Study: Sell RPOWER when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell RPOWER 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 RPOWER 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
17335.062415962.54696.8414259.33-7013.05-13337.450.671.120.013305.63
217071.4424131154.177287.5816802.61-7060.64-29588.011.031.220.022711.31
3-10586.2824111345.839367.3717944.54-8740.56-30337.081.070.91-0.011-441.1
4-63435.2724101441.679758.3721859.71-11501.35-41296.520.850.61-0.053-2643.14
5-11287324111345.8310833.4324377.46-17849.32-91236.490.610.51-0.061-4703.06
6-1609262481633.3314177.2832952.69-17146.54-72989.20.830.41-0.094-6705.26
7-1796032491537.513504.8729363.78-20076.47-73469.390.670.4-0.1-7483.47
8-16314324101441.6716469.341109.3-23416.84-80672.270.70.5-0.079-6797.62
9-1340982491537.518601.6440456.77-20100.87-81872.750.930.56-0.065-5587.43
10-10847524101441.6718534.6943393.15-20987.26-94357.740.880.63-0.048-4519.78
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
atrnil23.86-10209158154325.8616227.9422863.89-8035.11-12797.242.020.7-0.048-1760.18
atrtrail-14.15-86211.2262194330.6510377.3757395.54-6590.26-12797.241.570.7-0.038-1390.5
atrtrail22.87-90348.8462194330.6510159.622863.89-6590.26-12797.241.540.68-0.048-1457.24
atrnil35.16-13587757104717.5423997.8134295.84-7996.91-12797.2430.64-0.057-2383.8
atrtrail33.27-10664162194330.659302.1134295.84-6590.26-12797.241.410.62-0.054-1720.02

In the table above, row 1 shows the best exit criterion. Profit factor is 0.7. 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.
RPOWER Performance, Profit Factor:0.705

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018501 Jan 2018 (-4.56%), 02 Jan 2018 (-5.75%), 08 Jan 2018 (10.71%), 31 Aug 2018 (-3.96%), 03 Sep 2018 (8.11%)
2017620 Sep 2017 (6.06%), 22 Dec 2017 (-3.27%), 26 Dec 2017 (-3.28%), 27 Dec 2017 (-3.39%), 28 Dec 2017 (-3.52%), 29 Dec 2017 (-3.87%)
2016101 Jan 2016 (6.51%)
2015407 Oct 2015 (-3.99%), 12 Oct 2015 (-4.1%), 20 Oct 2015 (7.43%), 31 Dec 2015 (-3.28%)
20141231 Mar 2014 (-2.65%), 09 Apr 2014 (-2.66%), 10 Apr 2014 (5.51%), 14 May 2014 (-3.01%), 19 May 2014 (-3.6%), 20 May 2014 (-3.65%), 22 May 2014 (-3.63%), 23 May 2014 (-3.54%), 26 May 2014 (-4.34%), 03 Jun 2014 (-4.21%), 05 Jun 2014 (-4.03%), 11 Jun 2014 (8.57%)
20121313 Jan 2012 (-4.21%), 19 Jan 2012 (-3.93%), 25 Jan 2012 (-3.81%), 30 Jan 2012 (-4.25%), 31 Jan 2012 (-4.26%), 09 Feb 2012 (-4.05%), 15 Feb 2012 (-4.3%), 17 Feb 2012 (-4.49%), 22 Feb 2012 (9.78%), 05 Mar 2012 (10.09%), 25 Sep 2012 (-3.61%), 03 Oct 2012 (-3.5%), 09 Oct 2012 (7.12%)
2011331 Oct 2011 (-3.29%), 02 Nov 2011 (-3.45%), 08 Nov 2011 (6.59%)
2010429 Mar 2010 (-2.25%), 06 Apr 2010 (-2.3%), 15 Jun 2010 (-4.24%), 11 Nov 2010 (5.81%)
2009813 Apr 2009 (-5.03%), 15 Apr 2009 (10.19%), 24 Apr 2009 (-5.69%), 19 May 2009 (-5.97%), 20 May 2009 (-5.92%), 27 May 2009 (-6.4%), 04 Jun 2009 (-5.66%), 15 Jun 2009 (11.43%)
2008220 May 2008 (-3.84%), 23 May 2008 (7.81%)



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