Study: Sell TATAELXSI when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATAELXSI 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 TATAELXSI 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
1-72766.19105555052.385099.1116006.34-7064.34-23029.710.720.79-0.018-693.01
2-145348105604557.146278.5218933.05-11601.32-37176.330.540.72-0.025-1384.27
3-184902105574854.298561.1235526.74-14018.46-62173.630.610.73-0.023-1760.97
4-306121105535250.4810357.6241815.24-16443.75-75057.210.630.64-0.032-2915.44
5-229085105545151.4311288.450632.09-16444.29-71420.490.690.73-0.023-2181.77
6-203508104574754.8112620.3973646.68-19635.53-61834.290.640.78-0.019-1956.8
7-307988104535150.9614408.6889465.15-21012.69-57665.90.690.71-0.026-2961.42
8-353869104545051.9214541.1879675.85-22781.85-75578.410.640.69-0.028-3402.59
9-413620104594556.7314287.7382398.7-27924.36-88431.880.510.67-0.029-3977.12
10-497116104545051.9216221.2896207.46-27461.3-90668.720.590.64-0.033-4779.96

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.79. 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 52.38%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, we advise you not to use this strategy.

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
nilnil-11-72766.19105555052.385099.1116006.34-7064.34-23029.710.720.79-0.018-693.01
atrnil35.01-3893112414919220.3327863.4940758.2-9138.65-13838.363.050.78-0.022-1615.4
atrnil23.48-591182252631892518320.8527172.13-9234.89-13838.361.980.66-0.039-2345.96
atrtrail-13.4-5597472727319926.8413077.93101031-7610.23-13514.431.720.63-0.033-2057.89
atrtrail33.01-5705062727319926.8412930.5537886.76-7610.23-13514.431.70.62-0.038-2097.45
atrtrail22.72-5939522777420326.7112939.3225257.84-7642.67-13514.431.690.62-0.042-2144.23

In the table above, row 1 shows the best exit criterion. Profit factor is 0.79. 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 52.38%, which is not acceptable. Avoid this strategy. Average return per trade is -0.35%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAELXSI Performance, X=1, Profit Factor:0.794

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019224 Oct 2019 (-0.66%), 07 Nov 2019 (0.51%)
2018510 Jan 2018 (0.37%), 24 Jan 2018 (0.61%), 19 Apr 2018 (-3.1%), 25 Jun 2018 (-0.45%), 11 Jul 2018 (1.09%)
2017719 Jan 2017 (2.65%), 05 Jul 2017 (-0.22%), 18 Sep 2017 (1.7%), 03 Oct 2017 (0.49%), 25 Oct 2017 (2.75%), 09 Nov 2017 (0.92%), 23 Nov 2017 (-0.22%)
2016109 Dec 2016 (-4.08%)
2015907 Jan 2015 (0.4%), 21 Jan 2015 (0.55%), 12 Feb 2015 (-1.9%), 27 Feb 2015 (-4.91%), 20 Jul 2015 (-2.18%), 03 Aug 2015 (-4.3%), 18 Aug 2015 (-2.78%), 30 Nov 2015 (1.32%), 17 Dec 2015 (2.44%)
2014306 Jan 2014 (3.83%), 17 Feb 2014 (-5.74%), 04 Mar 2014 (0.34%)
2013514 Oct 2013 (2.68%), 29 Oct 2013 (0.13%), 22 Nov 2013 (-3.38%), 06 Dec 2013 (-1.07%), 20 Dec 2013 (-0.72%)
2012602 Feb 2012 (-3.12%), 16 Feb 2012 (2.26%), 22 Jun 2012 (-1.52%), 06 Jul 2012 (0.7%), 20 Jul 2012 (3.57%), 30 Nov 2012 (2.97%)
2011206 Apr 2011 (2.53%), 31 Oct 2011 (-0.0%)
2010413 Jan 2010 (-1.41%), 23 Mar 2010 (1.62%), 12 Oct 2010 (-0.07%), 05 Nov 2010 (0.57%)
2009609 Apr 2009 (-3.75%), 28 Apr 2009 (-3.15%), 14 May 2009 (0.52%), 02 Jun 2009 (1.09%), 02 Dec 2009 (-11.51%), 23 Dec 2009 (0.43%)
2008130 May 2008 (-2.73%)
2007318 Jan 2007 (2.54%), 16 Apr 2007 (3.68%), 29 May 2007 (5.36%)
2006504 Apr 2006 (-1.3%), 29 Apr 2006 (-3.79%), 16 Aug 2006 (-2.81%), 30 Aug 2006 (0.8%), 16 Nov 2006 (2.63%)
2005504 Jan 2005 (7.3%), 06 Apr 2005 (2.39%), 04 Jun 2005 (2.12%), 07 Jul 2005 (-0.32%), 31 Aug 2005 (-0.15%)
2004224 Aug 2004 (5.52%), 07 Sep 2004 (-1.32%)
2003409 Jun 2003 (5.73%), 30 Jun 2003 (-0.06%), 03 Dec 2003 (0.7%), 23 Dec 2003 (-1.59%)
2002511 Feb 2002 (2.01%), 15 Apr 2002 (-2.55%), 29 Apr 2002 (-0.33%), 05 Jul 2002 (1.26%), 02 Dec 2002 (5.04%)
2001506 Feb 2001 (3.72%), 22 Feb 2001 (4.89%), 28 May 2001 (3.09%), 12 Nov 2001 (0.8%), 27 Nov 2001 (5.29%)
2000220 Jun 2000 (4.03%), 08 Dec 2000 (-2.71%)
1999906 Jan 1999 (5.55%), 21 Jan 1999 (-8.02%), 18 Mar 1999 (-8.0%), 17 Aug 1999 (-8.01%), 08 Sep 1999 (-8.0%), 23 Sep 1999 (0.82%), 08 Oct 1999 (-5.8%), 30 Nov 1999 (-1.71%), 14 Dec 1999 (7.6%)
1998701 Jan 1998 (-0.0%), 25 Mar 1998 (5.6%), 09 Apr 1998 (-10.07%), 14 Aug 1998 (-5.8%), 31 Aug 1998 (8.0%), 23 Sep 1998 (1.45%), 22 Dec 1998 (1.61%)
1997415 Jan 1997 (1.66%), 01 Aug 1997 (-7.2%), 18 Aug 1997 (-6.05%), 10 Sep 1997 (-7.06%)
1996217 Jun 1996 (-10.13%), 31 Dec 1996 (-7.14%)
1995117 Jul 1995 (-3.71%)



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