Study: Sell SRTRANSFIN when RSI is overbought

home > technical-strategy > srtransfin > 61

In this study, we evaluate the performance of strategy "Sell SRTRANSFIN 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 SRTRANSFIN 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
1-776.6296544256.254225.6218333.33-5451.43-18256.130.781-0.00028-8.09
2-60811.0696494751.045414.4229969.42-6938.67-26555.020.780.81-0.016-633.45
3-59064.3196504652.086566.2441590.21-8421.23-45674.040.780.85-0.012-615.25
429720.6696494751.048546.5750000-8277.89-55580.871.031.080.005309.59
5-22733.8396564058.337734.3153211.01-11396.38-1011390.680.95-0.0032-236.81
6-62043.25964848509954.5351376.15-11247.1-79329.610.890.89-0.0081-646.28
7-23533.5396524454.1710482.5755045.87-12923.35-62414.580.810.96-0.0033-245.14
812602896524454.1711386.3353822.63-10592.29-67425.971.071.270.0181312.79
994567.1596534355.2111858.3355657.49-12416.84-56036.450.961.180.012985.07
1059251.8196573959.3812429.7778333.33-16647.31-82004.560.751.090.0063617.21
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
atrnil24.94-1921071905513528.9517978.8535050.42-8747.73-15717.272.060.84-0.017-1011.09
atrtrail23.56-2097652096414530.6212099.3635050.42-6787.06-15506.471.780.79-0.02-1003.66
atrnil36.86-2958471853814720.5426196.2952575.63-8784.39-15677.792.980.77-0.023-1599.17
atrtrail33.95-2683402086114729.3311972.2444781.14-6793.51-15506.471.760.73-0.025-1290.09
atrtrail-14.38-2839212076114629.4711491.8567021.22-6746.05-15506.471.70.71-0.024-1371.6

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 28.95%, which is not acceptable. Avoid this strategy. Average return per trade is -0.51%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SRTRANSFIN Performance, Profit Factor:0.837

