Study: Sell SHREECEM when RSI is overbought

home > technical-strategy > shreecem > 61

In this study, we evaluate the performance of strategy "Sell SHREECEM 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 SHREECEM 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
1-182951119546545.383733.4515196.08-5916.26-33632.290.630.52-0.044-1537.4
2-253717119506942.025320.9832843.14-7532.84-32128.510.710.51-0.05-2132.08
3-271447119566347.066651.9428431.37-10221.52-45833.330.650.58-0.041-2281.07
4-336348119487140.348046.1827561.84-10176.97-58968.610.790.53-0.046-2826.46
5-419695119467338.668737.0433922.26-11254.78-56223.180.780.49-0.053-3526.85
6-470998119516842.868154.3630392.16-13042.21-67381.970.630.47-0.055-3957.97
7-563501119467338.668508.127510.04-13080.46-72961.370.650.41-0.065-4735.3
8-572776119467338.6610171.0929608.54-14255.42-55364.810.710.45-0.062-4813.24
9-590874119437636.1312524.2142402.83-14860.73-59359.030.840.48-0.057-4965.33
10-566027119457437.8212730.2541342.76-15390.39-71084.340.830.5-0.054-4756.53
Although, strategy looks good but profit factor on day 2 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
atrtrail23.35-7130383097923025.5711198.6729025.62-6946.67-13924.811.610.55-0.051-2307.57
atrnil24.35-8332872855922620.717076.8629025.62-8145.23-16404.162.10.55-0.057-2923.81
atrtrail33.61-7280653067523124.5111538.839417.31-6898.16-13924.811.670.54-0.05-2379.3
atrnil35.58-1.10311e+062813624512.8125108.3539221.99-8191.9-16404.163.070.45-0.071-3925.68
atrtrail-14.02-8816813047323124.019811.9858142.13-6917.56-13924.811.420.45-0.066-2900.27

In the table above, row 1 shows the best exit criterion. Profit factor is 0.55. 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.
SHREECEM Performance, Profit Factor:0.554

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019906 Mar 2019 (-2.88%), 11 Mar 2019 (-0.0%), 01 Apr 2019 (-1.02%), 05 Apr 2019 (-1.13%), 15 Apr 2019 (-2.23%), 18 Apr 2019 (-0.12%), 25 Apr 2019 (4.64%), 24 May 2019 (-2.73%), 27 May 2019 (-2.49%)
2018705 Jan 2018 (-2.31%), 08 Jan 2018 (-2.29%), 11 Jan 2018 (4.27%), 27 Aug 2018 (-2.58%), 03 Sep 2018 (4.81%), 03 Dec 2018 (1.88%), 19 Dec 2018 (1.45%)
2017806 Apr 2017 (-1.71%), 24 Apr 2017 (-2.39%), 25 Apr 2017 (-2.63%), 27 Apr 2017 (-1.69%), 03 May 2017 (-1.06%), 09 May 2017 (-2.68%), 11 May 2017 (-1.96%), 15 May 2017 (5.87%)
20161018 Mar 2016 (-4.34%), 21 Mar 2016 (-0.5%), 12 May 2016 (-3.09%), 13 May 2016 (6.17%), 07 Jul 2016 (-3.06%), 11 Jul 2016 (-0.53%), 18 Jul 2016 (-3.03%), 22 Jul 2016 (-0.71%), 02 Aug 2016 (-0.18%), 06 Sep 2016 (5.41%)
20151015 Jan 2015 (-1.86%), 19 Jan 2015 (-2.45%), 20 Jan 2015 (-2.27%), 22 Jan 2015 (-2.83%), 27 Jan 2015 (-3.09%), 29 Jan 2015 (-3.0%), 03 Feb 2015 (-2.54%), 06 Feb 2015 (-3.34%), 13 Feb 2015 (7.36%), 15 May 2015 (8.29%)
