Study: Sell SRF when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell SRF 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 SRF 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
1-74141.29108575152.784983.9635294.12-7024.06-29380.050.710.79-0.016-686.49
2-140690108505846.37917.8932941.18-9251.46-41239.890.860.74-0.023-1302.68
3-111346108476143.529723.4635947.71-9317.19-34232.561.040.8-0.017-1030.98
4-156569108575152.788325.4133138.56-12374.86-54604.650.670.75-0.022-1449.72
5-215216108535549.0710088.933514.19-13635.05-55993.690.740.71-0.025-1992.74
6-215969108486044.4411946.2736601.31-13156.5-75150.060.910.73-0.022-1999.71
7-198230108515747.2212204.4943137.25-14397.52-83313.330.850.76-0.02-1835.46
8-115447108555350.9311585.1945751.63-14200.61-63385.350.820.85-0.012-1068.95
9-13420410854545011801.8839215.69-14287.14-60697.890.830.83-0.014-1242.63
10-175643108535549.0712833.4736081.02-15560.3-64554.640.820.79-0.017-1626.32
Although, strategy looks good but profit factor on day 5 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
atrnil24.54-3371282236116227.3518273.237679.66-8961.69-16390.92.040.77-0.024-1511.78
atrtrail23.23-3160042568217432.0311257.1937679.66-7121.23-16390.91.580.74-0.024-1234.39
atrtrail33.82-3320522568217432.0311061.4843509.14-7121.23-16390.91.550.73-0.024-1297.08
atrtrail-14.2-4604212558117431.769529.7943062.95-7082.38-16390.91.350.63-0.037-1805.57
atrnil36.48-6487562203918117.7325596.5545610.19-9099.57-18839.832.810.61-0.043-2948.89

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 27.35%, which is not acceptable. Avoid this strategy. Average return per trade is -0.76%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRF Performance, Profit Factor:0.768

