Study: Sell TATAGLOBAL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATAGLOBAL 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 TATAGLOBAL 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
11060.0495554057.893250.6513668.98-4443.14-15550.620.731.010.0004411.16
21941.3495484750.535601.2517070.87-5679.12-17581.720.991.010.0005620.44
3-33333.0995524354.745519.3222681.45-7449.72-25050.250.740.9-0.0083-350.87
4-54836.195484750.536187.6823135.08-7486.06-25517.950.830.84-0.013-577.22
5-89327.795464948.427066.6331451.61-8456.99-37702.320.840.78-0.018-940.29
6-83228.9395435245.268639.6232258.06-8744.86-41172.110.990.82-0.016-876.09
7-14168595425344.219350.7432762.1-10083.31-38823.650.930.73-0.024-1491.42
8-11084995474849.479096.7735534.27-11216.6-41574.10.810.79-0.018-1166.83
9-14294595445146.329517.7139818.55-11014.21-34295.990.860.75-0.022-1504.69
10-17547195435245.2610181.3839264.11-11793.66-39079.750.860.71-0.026-1847.06
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
atrtrail23.61-88848.742086913933.179506.8820941.2-5358.44-10406.581.770.88-0.011-427.16
atrnil24.73-1230961865613030.1113825.5920941.2-6902.53-10406.5820.86-0.014-661.81
atrtrail34.06-1653052086913933.178398.8230029.38-5358.44-10406.581.570.78-0.02-794.74
atrtrail-14.4-2172142086814032.697796.9761354.78-5338.63-10406.581.460.71-0.025-1044.3
atrnil36.94-3386661793314618.4420270.6231083.15-6901.34-10470.62.940.66-0.036-1891.99

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 33.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.21%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAGLOBAL Performance, Profit Factor:0.881

