797484949.488238.3153613.18-8795.63-31527.210.940.92-0.0059-366.46
7-83736.9797455246.398203.5449509.96-8709.55-35861.90.940.82-0.014-863.27
8-76814.397445345.368438.9746838.99-8455.27-32701.8610.83-0.013-791.9
9-15564097415642.278396.7846225.09-8926.93-27870.750.940.69-0.026-1604.54
10-26675997435444.339434.8848185.25-12452.94-50919.40.760.6-0.037-2750.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.44. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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-1165186.9797583959.793697.1450576.2-3826.85-19903.480.971.440.02672.03
atrtrail23.13-1547502337216130.97614.5219881.76-4366.43-9919.151.740.78-0.021-664.16
atrnil24.49-2484412075415326.0911206.4318604.29-5579.01-10958.892.010.71-0.032-1200.2
atrtrail33.5-2038132317016130.37056.0729822.64-4333.78-9919.151.630.71-0.026-882.31
atrtrail-13.79-23880123069161306609.4945745.79-4315.88-9428.241.530.66-0.03-1038.27
atrnil36.37-3987592023217015.8416982.8227906.43-5542.41-10958.893.060.58-0.047-1974.06

In the table above, row 1 shows the best exit criterion. Profit factor is 1.44. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.79%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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.
RELIANCE Performance, X=1, Profit Factor:1.44

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019421 Jan 2019 (0.21%), 04 Feb 2019 (-0.05%), 12 Mar 2019 (-1.2%), 17 Oct 2019 (-1.42%)
2018527 Apr 2018 (3.31%), 12 Jun 2018 (-0.54%), 13 Jul 2018 (2.15%), 30 Jul 2018 (-3.01%), 21 Aug 2018 (-1.78%)
2017822 Feb 2017 (2.05%), 09 Mar 2017 (0.4%), 03 Apr 2017 (-2.94%), 23 Jun 2017 (-0.09%), 10 Jul 2017 (-0.1%), 24 Jul 2017 (0.81%), 13 Sep 2017 (0.61%), 18 Oct 2017 (0.5%)
2016126 Sep 2016 (-0.3%)
2015319 Jun 2015 (0.5%), 06 Jul 2015 (1.21%), 19 Oct 2015 (0.71%)
2014310 Mar 2014 (1.21%), 01 Apr 2014 (-1.65%), 12 May 2014 (-3.37%)
2013117 Jan 2013 (-1.15%)
2012306 Aug 2012 (0.29%), 14 Sep 2012 (-3.8%), 06 Dec 2012 (1.1%)
2009425 Mar 2009 (-2.17%), 13 Apr 2009 (-3.19%), 04 May 2009 (0.18%), 18 May 2009 (5.77%)
2008114 Jan 2008 (1.72%)
2007915 Jan 2007 (1.32%), 17 Apr 2007 (-0.65%), 03 May 2007 (2.64%), 17 May 2007 (-0.78%), 17 Jul 2007 (0.28%), 14 Sep 2007 (0.32%), 28 Sep 2007 (0.25%), 15 Oct 2007 (0.56%), 29 Oct 2007 (2.07%)
2006817 Jan 2006 (25.29%), 20 Mar 2006 (-0.31%), 03 Apr 2006 (-0.96%), 20 Apr 2006 (1.77%), 04 May 2006 (-1.76%), 28 Aug 2006 (0.29%), 17 Oct 2006 (0.55%), 02 Nov 2006 (-0.34%)
2005807 Mar 2005 (-0.72%), 16 Jun 2005 (-1.69%), 30 Jun 2005 (0.38%), 22 Jul 2005 (0.29%), 12 Sep 2005 (0.03%), 28 Sep 2005 (-0.98%), 24 Nov 2005 (0.17%), 09 Dec 2005 (0.02%)
2004414 Jan 2004 (3.17%), 05 Aug 2004 (1.81%), 17 Sep 2004 (1.39%), 01 Oct 2004 (-2.43%)
2003630 May 2003 (1.36%), 17 Jun 2003 (0.97%), 22 Aug 2003 (0.81%), 05 Sep 2003 (-3.75%), 10 Oct 2003 (-2.16%), 30 Dec 2003 (-1.8%)
2002222 Nov 2002 (-0.42%), 06 Dec 2002 (1.08%)
2001505 Jan 2001 (1.13%), 23 Jan 2001 (0.34%), 12 Feb 2001 (-2.37%), 01 Mar 2001 (4.36%), 19 Nov 2001 (4.65%)
2000604 Jan 2000 (-3.92%), 19 Jan 2000 (2.11%), 09 Feb 2000 (-1.53%), 10 Jul 2000 (-2.02%), 06 Sep 2000 (0.48%), 11 Dec 2000 (0.48%)
1999408 Jan 1999 (-3.35%), 11 May 1999 (4.56%), 27 Sep 1999 (-4.5%), 21 Oct 1999 (1.04%)
1998209 Mar 1998 (2.41%), 09 Apr 1998 (2.26%)
1997701 Jan 1997 (2.37%), 15 Jan 1997 (2.49%), 30 Jan 1997 (2.24%), 01 Mar 1997 (1.52%), 12 Jun 1997 (0.34%), 26 Jun 1997 (2.65%), 09 Oct 1997 (-9.95%)
1996218 Apr 1996 (-0.64%), 02 May 1996 (2.27%)
1995125 Jul 1995 (-0.84%)



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