20142824 Feb 2014 (-0.79%), 05 Mar 2014 (-2.77%), 06 Mar 2014 (-2.85%), 10 Mar 2014 (-1.37%), 20 Mar 2014 (-0.35%), 24 Mar 2014 (-1.96%), 27 Mar 2014 (-2.39%), 28 Mar 2014 (-2.54%), 03 Apr 2014 (0.59%), 11 Apr 2014 (-1.2%), 23 Apr 2014 (0.79%), 13 May 2014 (-1.76%), 16 May 2014 (-3.08%), 21 May 2014 (-2.92%), 22 May 2014 (-2.98%), 23 May 2014 (-2.91%), 26 May 2014 (-3.31%), 28 May 2014 (-1.25%), 04 Jun 2014 (-3.1%), 05 Jun 2014 (-3.56%), 09 Jun 2014 (7.09%), 10 Jun 2014 (-1.65%), 20 Aug 2014 (-3.37%), 22 Aug 2014 (-1.28%), 03 Sep 2014 (-2.92%), 04 Sep 2014 (-3.04%), 10 Sep 2014 (-1.5%), 31 Oct 2014 (-0.94%)
2013502 May 2013 (-3.09%), 09 May 2013 (-1.38%), 16 May 2013 (-2.89%), 17 May 2013 (0.04%), 18 Oct 2013 (6.72%)
20123323 Jan 2012 (-1.68%), 01 Feb 2012 (-2.95%), 06 Feb 2012 (-2.87%), 07 Feb 2012 (-3.44%), 08 Feb 2012 (-2.07%), 15 Feb 2012 (-3.11%), 17 Feb 2012 (-3.19%), 28 Feb 2012 (-2.98%), 29 Feb 2012 (-3.03%), 01 Mar 2012 (0.75%), 09 Mar 2012 (-1.63%), 16 Mar 2012 (-2.89%), 21 Mar 2012 (5.58%), 27 Mar 2012 (-3.21%), 30 Mar 2012 (6.67%), 22 Jun 2012 (-3.33%), 29 Jun 2012 (2.84%), 31 Jul 2012 (-2.42%), 13 Aug 2012 (-3.29%), 21 Aug 2012 (-1.81%), 23 Aug 2012 (-3.22%), 24 Aug 2012 (-3.56%), 27 Aug 2012 (1.72%), 21 Sep 2012 (-2.46%), 27 Sep 2012 (-2.79%), 28 Sep 2012 (-2.97%), 01 Oct 2012 (7.23%), 03 Oct 2012 (0.3%), 15 Oct 2012 (-3.15%), 18 Oct 2012 (-2.05%), 29 Oct 2012 (-0.71%), 05 Nov 2012 (-2.89%), 08 Nov 2012 (5.56%)
2011717 Mar 2011 (-3.31%), 18 Mar 2011 (-2.67%), 29 Mar 2011 (-3.72%), 30 Mar 2011 (0.22%), 14 Nov 2011 (0.49%), 30 Nov 2011 (-2.39%), 02 Dec 2011 (2.26%)
20101204 Jan 2010 (-2.79%), 05 Jan 2010 (-2.84%), 06 Jan 2010 (-3.97%), 07 Jan 2010 (-2.74%), 11 Jan 2010 (-0.45%), 14 Jan 2010 (8.66%), 22 Feb 2010 (2.28%), 14 Sep 2010 (1.68%), 02 Nov 2010 (-2.42%), 03 Nov 2010 (-2.52%), 04 Nov 2010 (-2.71%), 05 Nov 2010 (5.45%)
20093311 Feb 2009 (-5.16%), 13 Feb 2009 (0.25%), 12 Mar 2009 (-4.06%), 19 Mar 2009 (-3.89%), 20 Mar 2009 (-4.2%), 23 Mar 2009 (-4.28%), 24 Mar 2009 (-0.43%), 27 Mar 2009 (-4.66%), 30 Mar 2009 (-4.94%), 01 Apr 2009 (-4.82%), 06 Apr 2009 (-5.0%), 13 Apr 2009 (-4.75%), 20 Apr 2009 (-4.87%), 18 May 2009 (-4.72%), 20 May 2009 (-5.98%), 21 May 2009 (0.63%), 02 Jun 2009 (-5.23%), 05 Jun 2009 (-5.25%), 08 Jun 2009 (-5.17%), 10 Jun 2009 (1.0%), 16 Jul 2009 (-4.08%), 20 Jul 2009 (-3.76%), 24 Jul 2009 (-3.59%), 27 Jul 2009 (-3.76%), 28 Jul 2009 (-3.68%), 30 Jul 2009 (-3.73%), 31 Jul 2009 (-3.7%), 03 Aug 2009 (7.28%), 07 Aug 2009 (-4.03%), 18 Sep 2009 (8.37%), 02 Dec 2009 (-3.46%), 08 Dec 2009 (6.25%), 30 Dec 2009 (-2.81%)
2008118 Dec 2008 (1.56%)
2007930 May 2007 (10.94%), 28 Jun 2007 (-4.03%), 04 Jul 2007 (-1.54%), 13 Jul 2007 (-3.91%), 16 Jul 2007 (8.32%), 21 Sep 2007 (-0.42%), 28 Sep 2007 (-4.54%), 03 Oct 2007 (-4.65%), 05 Oct 2007 (0.87%)
