Study: Sell SYNDIBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell SYNDIBANK 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 SYNDIBANK 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
1-10642.0182404248.784136.1921719.46-4192.61-20082.30.990.94-0.005-129.78
2-5532.8282453754.885965.7628880.87-7405.18-375000.810.98-0.0016-67.47
3-10100382433952.446374.5522081.45-9618.17-47748.690.660.73-0.025-1231.74
4-20073382394347.566944.8923089.98-10967.06-52774.870.630.57-0.043-2447.96
5-20353482424051.227801.1325701.36-13279.54-56963.350.590.62-0.039-2482.12
6-19119382374545.128992.8624017.96-11642.87-58333.330.770.64-0.035-2331.63
7-185773824141509905.5541813.99-14436.61-58333.330.690.69-0.032-2265.53
8-18373482404248.7810990.9436823.1-14842.19-57591.620.740.71-0.03-2240.66
9-19764582394347.5611546.2846457.61-15068.61-65759.160.770.69-0.03-2410.31
10-22115782404248.7811607.3934610.92-16320.3-72460.730.710.68-0.033-2697.04
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
atrnil23.78-2968921864913726.3416228.6823557.51-7971.51-12478.242.040.73-0.033-1596.2
atrnil36.06-3440831833414918.5824745.2835336.26-7955.86-12478.243.110.71-0.033-1880.24
atrtrail22.83-2836902015314826.3712343.7923441.22-6337.24-12478.241.950.7-0.035-1411.39
atrtrail33.44-3045252005314726.511898.4333320.97-6361.51-12478.241.870.67-0.035-1522.63
atrtrail-13.75-4758551995214726.138821.4727801.67-6357.63-12478.241.390.49-0.067-2391.23

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. 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.
SYNDIBANK Performance, Profit Factor:0.728