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019617 May 2019 (-1.31%), 28 May 2019 (-2.18%), 31 May 2019 (-3.33%), 04 Jun 2019 (0.17%), 26 Jun 2019 (6.17%), 31 Oct 2019 (6.13%)
2018212 Jan 2018 (4.93%), 30 Apr 2018 (4.65%)
20171902 Feb 2017 (-2.44%), 03 Feb 2017 (-2.54%), 07 Feb 2017 (-2.65%), 08 Feb 2017 (5.31%), 11 Jul 2017 (-3.04%), 12 Jul 2017 (-3.0%), 17 Jul 2017 (1.06%), 16 Aug 2017 (-2.18%), 21 Aug 2017 (-0.78%), 12 Sep 2017 (-0.95%), 06 Nov 2017 (1.23%), 15 Nov 2017 (-3.72%), 17 Nov 2017 (-3.56%), 20 Nov 2017 (-2.93%), 28 Nov 2017 (-0.63%), 30 Nov 2017 (0.91%), 11 Dec 2017 (6.44%), 26 Dec 2017 (-2.79%), 29 Dec 2017 (-1.0%)
2016313 Jun 2016 (-0.29%), 01 Jul 2016 (1.38%), 29 Jul 2016 (1.68%)
2014301 Apr 2014 (-0.52%), 06 Jun 2014 (-3.39%), 10 Jun 2014 (7.03%)
2013202 May 2013 (-1.74%), 08 May 2013 (5.31%)
20121431 Jan 2012 (-3.96%), 01 Feb 2012 (-4.17%), 03 Feb 2012 (0.78%), 08 Feb 2012 (-4.63%), 09 Feb 2012 (0.22%), 03 Aug 2012 (-2.21%), 10 Aug 2012 (-3.17%), 17 Aug 2012 (5.96%), 01 Oct 2012 (-2.96%), 03 Oct 2012 (0.11%), 08 Oct 2012 (-2.01%), 11 Oct 2012 (6.58%), 13 Nov 2012 (-3.01%), 15 Nov 2012 (6.28%)
2011107 Apr 2011 (6.32%)
2010805 Jan 2010 (-3.13%), 07 Jan 2010 (6.33%), 26 Apr 2010 (1.09%), 17 May 2010 (6.23%), 21 Jun 2010 (-2.41%), 30 Jun 2010 (2.19%), 07 Sep 2010 (5.59%), 07 Oct 2010 (-1.34%)
20091413 Apr 2009 (-4.16%), 15 Apr 2009 (-4.12%), 16 Apr 2009 (-4.16%), 20 Apr 2009 (-2.14%), 04 May 2009 (-3.43%), 07 May 2009 (7.61%), 03 Jun 2009 (-3.12%), 09 Jun 2009 (10.47%), 27 Jul 2009 (-2.9%), 31 Jul 2009 (-3.53%), 03 Aug 2009 (7.18%), 13 Aug 2009 (-3.61%), 14 Aug 2009 (1.73%), 24 Aug 2009 (-2.61%)
2008102 Jan 2008 (8.94%)
20071419 Apr 2007 (-2.51%), 25 Apr 2007 (-4.48%), 26 Apr 2007 (-1.81%), 30 Apr 2007 (-2.53%), 14 May 2007 (-5.2%), 17 May 2007 (-4.74%), 22 May 2007 (-4.47%), 23 May 2007 (-4.85%), 25 May 2007 (-4.81%), 28 May 2007 (1.22%), 31 May 2007 (-5.12%), 01 Jun 2007 (10.01%), 10 Oct 2007 (1.12%), 13 Dec 2007 (9.48%)
2006115 Feb 2006 (7.55%)
20053004 Jan 2005 (-2.4%), 09 Feb 2005 (-2.2%), 11 Feb 2005 (-3.31%), 14 Feb 2005 (2.47%), 31 May 2005 (-2.36%), 02 Jun 2005 (-0.87%), 07 Jun 2005 (4.59%), 24 Jun 2005 (-2.48%), 27 Jun 2005 (5.03%), 04 Jul 2005 (-0.84%), 11 Jul 2005 (-1.37%), 18 Jul 2005 (1.79%), 02 Aug 2005 (-3.1%), 05 Aug 2005 (-3.06%), 10 Aug 2005 (-2.95%), 11 Aug 2005 (-1.46%), 17 Aug 2005 (-3.16%), 18 Aug 2005 (1.09%), 25 Aug 2005 (-1.12%), 02 Sep 2005 (-2.37%), 14 Sep 2005 (-2.36%), 15 Sep 2005 (-1.42%), 21 Sep 2005 (-0.63%), 23 Nov 2005 (-2.75%), 26 Nov 2005 (-2.59%), 01 Dec 2005 (-3.15%), 06 Dec 2005 (-3.15%), 12 Dec 2005 (-2.9%), 14 Dec 2005 (-1.48%), 19 Dec 2005 (-0.58%)
2004902 Jan 2004 (-3.14%), 05 Jan 2004 (0.43%), 08 Jan 2004 (7.58%), 14 Jan 2004 (8.63%), 02 Jul 2004 (-3.88%), 07 Jul 2004 (8.38%), 07 Dec 2004 (-1.36%), 20 Dec 2004 (-2.27%), 22 Dec 2004 (4.36%)
20032024 Feb 2003 (-0.35%), 26 Mar 2003 (-2.74%), 27 Mar 2003 (-0.48%), 02 Apr 2003 (5.66%), 15 Apr 2003 (-1.93%), 21 Apr 2003 (-1.42%), 08 May 2003 (-0.92%), 15 May 2003 (-1.6%), 21 May 2003 (-2.48%), 30 May 2003 (-1.43%), 09 Jun 2003 (-2.75%), 18 Jun 2003 (6.78%), 08 Oct 2003 (-3.91%), 13 Oct 2003 (7.44%), 05 Dec 2003 (-4.0%), 08 Dec 2003 (-3.96%), 15 Dec 2003 (-3.46%), 17 Dec 2003 (0.03%), 26 Dec 2003 (-3.19%), 30 Dec 2003 (-2.37%)
2002904 Mar 2002 (7.59%), 13 Jun 2002 (-3.07%), 17 Jun 2002 (0.65%), 20 Jun 2002 (-2.21%), 25 Jun 2002 (8.02%), 25 Nov 2002 (-2.89%), 26 Nov 2002 (-1.19%), 29 Nov 2002 (-1.13%), 06 Dec 2002 (-2.73%)
20011103 Jan 2001 (-3.47%), 08 Jan 2001 (-4.25%), 10 Jan 2001 (-0.79%), 16 Jan 2001 (-1.07%), 23 Jan 2001 (9.21%), 01 Nov 2001 (-2.24%), 12 Nov 2001 (-4.45%), 14 Nov 2001 (-0.22%), 22 Nov 2001 (-4.3%), 26 Nov 2001 (0.58%), 11 Dec 2001 (8.97%)
2000121 Dec 2000 (-3.96%)
19991306 Jan 1999 (-3.14%), 08 Jan 1999 (-3.38%), 11 Jan 1999 (-3.5%), 12 Jan 1999 (-3.53%), 13 Jan 1999 (7.83%), 11 Feb 1999 (-1.58%), 16 Feb 1999 (8.66%), 19 Aug 1999 (-3.88%), 20 Aug 1999 (-3.91%), 24 Aug 1999 (-2.15%), 26 Aug 1999 (-1.51%), 03 Sep 1999 (-0.08%), 07 Oct 1999 (8.27%)
1998506 Jan 1998 (6.08%), 22 Dec 1998 (-2.75%), 23 Dec 1998 (-2.8%), 24 Dec 1998 (-2.1%), 30 Dec 1998 (0.9%)
19971913 Jan 1997 (-3.9%), 15 Jan 1997 (-3.65%), 06 Mar 1997 (1.08%), 15 May 1997 (-3.93%), 16 May 1997 (-1.83%), 21 May 1997 (2.44%), 03 Jun 1997 (-3.9%), 04 Jun 1997 (1.99%), 12 Jun 1997 (-3.88%), 13 Jun 1997 (-3.89%), 16 Jun 1997 (-4.08%), 17 Jun 1997 (-4.06%), 18 Jun 1997 (-3.01%), 02 Jul 1997 (-1.25%), 09 Jul 1997 (-2.9%), 10 Jul 1997 (5.85%), 04 Aug 1997 (-2.45%), 06 Aug 1997 (0.32%), 11 Aug 1997 (7.06%)
1996212 Feb 1996 (-3.46%), 13 Feb 1996 (7.16%)
1995117 Oct 1995 (5.68%)



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