Study: Sell TATAPOWER when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATAPOWER 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 TATAPOWER 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
1-55928.6488464252.273387.3611370.39-5041.6-16028.290.670.74-0.023-635.55
2-10099088493955.684263.2312997.48-7945.85-35373.080.540.67-0.027-1147.61
3-113481884444506423.620593.58-9002.7-57165.420.710.71-0.023-1289.55
4-146581884444506917.4622827.32-10248.84-48793.150.670.67-0.028-1665.69
5-16089188424647.737464.621397.69-10313.13-691670.720.66-0.029-1828.3
6-83080.0788464252.278195.8526080.69-10954.51-67114.090.750.82-0.014-944.09
7-71122.9588493955.688499.1726080.69-12502.11-65061.190.680.85-0.012-808.22
8-72671.6188464252.279833.6829981.83-12500.49-65999.350.790.86-0.01-825.81
9-73381.7688484054.5510248.2747425.8-14132.47-71615.010.730.87-0.0095-833.88
10-12735388424647.7311825.2838544.67-13565.54-96247.960.870.8-0.015-1447.19
Although, strategy looks good but profit factor on day 5 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
atrnil36.1-79653.761774113623.1621798.9839985.71-7157.44-14453.153.050.92-0.0072-450.02
atrnil24.17-1133021815412729.8314702.8528906.3-7143.75-13072.522.060.88-0.012-625.98
atrtrail23.05-110140200661343310082.9628906.3-5788.17-13486.361.740.86-0.013-550.7
atrtrail33.52-1598151996513432.669473.8439985.71-5788.17-13486.361.640.79-0.018-803.09
atrtrail-13.84-2387971996513432.668258.7539671.46-5788.17-13486.361.430.69-0.029-1199.98

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 23.16%, which is not acceptable. Avoid this strategy. Average return per trade is -0.23%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, Profit Factor:0.918

