Study: Sell SUNPHARMA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell SUNPHARMA 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 SUNPHARMA 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
1-32341.4103455843.694386.8627175.25-3961.21-16010.471.110.86-0.01-313.99
2-97550.58103426140.785929.735803.91-5681.93-24823.91.040.72-0.023-947.09
3-54018.4103465744.667623.6640495.58-7100.12-32954.961.070.87-0.01-524.45
4-47983.85103535051.467684.3937665.48-9105.13-49744.260.840.89-0.0078-465.86
5-34040.17103584556.317610.3634401.43-10565.36-67110.740.720.93-0.0052-330.49
63647.68103525150.499070.5235432.85-9176.85-45985.490.991.010.0005735.41
784359.21103584556.319253.8633684.48-10052.54-43866.290.921.190.013819.02
8140434103594457.28960433929.75-9686.4-37896.990.991.330.0221363.44
967221.25103554853.410720.7647331.84-10883.76-44379.350.991.130.0093652.63
10-25225.2103535051.4611316.1946935.63-12499.66-618290.910.96-0.003-244.9
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
atrnil24.18-1251192156614930.713277.2822171.61-6720.94-12858.741.980.88-0.012-581.95
atrnil36.51-1440802054615922.4419829.0833257.42-6642.88-12858.742.990.86-0.012-702.83
atrtrail33.8-1176152247215232.149935.933257.42-5480.26-12858.741.810.86-0.012-525.07
atrtrail23.14-1258652267415232.749734.6522171.61-5567.3-12858.741.750.85-0.014-556.93
atrtrail-14.16-2233122237115231.848488.4244045.67-5434.15-12858.741.560.73-0.024-1001.4

In the table above, row 1 shows the best exit criterion. Profit factor is 0.88. 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 30.7%, which is not acceptable. Avoid this strategy. Average return per trade is -0.29%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
SUNPHARMA Performance, Profit Factor:0.875