20062519 Jan 2006 (-3.66%), 24 Jan 2006 (2.21%), 22 Feb 2006 (-4.16%), 23 Feb 2006 (-3.56%), 01 Mar 2006 (-4.05%), 02 Mar 2006 (-4.32%), 06 Mar 2006 (-4.1%), 07 Mar 2006 (0.81%), 09 Mar 2006 (-4.37%), 10 Mar 2006 (1.64%), 27 Mar 2006 (-4.36%), 28 Mar 2006 (-4.54%), 03 Apr 2006 (-4.41%), 04 Apr 2006 (-4.36%), 07 Apr 2006 (-4.56%), 10 Apr 2006 (9.17%), 18 Apr 2006 (-1.62%), 24 Apr 2006 (0.88%), 06 Oct 2006 (7.22%), 09 Oct 2006 (-4.11%), 01 Nov 2006 (-3.34%), 06 Nov 2006 (-2.71%), 08 Nov 2006 (-3.81%), 13 Nov 2006 (-3.65%), 14 Nov 2006 (-2.63%)
20052404 Jan 2005 (-3.44%), 05 Jan 2005 (-3.64%), 07 Jan 2005 (7.51%), 04 Feb 2005 (-3.14%), 08 Feb 2005 (-4.0%), 09 Feb 2005 (-3.98%), 10 Feb 2005 (0.67%), 02 Mar 2005 (-3.91%), 03 Mar 2005 (-4.01%), 04 Mar 2005 (-4.07%), 07 Mar 2005 (-4.47%), 08 Mar 2005 (8.73%), 02 Aug 2005 (0.97%), 12 Aug 2005 (-3.21%), 16 Aug 2005 (-3.3%), 17 Aug 2005 (-3.57%), 18 Aug 2005 (0.86%), 30 Aug 2005 (-2.39%), 02 Sep 2005 (-4.09%), 08 Sep 2005 (-2.28%), 15 Sep 2005 (8.38%), 16 Sep 2005 (9.42%), 30 Nov 2005 (-4.46%), 01 Dec 2005 (2.1%)
2004815 Apr 2004 (1.63%), 23 Apr 2004 (-1.25%), 30 Apr 2004 (-1.94%), 04 May 2004 (9.92%), 02 Sep 2004 (3.92%), 02 Dec 2004 (-4.2%), 03 Dec 2004 (-4.44%), 06 Dec 2004 (-0.07%)
20031919 May 2003 (-4.34%), 22 May 2003 (-4.05%), 23 May 2003 (-3.98%), 28 May 2003 (-4.68%), 30 May 2003 (1.18%), 06 Jun 2003 (-4.71%), 09 Jun 2003 (-4.69%), 11 Jun 2003 (-5.9%), 12 Jun 2003 (-0.02%), 18 Jun 2003 (13.14%), 02 Jul 2003 (-6.73%), 30 Jul 2003 (-6.27%), 04 Aug 2003 (12.65%), 04 Nov 2003 (-5.82%), 05 Nov 2003 (-5.95%), 06 Nov 2003 (-2.54%), 15 Dec 2003 (-5.87%), 26 Dec 2003 (-5.32%), 29 Dec 2003 (10.42%)
2002613 May 2002 (-4.14%), 14 May 2002 (8.63%), 14 Jun 2002 (-5.58%), 26 Nov 2002 (-3.32%), 29 Nov 2002 (-3.86%), 02 Dec 2002 (2.51%)
2001823 Oct 2001 (2.57%), 09 Nov 2001 (-5.21%), 12 Nov 2001 (-1.07%), 04 Dec 2001 (-5.49%), 05 Dec 2001 (-5.59%), 06 Dec 2001 (-6.51%), 07 Dec 2001 (-6.52%), 10 Dec 2001 (13.07%)
19992506 Jan 1999 (-4.77%), 07 Jan 1999 (10.42%), 09 Jun 1999 (-6.41%), 10 Jun 1999 (-6.04%), 11 Jun 1999 (-4.34%), 15 Jun 1999 (-6.27%), 17 Jun 1999 (-5.9%), 18 Jun 1999 (11.8%), 06 Jul 1999 (-6.22%), 07 Jul 1999 (-5.88%), 08 Jul 1999 (-6.2%), 09 Jul 1999 (-6.71%), 12 Jul 1999 (-0.86%), 14 Jul 1999 (-6.96%), 15 Jul 1999 (14.51%), 03 Aug 1999 (-6.32%), 04 Aug 1999 (-5.97%), 05 Aug 1999 (-5.69%), 09 Aug 1999 (-1.59%), 11 Aug 1999 (-0.83%), 16 Aug 1999 (-5.74%), 17 Aug 1999 (-5.46%), 18 Aug 1999 (10.74%), 22 Dec 1999 (-5.2%), 23 Dec 1999 (-5.0%)
19981701 Jan 1998 (-4.4%), 02 Jan 1998 (-4.15%), 07 Jan 1998 (8.27%), 09 Apr 1998 (-5.34%), 13 Apr 1998 (-5.25%), 15 Apr 1998 (-5.08%), 16 Apr 1998 (4.02%), 05 May 1998 (13.62%), 20 May 1998 (12.72%), 31 Aug 1998 (13.23%), 17 Sep 1998 (-5.98%), 22 Sep 1998 (-6.25%), 23 Sep 1998 (-5.9%), 24 Sep 1998 (-5.6%), 25 Sep 1998 (-5.85%), 28 Sep 1998 (11.49%), 30 Dec 1998 (2.05%)
1997202 Jul 1997 (8.73%), 31 Dec 1997 (-4.47%)
1996315 Feb 1996 (8.9%), 28 Aug 1996 (-4.7%), 02 Sep 1996 (9.09%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play