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jul 2019 (8.82%), 20 Sep 2019 (11.31%)
2018102 Jan 2018 (8.98%)
2017720 Mar 2017 (-2.14%), 28 Mar 2017 (-2.07%), 29 Mar 2017 (6.25%), 30 Oct 2017 (-2.04%), 20 Nov 2017 (-2.58%), 21 Nov 2017 (-2.59%), 27 Nov 2017 (7.8%)
2016301 Apr 2016 (-2.61%), 04 Apr 2016 (8.37%), 13 Apr 2016 (-3.37%)
2014519 May 2014 (-3.39%), 20 May 2014 (-3.52%), 23 May 2014 (-3.61%), 05 Jun 2014 (-4.33%), 09 Jun 2014 (12.27%)
2013206 Dec 2013 (-2.79%), 09 Dec 2013 (-2.91%)
2012620 Jan 2012 (-3.56%), 01 Feb 2012 (-3.51%), 02 Feb 2012 (-3.57%), 29 Jun 2012 (10.21%), 28 Sep 2012 (10.23%), 04 Dec 2012 (7.41%)
2011105 Jan 2011 (6.66%)
2010605 Jan 2010 (-2.01%), 06 Jan 2010 (-2.2%), 11 Jan 2010 (7.11%), 30 Sep 2010 (-2.01%), 01 Oct 2010 (-2.08%), 07 Oct 2010 (6.59%)
20091102 Apr 2009 (-4.89%), 06 Apr 2009 (-4.96%), 09 Apr 2009 (-5.0%), 18 May 2009 (-4.81%), 19 May 2009 (-5.16%), 28 May 2009 (-4.64%), 09 Jun 2009 (-5.0%), 10 Jun 2009 (14.65%), 29 Jul 2009 (-4.84%), 16 Oct 2009 (-2.99%), 21 Oct 2009 (-2.94%)
2008301 Jan 2008 (-4.59%), 03 Jan 2008 (14.18%), 20 May 2008 (12.58%)
20071425 Jan 2007 (-3.14%), 25 Apr 2007 (-4.02%), 28 Jun 2007 (-3.64%), 12 Jul 2007 (-3.52%), 31 Jul 2007 (10.97%), 20 Sep 2007 (-3.28%), 24 Sep 2007 (-3.45%), 27 Sep 2007 (-4.11%), 01 Oct 2007 (-4.01%), 03 Oct 2007 (14.74%), 10 Oct 2007 (-6.54%), 16 Oct 2007 (19.99%), 05 Nov 2007 (-7.23%), 31 Dec 2007 (-4.55%)
2006906 Feb 2006 (-3.05%), 10 Feb 2006 (-2.96%), 02 Mar 2006 (-3.1%), 06 Mar 2006 (-3.19%), 27 Mar 2006 (9.3%), 25 Aug 2006 (-3.22%), 29 Sep 2006 (-3.04%), 27 Nov 2006 (-2.6%), 04 Dec 2006 (8.01%)
2005303 Jan 2005 (7.63%), 05 Aug 2005 (-2.83%), 02 Sep 2005 (8.69%)
20041501 Jan 2004 (-2.75%), 05 Jan 2004 (-2.71%), 06 Jan 2004 (-2.97%), 07 Jan 2004 (-3.09%), 08 Jan 2004 (-3.03%), 09 Jan 2004 (-3.85%), 14 Jan 2004 (11.35%), 17 Sep 2004 (-2.84%), 21 Sep 2004 (-2.72%), 04 Oct 2004 (-2.58%), 24 Nov 2004 (-2.72%), 01 Dec 2004 (-2.83%), 13 Dec 2004 (-2.75%), 17 Dec 2004 (-2.44%), 21 Dec 2004 (-2.41%)
20032807 Feb 2003 (-2.59%), 15 May 2003 (-2.35%), 19 May 2003 (-2.4%), 23 May 2003 (-2.3%), 09 Jun 2003 (-2.78%), 10 Jun 2003 (-2.79%), 11 Jun 2003 (-2.79%), 20 Jun 2003 (-2.96%), 23 Jun 2003 (-2.96%), 26 Jun 2003 (-2.81%), 30 Jun 2003 (-2.8%), 02 Jul 2003 (8.08%), 18 Aug 2003 (-3.54%), 21 Aug 2003 (-3.47%), 26 Aug 2003 (-3.74%), 28 Aug 2003 (11.21%), 13 Oct 2003 (-3.58%), 17 Oct 2003 (-3.69%), 20 Oct 2003 (-3.68%), 03 Nov 2003 (-3.99%), 05 Nov 2003 (-3.97%), 10 Nov 2003 (-4.03%), 18 Nov 2003 (-3.88%), 03 Dec 2003 (-3.31%), 22 Dec 2003 (-2.79%), 26 Dec 2003 (-2.69%), 29 Dec 2003 (-2.68%), 30 Dec 2003 (-2.86%)
2002511 Jun 2002 (-3.45%), 12 Jun 2002 (10.55%), 27 Nov 2002 (-2.08%), 29 Nov 2002 (-2.05%), 24 Dec 2002 (-2.39%)
20011602 Jan 2001 (-4.61%), 03 Jan 2001 (-4.56%), 08 Jan 2001 (-4.98%), 05 Feb 2001 (-4.69%), 06 Feb 2001 (-4.62%), 07 Feb 2001 (-4.64%), 08 Feb 2001 (-4.68%), 09 Feb 2001 (-5.03%), 13 Feb 2001 (-5.42%), 14 Feb 2001 (17.22%), 25 May 2001 (-4.83%), 29 May 2001 (14.21%), 09 Nov 2001 (-4.3%), 12 Nov 2001 (-4.52%), 19 Nov 2001 (-4.42%), 10 Dec 2001 (12.46%)
20001510 Jan 2000 (12.58%), 06 Jun 2000 (-5.35%), 08 Jun 2000 (-5.05%), 09 Jun 2000 (-4.97%), 12 Jun 2000 (-5.29%), 16 Jun 2000 (-6.1%), 19 Jun 2000 (-6.09%), 20 Jun 2000 (-5.85%), 21 Jun 2000 (18.39%), 30 Nov 2000 (-3.98%), 05 Dec 2000 (-4.09%), 11 Dec 2000 (-4.02%), 14 Dec 2000 (-3.94%), 15 Dec 2000 (-3.99%), 18 Dec 2000 (11.82%)
1999517 May 1999 (-4.49%), 18 May 1999 (-4.39%), 19 May 1999 (-4.31%), 20 May 1999 (16.07%), 23 Aug 1999 (13.81%)
1998505 Jan 1998 (8.63%), 02 Mar 1998 (8.28%), 25 Mar 1998 (-3.22%), 09 Dec 1998 (-3.17%), 30 Dec 1998 (9.89%)
1997301 Jan 1997 (-3.73%), 14 Jan 1997 (-3.31%), 15 Jan 1997 (-3.34%)
19961102 Feb 1996 (-2.85%), 12 Feb 1996 (-3.17%), 13 Feb 1996 (-3.18%), 14 Feb 1996 (9.99%), 18 Apr 1996 (-2.7%), 19 Apr 1996 (-2.87%), 24 Apr 1996 (10.16%), 12 Jun 1996 (-3.01%), 13 Jun 1996 (-2.98%), 14 Jun 1996 (9.42%), 26 Dec 1996 (-3.51%)
1995110 Oct 1995 (-3.14%)



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