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019131 Oct 2019 (-2.62%)
2018808 Jan 2018 (5.51%), 14 Jun 2018 (-3.3%), 18 Jun 2018 (-3.14%), 17 Aug 2018 (-2.84%), 23 Aug 2018 (-2.64%), 31 Aug 2018 (-2.63%), 03 Sep 2018 (-2.67%), 06 Sep 2018 (5.17%)
2017127 Dec 2017 (-2.73%)
2016329 Jan 2016 (5.27%), 29 Jul 2016 (-1.86%), 03 Aug 2016 (3.97%)
2015821 Jan 2015 (-1.89%), 22 Jan 2015 (-2.02%), 23 Jan 2015 (-2.02%), 03 Feb 2015 (-2.48%), 04 Feb 2015 (4.88%), 04 Mar 2015 (-2.93%), 05 Mar 2015 (-2.92%), 06 Apr 2015 (6.57%)
20141230 Jun 2014 (-2.62%), 03 Jul 2014 (-2.56%), 07 Jul 2014 (-2.56%), 08 Jul 2014 (-2.62%), 11 Jul 2014 (-2.81%), 25 Jul 2014 (4.77%), 13 Aug 2014 (-2.38%), 18 Aug 2014 (-2.27%), 20 Aug 2014 (-2.38%), 21 Aug 2014 (4.83%), 07 Nov 2014 (-2.9%), 10 Nov 2014 (5.88%)
20132114 Feb 2013 (-2.04%), 18 Feb 2013 (-1.96%), 20 Feb 2013 (-1.95%), 25 Feb 2013 (3.79%), 08 Mar 2013 (-2.02%), 11 Mar 2013 (-2.03%), 03 Apr 2013 (-2.07%), 16 Apr 2013 (-2.14%), 17 Apr 2013 (-2.25%), 22 Apr 2013 (-2.25%), 23 Apr 2013 (-2.26%), 25 Apr 2013 (4.69%), 30 May 2013 (6.24%), 09 Jul 2013 (-3.42%), 15 Jul 2013 (-3.09%), 29 Jul 2013 (10.27%), 08 Aug 2013 (-5.0%), 12 Aug 2013 (9.9%), 30 Sep 2013 (-3.57%), 08 Oct 2013 (-3.12%), 09 Oct 2013 (6.4%)
2012931 Jan 2012 (-2.51%), 13 Mar 2012 (4.78%), 01 Aug 2012 (-2.02%), 06 Aug 2012 (-1.97%), 10 Aug 2012 (-1.99%), 13 Aug 2012 (3.95%), 09 Oct 2012 (6.24%), 18 Dec 2012 (-2.06%), 19 Dec 2012 (4.29%)
2011106 Jan 2011 (5.74%)
20101909 Mar 2010 (-2.68%), 11 Mar 2010 (-2.64%), 25 Mar 2010 (-2.66%), 29 Mar 2010 (-2.64%), 05 Apr 2010 (5.19%), 22 Jun 2010 (-2.34%), 23 Jun 2010 (4.63%), 17 Sep 2010 (-2.37%), 21 Sep 2010 (-2.48%), 22 Sep 2010 (-2.57%), 28 Sep 2010 (-2.57%), 30 Sep 2010 (-2.45%), 04 Oct 2010 (-2.33%), 13 Oct 2010 (-2.17%), 25 Oct 2010 (-2.4%), 01 Nov 2010 (-2.46%), 03 Nov 2010 (-2.45%), 08 Nov 2010 (-2.4%), 12 Nov 2010 (4.76%)
2009815 Apr 2009 (-4.0%), 04 May 2009 (-4.13%), 18 May 2009 (9.28%), 25 Sep 2009 (-3.2%), 29 Sep 2009 (-3.43%), 05 Oct 2009 (6.63%), 16 Nov 2009 (-3.64%), 01 Dec 2009 (-3.45%)
2008128 Apr 2008 (-4.25%)
2007318 Apr 2007 (-3.56%), 20 Apr 2007 (7.83%), 14 Nov 2007 (-4.23%)
20061202 Feb 2006 (-3.11%), 03 Feb 2006 (-3.19%), 06 Feb 2006 (6.65%), 23 Mar 2006 (-2.9%), 29 Mar 2006 (-2.9%), 30 Mar 2006 (6.49%), 22 Aug 2006 (-3.72%), 01 Sep 2006 (-3.4%), 14 Nov 2006 (-2.77%), 16 Nov 2006 (-2.86%), 22 Nov 2006 (-2.79%), 29 Nov 2006 (5.67%)
20051022 Apr 2005 (-3.07%), 28 Apr 2005 (6.94%), 24 May 2005 (-2.79%), 25 May 2005 (-2.81%), 26 May 2005 (-3.1%), 27 Jun 2005 (-3.26%), 04 Jul 2005 (-3.46%), 08 Jul 2005 (-3.44%), 20 Jul 2005 (-3.58%), 14 Dec 2005 (6.99%)
2004618 Feb 2004 (7.92%), 16 Apr 2004 (-4.01%), 17 Aug 2004 (7.91%), 27 Sep 2004 (6.54%), 24 Nov 2004 (5.97%), 20 Dec 2004 (-3.48%)
20031802 Jan 2003 (-2.43%), 03 Jan 2003 (5.06%), 03 Jun 2003 (-3.43%), 05 Jun 2003 (6.68%), 12 Jun 2003 (-3.75%), 17 Jun 2003 (7.35%), 01 Aug 2003 (-3.87%), 04 Aug 2003 (-4.03%), 05 Aug 2003 (8.15%), 06 Aug 2003 (-5.26%), 22 Aug 2003 (-4.32%), 25 Aug 2003 (-4.76%), 26 Aug 2003 (-4.66%), 29 Aug 2003 (-4.51%), 01 Sep 2003 (9.48%), 08 Sep 2003 (11.06%), 05 Nov 2003 (8.53%), 04 Dec 2003 (-4.36%)
2002811 Jan 2002 (-2.97%), 14 Jan 2002 (-2.96%), 16 Jan 2002 (6.1%), 25 Feb 2002 (5.03%), 01 Apr 2002 (4.63%), 27 Aug 2002 (-3.05%), 23 Dec 2002 (-2.63%), 30 Dec 2002 (-2.38%)
2001108 May 2001 (9.49%)
2000502 Feb 2000 (-5.92%), 21 Feb 2000 (-5.58%), 22 Feb 2000 (-5.69%), 28 Feb 2000 (-6.43%), 14 Dec 2000 (7.21%)
19993124 Mar 1999 (-5.23%), 25 Mar 1999 (-5.02%), 26 Mar 1999 (-5.36%), 30 Mar 1999 (-5.62%), 31 Mar 1999 (-5.66%), 01 Apr 1999 (10.92%), 19 Jul 1999 (-3.15%), 21 Jul 1999 (7.67%), 09 Aug 1999 (-4.05%), 12 Aug 1999 (-4.47%), 16 Aug 1999 (-4.23%), 17 Aug 1999 (-4.17%), 18 Aug 1999 (8.84%), 20 Aug 1999 (-5.24%), 08 Sep 1999 (-4.75%), 09 Sep 1999 (-4.61%), 10 Sep 1999 (9.35%), 20 Sep 1999 (-4.7%), 22 Sep 1999 (-4.44%), 23 Sep 1999 (-4.34%), 24 Sep 1999 (-4.26%), 27 Sep 1999 (-4.38%), 29 Sep 1999 (8.92%), 08 Oct 1999 (-4.98%), 13 Oct 1999 (-4.82%), 14 Oct 1999 (9.34%), 18 Oct 1999 (-5.65%), 03 Dec 1999 (-5.98%), 06 Dec 1999 (-5.67%), 07 Dec 1999 (-5.82%), 14 Dec 1999 (11.09%)
1998825 Mar 1998 (7.32%), 17 Apr 1998 (-4.87%), 20 Apr 1998 (-4.94%), 21 Apr 1998 (-4.74%), 22 Apr 1998 (9.72%), 19 Aug 1998 (-4.02%), 21 Aug 1998 (-3.84%), 24 Aug 1998 (7.7%)
19971011 Jul 1997 (5.11%), 06 Aug 1997 (-2.41%), 07 Aug 1997 (-2.56%), 08 Aug 1997 (-2.79%), 11 Aug 1997 (-2.89%), 12 Aug 1997 (-2.82%), 13 Aug 1997 (5.59%), 18 Aug 1997 (-3.22%), 20 Aug 1997 (-3.08%), 21 Aug 1997 (6.05%)
1996613 Feb 1996 (-3.53%), 14 Feb 1996 (-3.52%), 16 Feb 1996 (-3.49%), 20 Feb 1996 (6.72%), 02 May 1996 (4.95%), 26 Dec 1996 (6.32%)
1995519 May 1995 (4.69%), 17 Jul 1995 (-1.32%), 18 Jul 1995 (-1.36%), 21 Jul 1995 (2.89%), 16 Aug 1995 (3.63%)



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