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jan 2019 (6.48%), 28 Mar 2019 (-4.09%), 01 Apr 2019 (-4.01%), 02 Apr 2019 (8.25%)
2018128 Dec 2018 (-3.31%)
2017825 Jan 2017 (-2.7%), 28 Apr 2017 (-3.23%), 03 May 2017 (-3.57%), 04 May 2017 (-3.5%), 09 May 2017 (8.49%), 25 Oct 2017 (-3.99%), 26 Oct 2017 (-4.51%), 01 Nov 2017 (-5.06%)
2016301 Apr 2016 (8.4%), 04 Jul 2016 (-3.47%), 05 Jul 2016 (6.96%)
20141028 Mar 2014 (-3.02%), 02 Apr 2014 (-3.22%), 09 Apr 2014 (-3.39%), 16 May 2014 (-4.77%), 19 May 2014 (-4.72%), 20 May 2014 (-4.94%), 23 May 2014 (-4.92%), 26 May 2014 (-5.98%), 02 Jun 2014 (-5.78%), 04 Jun 2014 (11.53%)
2013408 Jan 2013 (-3.05%), 01 Nov 2013 (-4.26%), 03 Nov 2013 (-4.12%), 05 Nov 2013 (8.5%)
20121424 Jan 2012 (-4.7%), 03 Feb 2012 (-4.17%), 07 Feb 2012 (-4.02%), 09 Feb 2012 (-3.73%), 13 Feb 2012 (-3.64%), 15 Feb 2012 (7.38%), 05 Jul 2012 (5.71%), 21 Sep 2012 (-3.1%), 27 Sep 2012 (-3.52%), 01 Oct 2012 (-3.4%), 09 Oct 2012 (-3.36%), 15 Oct 2012 (-3.33%), 19 Oct 2012 (6.61%), 06 Dec 2012 (-3.29%)
2011230 Mar 2011 (-2.89%), 05 Apr 2011 (6.69%)
20101319 Jul 2010 (-2.51%), 23 Jul 2010 (5.02%), 16 Aug 2010 (-2.63%), 17 Aug 2010 (5.67%), 04 Oct 2010 (-2.94%), 06 Oct 2010 (-2.91%), 13 Oct 2010 (5.89%), 21 Oct 2010 (-3.29%), 25 Oct 2010 (-3.2%), 27 Oct 2010 (6.25%), 03 Nov 2010 (-3.49%), 11 Nov 2010 (-3.13%), 15 Nov 2010 (-3.77%)
20091802 Jan 2009 (-3.78%), 05 Jan 2009 (7.72%), 15 Apr 2009 (-5.04%), 18 May 2009 (-5.29%), 19 May 2009 (-6.18%), 20 May 2009 (-6.0%), 21 May 2009 (-6.24%), 25 May 2009 (-6.11%), 28 May 2009 (-6.0%), 03 Jun 2009 (-5.47%), 05 Jun 2009 (11.54%), 31 Jul 2009 (8.1%), 15 Sep 2009 (-3.16%), 24 Sep 2009 (-3.65%), 25 Sep 2009 (7.52%), 15 Oct 2009 (-3.58%), 16 Oct 2009 (-3.53%), 20 Oct 2009 (6.87%)
2008202 Jan 2008 (11.11%), 16 Dec 2008 (-4.68%)
2007824 Apr 2007 (-5.54%), 14 May 2007 (9.94%), 16 Jul 2007 (6.77%), 21 Sep 2007 (-4.0%), 24 Sep 2007 (8.14%), 13 Nov 2007 (-5.96%), 14 Nov 2007 (-5.79%), 05 Dec 2007 (11.78%)
2006716 Jan 2006 (8.42%), 28 Jul 2006 (-5.42%), 16 Aug 2006 (-5.28%), 29 Aug 2006 (-4.14%), 04 Sep 2006 (8.3%), 28 Sep 2006 (-4.16%), 29 Sep 2006 (8.4%)
20051003 Jan 2005 (-3.78%), 05 Jan 2005 (-5.08%), 14 Jul 2005 (-3.69%), 19 Jul 2005 (7.79%), 29 Jul 2005 (-4.98%), 03 Aug 2005 (-5.12%), 05 Aug 2005 (9.71%), 13 Sep 2005 (-3.72%), 19 Sep 2005 (7.08%), 05 Oct 2005 (8.06%)
20042501 Jan 2004 (-3.87%), 02 Jan 2004 (-3.84%), 05 Jan 2004 (7.51%), 06 Jan 2004 (-4.34%), 09 Jan 2004 (-4.28%), 12 Jan 2004 (-4.53%), 14 Jan 2004 (8.27%), 08 Apr 2004 (-4.82%), 13 Apr 2004 (-4.73%), 16 Apr 2004 (-4.58%), 17 Apr 2004 (-5.16%), 22 Apr 2004 (9.95%), 22 Sep 2004 (-2.67%), 05 Oct 2004 (5.97%), 18 Nov 2004 (-3.18%), 25 Nov 2004 (-3.54%), 29 Nov 2004 (-3.44%), 30 Nov 2004 (-3.4%), 01 Dec 2004 (-3.46%), 02 Dec 2004 (-3.38%), 22 Dec 2004 (-2.91%), 23 Dec 2004 (-3.59%), 24 Dec 2004 (-3.99%), 27 Dec 2004 (-4.1%), 31 Dec 2004 (-3.84%)
20032113 Jan 2003 (-3.34%), 14 Jan 2003 (-3.5%), 21 Jan 2003 (8.19%), 02 Apr 2003 (-3.74%), 04 Apr 2003 (-3.61%), 07 Apr 2003 (-3.71%), 08 Apr 2003 (-3.95%), 09 Apr 2003 (-4.46%), 11 Apr 2003 (9.27%), 06 May 2003 (-5.06%), 14 May 2003 (-4.74%), 15 May 2003 (9.51%), 29 May 2003 (10.27%), 16 Jul 2003 (10.99%), 06 Oct 2003 (-3.92%), 17 Oct 2003 (-3.99%), 20 Oct 2003 (-4.13%), 25 Oct 2003 (9.62%), 26 Dec 2003 (-3.39%), 29 Dec 2003 (-3.42%), 30 Dec 2003 (-3.99%)
20022628 Jan 2002 (-2.54%), 29 Jan 2002 (-2.79%), 04 Feb 2002 (-2.62%), 06 Feb 2002 (-2.88%), 12 Feb 2002 (-2.77%), 14 Feb 2002 (-2.8%), 15 Feb 2002 (-3.17%), 18 Feb 2002 (-3.66%), 08 Apr 2002 (-3.75%), 17 Apr 2002 (-4.04%), 25 Apr 2002 (8.19%), 10 Jun 2002 (-5.45%), 11 Jun 2002 (-5.46%), 12 Jun 2002 (-5.56%), 17 Jun 2002 (-5.99%), 18 Jun 2002 (11.72%), 22 Nov 2002 (-2.42%), 25 Nov 2002 (-2.45%), 26 Nov 2002 (-3.68%), 27 Nov 2002 (-3.79%), 28 Nov 2002 (-3.74%), 02 Dec 2002 (-3.67%), 06 Dec 2002 (-4.2%), 13 Dec 2002 (-4.09%), 18 Dec 2002 (-4.29%), 19 Dec 2002 (-4.48%)
2001709 Feb 2001 (-2.69%), 12 Feb 2001 (6.08%), 21 May 2001 (-2.21%), 30 May 2001 (-2.32%), 01 Jun 2001 (4.49%), 29 Oct 2001 (-3.87%), 26 Nov 2001 (5.63%)
2000322 Jun 2000 (-4.13%), 23 Jun 2000 (8.76%), 16 Nov 2000 (8.11%)



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