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (-3.14%), 11 Mar 2019 (6.02%), 20 Sep 2019 (-3.64%), 23 Sep 2019 (7.33%)
2018208 Jan 2018 (5.0%), 06 Apr 2018 (-3.42%)
2017815 Mar 2017 (-2.88%), 03 Apr 2017 (5.82%), 05 Jul 2017 (-2.69%), 06 Jul 2017 (-2.73%), 04 Sep 2017 (-3.01%), 30 Oct 2017 (-3.21%), 02 Nov 2017 (7.06%), 19 Dec 2017 (-3.11%)
2016509 Mar 2016 (-3.96%), 13 Apr 2016 (-3.13%), 02 May 2016 (-3.55%), 12 May 2016 (-3.55%), 11 Jul 2016 (5.91%)
2015213 Feb 2015 (7.05%), 13 Oct 2015 (6.93%)
20141110 Mar 2014 (-3.49%), 26 Mar 2014 (-3.94%), 28 Mar 2014 (-3.9%), 31 Mar 2014 (-3.86%), 19 May 2014 (-4.43%), 22 May 2014 (-4.56%), 13 Nov 2014 (-3.42%), 19 Nov 2014 (-3.32%), 01 Dec 2014 (-3.57%), 03 Dec 2014 (-3.6%), 04 Dec 2014 (7.18%)
2013515 Jan 2013 (5.98%), 28 May 2013 (5.83%), 01 Nov 2013 (7.69%), 20 Dec 2013 (-3.08%), 30 Dec 2013 (6.29%)
20121216 Jan 2012 (-3.86%), 27 Jan 2012 (8.42%), 04 Jul 2012 (6.13%), 21 Aug 2012 (-3.02%), 24 Aug 2012 (-2.85%), 31 Aug 2012 (5.51%), 30 Nov 2012 (-2.64%), 04 Dec 2012 (-2.67%), 06 Dec 2012 (-2.57%), 14 Dec 2012 (-2.72%), 18 Dec 2012 (-2.8%), 19 Dec 2012 (-4.23%)
2011104 Mar 2011 (7.39%)
20101015 Jan 2010 (8.13%), 12 Apr 2010 (-3.54%), 23 Jul 2010 (-2.97%), 27 Jul 2010 (-2.94%), 02 Aug 2010 (-3.18%), 03 Aug 2010 (-3.22%), 11 Aug 2010 (-3.4%), 20 Aug 2010 (7.11%), 29 Oct 2010 (5.68%), 04 Nov 2010 (6.19%)
20092016 Apr 2009 (-3.9%), 17 Apr 2009 (-4.47%), 20 Apr 2009 (8.77%), 04 May 2009 (-4.99%), 05 May 2009 (-5.25%), 08 May 2009 (-4.92%), 13 May 2009 (-4.56%), 14 May 2009 (-5.7%), 15 May 2009 (-5.77%), 18 May 2009 (-5.48%), 19 May 2009 (-5.68%), 20 May 2009 (-5.48%), 26 May 2009 (-6.14%), 01 Jun 2009 (-6.39%), 07 Aug 2009 (-4.38%), 10 Aug 2009 (-5.34%), 26 Aug 2009 (-4.72%), 18 Sep 2009 (8.5%), 12 Nov 2009 (-4.23%), 16 Nov 2009 (-4.43%)
2008111 Aug 2008 (10.69%)
20072415 May 2007 (-3.53%), 23 May 2007 (-3.09%), 24 May 2007 (-3.2%), 28 May 2007 (-3.57%), 29 May 2007 (-3.89%), 31 May 2007 (-3.95%), 06 Jun 2007 (-4.07%), 03 Jul 2007 (-2.98%), 07 Aug 2007 (7.86%), 11 Sep 2007 (-4.33%), 09 Oct 2007 (10.24%), 25 Oct 2007 (-5.87%), 26 Oct 2007 (-5.62%), 29 Oct 2007 (12.34%), 30 Oct 2007 (-6.9%), 12 Nov 2007 (-6.79%), 16 Nov 2007 (-6.6%), 30 Nov 2007 (-5.02%), 04 Dec 2007 (-5.0%), 12 Dec 2007 (-4.79%), 14 Dec 2007 (-4.72%), 17 Dec 2007 (-4.91%), 19 Dec 2007 (-5.18%), 24 Dec 2007 (10.32%)
2006813 Mar 2006 (-4.8%), 14 Mar 2006 (10.73%), 07 Sep 2006 (-4.37%), 30 Oct 2006 (-2.78%), 31 Oct 2006 (-2.87%), 14 Nov 2006 (-3.21%), 28 Nov 2006 (-3.06%), 29 Nov 2006 (6.49%)
20052605 Jan 2005 (-5.42%), 06 Jan 2005 (11.47%), 09 Feb 2005 (-4.34%), 10 Feb 2005 (-4.31%), 11 Feb 2005 (-4.47%), 14 Feb 2005 (9.48%), 03 Mar 2005 (-6.13%), 07 Mar 2005 (-6.62%), 08 Mar 2005 (13.51%), 04 Jun 2005 (9.57%), 11 Jul 2005 (-4.66%), 12 Jul 2005 (-4.46%), 13 Jul 2005 (8.72%), 15 Jul 2005 (-4.95%), 18 Jul 2005 (-4.97%), 21 Jul 2005 (9.72%), 22 Aug 2005 (9.52%), 31 Aug 2005 (-5.44%), 01 Sep 2005 (-5.5%), 12 Sep 2005 (-5.41%), 14 Sep 2005 (-5.99%), 15 Sep 2005 (-6.2%), 20 Sep 2005 (-6.1%), 21 Sep 2005 (12.6%), 03 Oct 2005 (-6.74%), 04 Oct 2005 (12.97%)
20041105 Jan 2004 (14.33%), 02 Apr 2004 (-5.07%), 06 Apr 2004 (10.54%), 27 Aug 2004 (5.42%), 07 Sep 2004 (-3.27%), 08 Sep 2004 (-3.27%), 13 Sep 2004 (-3.32%), 16 Sep 2004 (7.21%), 24 Nov 2004 (-4.14%), 10 Dec 2004 (-3.99%), 13 Dec 2004 (7.96%)
20031819 Mar 2003 (-3.58%), 26 Mar 2003 (-3.48%), 13 May 2003 (-2.23%), 25 Jun 2003 (-4.73%), 20 Aug 2003 (8.04%), 31 Oct 2003 (6.82%), 17 Nov 2003 (-3.14%), 18 Nov 2003 (-3.17%), 20 Nov 2003 (-3.04%), 01 Dec 2003 (-4.1%), 03 Dec 2003 (-4.31%), 04 Dec 2003 (-4.42%), 09 Dec 2003 (-4.74%), 10 Dec 2003 (9.91%), 12 Dec 2003 (-6.86%), 15 Dec 2003 (-6.79%), 18 Dec 2003 (13.31%), 29 Dec 2003 (-7.35%)
2002710 May 2002 (-4.9%), 13 May 2002 (-4.89%), 14 May 2002 (-5.14%), 15 May 2002 (-5.55%), 19 Jul 2002 (-5.62%), 22 Jul 2002 (13.3%), 29 Nov 2002 (-3.84%)
2001701 Jun 2001 (-4.9%), 04 Jun 2001 (-5.06%), 11 Jun 2001 (-5.55%), 26 Jun 2001 (-4.9%), 27 Jun 2001 (-5.19%), 09 Jul 2001 (11.53%), 21 Nov 2001 (11.31%)
1999518 Aug 1999 (14.46%), 19 Aug 1999 (-7.86%), 23 Aug 1999 (-7.84%), 25 Aug 1999 (14.51%), 15 Oct 1999 (17.53%)
1997324 Sep 1997 (-2.77%), 25 Sep 1997 (-3.04%), 26 Sep 1997 (6.08%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play