Study: Sell RELINFRA when RSI is overbought

home > technical-strategy > relinfra > 61

In this study, we evaluate the performance of strategy "Sell RELINFRA 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 RELINFRA 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
1-4631.98763838504918.7123981.26-5040.6-22218.470.980.98-0.0018-60.95
2-86117.03763838506076.9839875.1-8343.22-33299.660.730.73-0.022-1133.12
3-47421.5576463060.536794.5536533.96-11999.03-51687.210.570.87-0.01-623.97
4-26122.0176453159.218603.3536409.06-13331.39-45665.790.650.94-0.005-343.71
5-13750176403652.639579.8130385.41-14463.7-39963.50.660.74-0.024-1809.22
6-14547876423455.269885.5937818.31-16490.37-68822.340.60.74-0.021-1914.18
7-21068876423455.2610793.536407.43-19529.85-73077.70.550.68-0.027-2772.21
8-24648776393751.3212310.9843530.63-19638.24-93201.130.630.66-0.03-3243.25
9-22919776403652.6312891.9942790.78-20691.03-99757.180.620.69-0.027-3015.75
10-23454376413553.9513551.7244588.09-22576.1-93008.90.60.7-0.026-3086.09

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 -0.03%, 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-11-4631.98763838504918.7123981.26-5040.6-22218.470.980.98-0.0018-60.95
atrnil35.51-44755.811623912324.0724369.7548493.64-8090.86-13998.43.010.96-0.0039-276.27
atrnil23.81-59234.961685411432.1416116.0732329.09-8153.53-13998.41.980.94-0.0061-352.59
atrtrail22.95-82695.441866512134.9511658.6932329.09-6946.37-13998.41.680.9-0.0088-444.6
atrtrail33.49-1052891836112233.3311887.6948493.64-6806.87-13998.41.750.87-0.01-575.35
atrtrail-14.12-2091301805912132.7810513.8558323.66-6854.94-13998.41.530.75-0.021-1161.83

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 -0.03%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
RELINFRA Performance, X=1, Profit Factor:0.976

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018208 Jan 2018 (2.18%), 30 Aug 2018 (-3.02%)
2017122 Dec 2017 (-2.16%)
2016408 Jan 2016 (-0.48%), 09 Mar 2016 (1.66%), 23 Mar 2016 (2.61%), 11 Apr 2016 (0.43%)
2015230 Nov 2015 (0.62%), 24 Dec 2015 (0.41%)
2014611 Mar 2014 (1.92%), 28 Mar 2014 (0.37%), 15 Apr 2014 (-0.78%), 09 May 2014 (-2.65%), 23 May 2014 (3.22%), 06 Jun 2014 (-2.78%)
2013107 Jan 2013 (-2.93%)
2012417 Jan 2012 (-3.29%), 01 Feb 2012 (-0.75%), 15 Feb 2012 (-0.72%), 24 Sep 2012 (0.37%)
2010205 Jan 2010 (2.39%), 07 Apr 2010 (1.11%)
2009409 Apr 2009 (-1.45%), 18 May 2009 (-5.2%), 01 Jun 2009 (4.51%), 08 Oct 2009 (2.86%)
2007821 May 2007 (-0.11%), 22 Jun 2007 (-0.21%), 12 Jul 2007 (-1.09%), 26 Jul 2007 (4.78%), 06 Sep 2007 (1.19%), 20 Sep 2007 (-2.14%), 05 Oct 2007 (4.69%), 28 Dec 2007 (1.06%)
2006306 Mar 2006 (0.27%), 06 Nov 2006 (1.58%), 22 Nov 2006 (1.14%)
2005404 Jun 2005 (-0.04%), 17 Jun 2005 (-11.11%), 01 Jul 2005 (-0.72%), 01 Dec 2005 (-0.23%)
2004608 Jan 2004 (-7.59%), 16 Feb 2004 (0.55%), 01 Mar 2004 (-3.0%), 02 Apr 2004 (-0.51%), 24 Aug 2004 (-4.23%), 05 Oct 2004 (2.15%)
2003711 Jun 2003 (-4.34%), 25 Jun 2003 (2.47%), 14 Jul 2003 (2.71%), 22 Aug 2003 (3.9%), 10 Sep 2003 (-0.86%), 06 Oct 2003 (0.64%), 31 Oct 2003 (-3.34%)
2001425 Jan 2001 (1.81%), 13 Feb 2001 (-1.55%), 29 May 2001 (4.48%), 20 Nov 2001 (-0.51%)
2000410 Feb 2000 (-8.0%), 28 Feb 2000 (7.77%), 09 Jun 2000 (11.99%), 13 Dec 2000 (0.11%)
1999408 Jan 1999 (-0.97%), 12 Jul 1999 (-0.26%), 17 Aug 1999 (-8.01%), 13 Dec 1999 (-0.48%)
1998123 Feb 1998 (-3.75%)
1997201 Jan 1997 (5.18%), 15 Jan 1997 (5.65%)
1996512 Feb 1996 (0.37%), 17 Apr 1996 (-0.55%), 02 May 1996 (1.03%), 10 Jun 1996 (2.69%), 18 Nov 1996 (-0.46%)
1995225 Jul 1995 (-5.51%), 17 Oct 1995 (0.56%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play