Study: Sell STAR when RSI is overbought

home > technical-strategy > star > 61

In this study, we evaluate the performance of strategy "Sell STAR 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 STAR 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
12426.6863313249.215819.6737595.68-5561.97-23908.161.051.010.001138.52
240808.8363362757.147249.2933529.93-8154.28-29698.030.891.190.014647.76
325066.4463352855.569087.6737344.71-10464.36-31627.790.871.090.0075397.88
4-52503.8263333052.389610.1336629.44-12321.27-37960.340.780.86-0.013-833.39
5-12227.5563313249.2111963.1837018.45-11971.44-48331.5310.97-0.0029-194.09
636309.2963333052.3813845.1745202.83-14019.38-39862.280.991.090.0075576.34
7-9899.0763362757.1411545.0137558.04-15759.98-49632.580.730.98-0.0021-157.13
8-30419.6463313249.2113137.1738862.56-13677.25-48115.80.960.93-0.0066-482.85
9-28352.1263333052.3812307.9338957.35-14483.8-48838.530.850.93-0.0061-450.03
10-46599.1763333052.3812942.4739146.92-15790.02-44419.260.820.9-0.0096-739.67
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
atrnil25.08-131671118368230.5117865.7734405.33-9449.25-18023.61.890.83-0.02-1115.86
atrtrail23.42-179394136429430.8812215.0334405.33-7366.22-17705.781.660.74-0.03-1319.07
atrnil37.6-235610118249420.3426900.451607.99-9374.68-18023.62.870.73-0.031-1996.7
atrtrail-14.18-236466136429430.8810856.1664646.73-7366.22-17705.781.470.66-0.037-1738.72
atrtrail33.93-242165136429430.8810720.4751607.99-7366.22-17705.781.460.65-0.04-1780.63

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 30.51%, which is not acceptable. Avoid this strategy. Average return per trade is -0.56%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
STAR Performance, Profit Factor:0.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019314 Jan 2019 (-3.33%), 22 Jan 2019 (6.94%), 04 Apr 2019 (6.33%)
2018321 Aug 2018 (-4.18%), 23 Aug 2018 (-4.14%), 31 Aug 2018 (-3.62%)
2017214 Jul 2017 (-2.66%), 21 Jul 2017 (5.57%)
2016113 May 2016 (6.95%)
2015516 Mar 2015 (-4.07%), 18 Mar 2015 (7.72%), 06 Apr 2015 (8.66%), 16 Jul 2015 (-2.89%), 17 Jul 2015 (5.77%)
20141802 Apr 2014 (-3.51%), 03 Apr 2014 (-3.7%), 07 Apr 2014 (-4.1%), 25 Apr 2014 (-4.18%), 28 Apr 2014 (8.37%), 06 Jun 2014 (-4.14%), 09 Jun 2014 (-4.14%), 12 Jun 2014 (-4.0%), 03 Jul 2014 (6.84%), 08 Sep 2014 (-3.02%), 12 Sep 2014 (-2.93%), 14 Oct 2014 (7.56%), 27 Nov 2014 (-3.11%), 28 Nov 2014 (-3.22%), 01 Dec 2014 (-3.34%), 03 Dec 2014 (-3.11%), 04 Dec 2014 (6.39%), 11 Dec 2014 (8.1%)
2013318 Nov 2013 (-2.6%), 20 Nov 2013 (-2.53%), 22 Nov 2013 (-2.52%)
20122124 Jan 2012 (-3.95%), 25 Jan 2012 (-4.31%), 30 Jan 2012 (-4.48%), 02 Feb 2012 (-4.48%), 16 Feb 2012 (-4.36%), 17 Feb 2012 (9.31%), 15 Mar 2012 (8.37%), 19 Apr 2012 (-3.89%), 20 Apr 2012 (-4.12%), 02 May 2012 (-3.53%), 09 May 2012 (6.59%), 22 Aug 2012 (-3.38%), 23 Aug 2012 (-3.29%), 07 Sep 2012 (-3.24%), 08 Sep 2012 (-3.28%), 10 Sep 2012 (6.86%), 22 Nov 2012 (-3.91%), 26 Nov 2012 (-4.33%), 27 Nov 2012 (-4.37%), 29 Nov 2012 (-4.79%), 03 Dec 2012 (9.32%)
2011523 Sep 2011 (-4.81%), 14 Oct 2011 (8.89%), 25 Oct 2011 (-4.51%), 01 Nov 2011 (-3.85%), 08 Nov 2011 (-3.63%)
2010607 Jan 2010 (-4.44%), 18 Jan 2010 (-4.92%), 22 Jan 2010 (10.79%), 21 Jun 2010 (-3.79%), 24 Jun 2010 (-3.52%), 03 Aug 2010 (6.06%)
20091302 Apr 2009 (-6.75%), 06 Apr 2009 (-6.47%), 08 Apr 2009 (-6.83%), 13 Apr 2009 (-6.57%), 21 May 2009 (-7.16%), 22 May 2009 (-6.88%), 04 Jun 2009 (13.41%), 30 Jul 2009 (-6.78%), 07 Sep 2009 (11.1%), 26 Nov 2009 (-5.25%), 30 Nov 2009 (-5.26%), 03 Dec 2009 (-4.75%), 08 Dec 2009 (-4.74%)
2008225 Jul 2008 (-7.2%), 26 Aug 2008 (10.29%)
2007220 Nov 2007 (11.28%), 11 Dec 2007 (12.69%)
2006314 Feb 2006 (-4.88%), 06 Sep 2006 (-4.64%), 07 Sep 2006 (9.45%)
2005711 Feb 2005 (7.77%), 24 May 2005 (-3.45%), 30 May 2005 (-3.7%), 01 Jun 2005 (-4.15%), 02 Jun 2005 (8.24%), 04 Aug 2005 (-4.87%), 05 Aug 2005 (10.05%)
2004813 Aug 2004 (-5.32%), 23 Aug 2004 (-5.42%), 01 Oct 2004 (-4.04%), 04 Oct 2004 (8.1%), 04 Nov 2004 (7.76%), 20 Dec 2004 (-3.74%), 21 Dec 2004 (-3.69%), 22 Dec 2004 (7.33%)
20031111 Sep 2003 (-8.85%), 12 Sep 2003 (-8.69%), 17 Sep 2003 (-8.26%), 18 Sep 2003 (-8.59%), 22 Sep 2003 (-9.01%), 08 Oct 2003 (13.86%), 01 Dec 2003 (-6.29%), 02 Dec 2003 (-6.31%), 03 Dec 2003 (-6.35%), 10 Dec 2003 (-6.77%), 11 Dec 2003 (13.54%)
2002308 Apr 2002 (-6.52%), 03 May 2002 (-8.42%), 06 May 2002 (17.2%)
2000229 Aug 2000 (-4.55%), 31 Aug 2000 (8.13%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play