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019506 Mar 2019 (-2.44%), 13 Mar 2019 (-2.29%), 22 Mar 2019 (4.54%), 15 May 2019 (-3.11%), 20 May 2019 (-3.05%)
20181012 Apr 2018 (-2.27%), 16 Apr 2018 (-2.32%), 19 Apr 2018 (-2.14%), 23 Apr 2018 (-2.1%), 26 Apr 2018 (-2.52%), 27 Apr 2018 (-2.63%), 30 Apr 2018 (5.31%), 16 Aug 2018 (-3.05%), 29 Aug 2018 (5.8%), 09 Nov 2018 (-3.67%)
2017725 Jan 2017 (-2.64%), 07 Feb 2017 (5.18%), 17 Apr 2017 (-2.15%), 27 Apr 2017 (-2.4%), 16 May 2017 (4.95%), 09 Oct 2017 (5.78%), 29 Dec 2017 (-2.62%)
20161306 Jan 2016 (5.96%), 29 Mar 2016 (-3.28%), 30 Mar 2016 (-3.26%), 13 Apr 2016 (-3.28%), 28 Jul 2016 (-2.56%), 29 Jul 2016 (-2.54%), 01 Aug 2016 (-2.58%), 08 Aug 2016 (-2.74%), 09 Aug 2016 (-3.15%), 18 Aug 2016 (-3.29%), 24 Aug 2016 (-2.91%), 01 Sep 2016 (5.39%), 03 Oct 2016 (6.77%)
20151328 Jan 2015 (-3.39%), 04 Feb 2015 (7.0%), 07 Apr 2015 (-3.98%), 20 Apr 2015 (8.34%), 01 Jun 2015 (8.15%), 26 Jun 2015 (-4.37%), 01 Jul 2015 (-4.23%), 06 Jul 2015 (-4.05%), 30 Jul 2015 (-3.17%), 31 Jul 2015 (-3.2%), 04 Aug 2015 (6.67%), 19 Oct 2015 (-3.62%), 28 Oct 2015 (7.05%)
20142406 Mar 2014 (-3.93%), 07 Mar 2014 (-4.37%), 10 Mar 2014 (-4.95%), 21 Mar 2014 (-5.1%), 24 Mar 2014 (-4.85%), 28 Mar 2014 (-4.64%), 10 Apr 2014 (-4.53%), 15 Apr 2014 (9.8%), 15 May 2014 (-4.3%), 19 May 2014 (-4.21%), 27 May 2014 (-4.25%), 02 Jun 2014 (-4.07%), 04 Jun 2014 (-3.79%), 05 Jun 2014 (-3.83%), 09 Jun 2014 (7.94%), 13 Jun 2014 (-4.78%), 26 Jun 2014 (-3.67%), 27 Jun 2014 (7.9%), 05 Aug 2014 (-5.34%), 12 Aug 2014 (-5.37%), 09 Sep 2014 (-4.19%), 19 Sep 2014 (7.41%), 29 Oct 2014 (-4.13%), 30 Oct 2014 (9.1%)
2013530 Sep 2013 (-3.66%), 01 Oct 2013 (-3.72%), 11 Oct 2013 (-3.63%), 29 Nov 2013 (-3.51%), 02 Dec 2013 (-4.05%)
2012416 Feb 2012 (-3.31%), 21 Feb 2012 (6.62%), 05 Jul 2012 (-2.4%), 20 Jul 2012 (-3.28%)
2011104 Apr 2011 (7.21%)
20101704 Jan 2010 (-3.61%), 05 Jan 2010 (-3.64%), 01 Apr 2010 (-2.83%), 06 Apr 2010 (5.61%), 19 Jul 2010 (7.26%), 17 Aug 2010 (-2.94%), 18 Aug 2010 (-2.88%), 19 Aug 2010 (-2.88%), 24 Aug 2010 (7.01%), 06 Oct 2010 (-3.98%), 07 Oct 2010 (-4.04%), 08 Oct 2010 (-4.08%), 12 Oct 2010 (-4.09%), 13 Oct 2010 (-4.03%), 25 Oct 2010 (-4.24%), 27 Oct 2010 (-4.12%), 03 Nov 2010 (8.08%)
20091213 Apr 2009 (-5.5%), 19 May 2009 (-6.54%), 20 May 2009 (-6.61%), 21 May 2009 (-7.12%), 02 Jun 2009 (13.64%), 23 Jul 2009 (-5.51%), 27 Jul 2009 (-5.29%), 11 Aug 2009 (-4.9%), 13 Aug 2009 (9.76%), 30 Sep 2009 (-4.26%), 01 Oct 2009 (-4.85%), 20 Oct 2009 (8.99%)
2008417 Apr 2008 (-5.68%), 21 Apr 2008 (-5.44%), 25 Apr 2008 (10.88%), 05 Aug 2008 (9.53%)
2007404 Jul 2007 (8.77%), 20 Nov 2007 (-4.84%), 21 Nov 2007 (-5.36%), 05 Dec 2007 (-5.37%)
2006630 Mar 2006 (-4.13%), 31 Mar 2006 (-4.31%), 03 Apr 2006 (-4.23%), 05 Apr 2006 (8.7%), 10 Aug 2006 (-5.22%), 30 Oct 2006 (6.93%)
20052210 Feb 2005 (9.03%), 08 Mar 2005 (-4.29%), 05 Apr 2005 (-5.41%), 07 Apr 2005 (-5.17%), 25 Apr 2005 (-5.21%), 26 Apr 2005 (-5.2%), 27 Apr 2005 (-5.49%), 28 Apr 2005 (-5.85%), 12 May 2005 (-5.82%), 17 May 2005 (11.58%), 07 Jun 2005 (-4.77%), 08 Jun 2005 (-5.16%), 09 Jun 2005 (-5.11%), 14 Jun 2005 (9.48%), 04 Jul 2005 (-5.33%), 05 Jul 2005 (-5.59%), 07 Jul 2005 (-5.55%), 08 Jul 2005 (-5.36%), 11 Jul 2005 (-5.35%), 12 Jul 2005 (10.92%), 02 Aug 2005 (-5.9%), 20 Sep 2005 (7.22%)
20041117 Apr 2004 (11.78%), 26 Aug 2004 (-4.96%), 31 Aug 2004 (-6.16%), 08 Sep 2004 (-6.0%), 06 Oct 2004 (-5.02%), 07 Oct 2004 (-4.95%), 09 Oct 2004 (9.76%), 16 Nov 2004 (-5.34%), 18 Nov 2004 (-5.08%), 24 Nov 2004 (-5.26%), 25 Nov 2004 (11.04%)
20031502 May 2003 (-2.93%), 05 May 2003 (-2.93%), 06 May 2003 (-3.18%), 16 May 2003 (6.12%), 29 May 2003 (-3.17%), 30 May 2003 (6.3%), 30 Jun 2003 (-6.7%), 02 Jul 2003 (14.14%), 20 Aug 2003 (15.35%), 05 Sep 2003 (18.8%), 06 Nov 2003 (-7.21%), 07 Nov 2003 (-7.01%), 11 Nov 2003 (14.5%), 17 Nov 2003 (-8.08%), 29 Dec 2003 (-7.53%)
2002921 Jan 2002 (-3.29%), 24 Jan 2002 (-3.56%), 25 Jan 2002 (7.9%), 15 Feb 2002 (9.59%), 14 May 2002 (-4.51%), 05 Jun 2002 (-6.07%), 13 Jun 2002 (-8.2%), 14 Jun 2002 (15.37%), 05 Jul 2002 (15.2%)
2001819 Jun 2001 (10.05%), 06 Nov 2001 (-3.28%), 08 Nov 2001 (-3.43%), 19 Nov 2001 (-3.38%), 22 Nov 2001 (-3.38%), 23 Nov 2001 (-3.64%), 26 Nov 2001 (-3.86%), 27 Nov 2001 (9.52%)
2000105 Jul 2000 (10.19%)
19992018 Mar 1999 (-8.02%), 19 Mar 1999 (18.84%), 25 May 1999 (10.34%), 08 Jun 1999 (-7.76%), 09 Jun 1999 (-7.2%), 10 Jun 1999 (14.46%), 05 Jul 1999 (-6.25%), 06 Jul 1999 (-5.94%), 07 Jul 1999 (-5.91%), 12 Jul 1999 (-5.81%), 13 Jul 1999 (-6.18%), 10 Aug 1999 (-6.36%), 11 Aug 1999 (-6.53%), 17 Sep 1999 (-7.6%), 22 Sep 1999 (-7.04%), 23 Sep 1999 (-6.66%), 24 Sep 1999 (-6.26%), 27 Sep 1999 (-5.91%), 28 Sep 1999 (-6.44%), 29 Sep 1999 (-7.63%)
1998102 Jan 1998 (8.51%)
19971101 Jan 1997 (-3.08%), 02 Jan 1997 (-3.38%), 06 Jan 1997 (-3.48%), 08 Jan 1997 (-3.65%), 14 Jan 1997 (-3.29%), 15 Jan 1997 (-3.38%), 16 Jan 1997 (6.87%), 10 Jul 1997 (8.16%), 30 Jul 1997 (-4.09%), 31 Jul 1997 (-4.01%), 04 Aug 1997 (8.28%)



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