Study: Sell TATASTEEL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TATASTEEL 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 TATASTEEL 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
132063.84102554753.923730.5524059.14-3683.32-14091.541.011.190.013314.35
251263.5102544852.945515.6517473.96-5137.12-16641.91.071.210.015502.58
357098.92102505249.026871.9429358.74-5509.58-15207.091.251.20.014559.79
444155.34102485447.069631.4673126.46-7743.6-20175.681.241.110.0072432.9
56724.2102465645.110468.6773469.89-8479.19-33825.041.231.010.00165.92
6-14440.47102445843.1411256.4674377.53-8788.36-31027.871.280.97-0.0021-141.57
7-141053102485447.0610167.2469422.3-11649.64-38150.720.870.78-0.019-1382.87
8-231549102465645.110408.7267557.95-12684.82-53718.640.820.67-0.029-2270.09
9-322454102426041.1811265.5371556.48-13260.1-62544.80.850.59-0.037-3161.31
10-328515102426041.1812205.2369471.36-14018.91-62772.540.870.61-0.038-3220.74
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
atrnil24.02-1706742126015228.313881.6723651.54-6602.46-14181.882.10.83-0.017-805.06
atrtrail23.13-1491082367316330.939764.0723651.54-5287.64-12644.591.850.83-0.016-631.81
atrtrail33.44-1872792346916529.499791.4133671.49-5229.61-12644.591.870.78-0.019-800.34
atrnil35.1-3069362103917118.5721062.2735477.31-6598.62-14181.883.190.73-0.026-1461.6
atrtrail-13.88-2617982346916529.498711.4374066.99-5229.61-12644.591.670.7-0.026-1118.79

In the table above, row 1 shows the best exit criterion. Profit factor is 0.83. 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 28.3%, which is not acceptable. Avoid this strategy. Average return per trade is -0.4%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, Profit Factor:0.83

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018205 Jan 2018 (-2.2%), 15 Jan 2018 (4.18%)
20171111 Jan 2017 (-2.62%), 18 Jan 2017 (-2.51%), 26 May 2017 (-2.91%), 30 Jun 2017 (-2.26%), 10 Jul 2017 (-2.0%), 19 Jul 2017 (3.49%), 08 Aug 2017 (-2.2%), 16 Aug 2017 (-2.37%), 01 Sep 2017 (-2.14%), 12 Sep 2017 (4.03%), 26 Oct 2017 (4.09%)
2016703 Mar 2016 (-4.32%), 10 Mar 2016 (-3.97%), 22 Mar 2016 (-3.26%), 30 Mar 2016 (-3.52%), 20 Apr 2016 (6.79%), 15 Jul 2016 (6.16%), 20 Oct 2016 (5.07%)
2014802 Apr 2014 (-2.74%), 09 Apr 2014 (-2.72%), 14 May 2014 (-3.04%), 15 May 2014 (-3.04%), 23 May 2014 (-3.62%), 03 Jun 2014 (-3.73%), 05 Jun 2014 (-3.56%), 09 Jun 2014 (6.81%)
20131002 Jan 2013 (-2.13%), 11 Sep 2013 (9.11%), 22 Oct 2013 (7.15%), 11 Nov 2013 (-3.38%), 14 Nov 2013 (-3.42%), 19 Nov 2013 (-3.32%), 25 Nov 2013 (-2.97%), 02 Dec 2013 (-2.71%), 05 Dec 2013 (-2.46%), 09 Dec 2013 (-2.42%)
2012716 Jan 2012 (-3.7%), 17 Jan 2012 (-3.7%), 27 Jan 2012 (-3.63%), 02 Feb 2012 (7.42%), 15 Feb 2012 (7.46%), 19 Dec 2012 (-2.34%), 21 Dec 2012 (-2.46%)
20101204 Jan 2010 (-3.06%), 05 Jan 2010 (6.02%), 05 Apr 2010 (-2.99%), 13 Apr 2010 (6.45%), 07 Sep 2010 (-2.95%), 09 Sep 2010 (-2.94%), 14 Sep 2010 (-2.91%), 20 Sep 2010 (-2.8%), 27 Sep 2010 (-2.53%), 29 Sep 2010 (-2.46%), 01 Oct 2010 (-2.47%), 06 Oct 2010 (4.72%)
20091027 Mar 2009 (11.36%), 08 Apr 2009 (-6.21%), 09 Apr 2009 (-6.07%), 13 Apr 2009 (11.83%), 20 May 2009 (-7.09%), 29 May 2009 (-6.06%), 01 Jun 2009 (-5.87%), 02 Jun 2009 (11.53%), 16 Sep 2009 (-4.03%), 14 Oct 2009 (6.73%)
2008314 May 2008 (8.52%), 15 May 2008 (-4.76%), 21 May 2008 (8.6%)
20071511 Apr 2007 (-3.39%), 16 Apr 2007 (6.91%), 23 Apr 2007 (-4.57%), 24 Apr 2007 (-4.49%), 21 May 2007 (-3.38%), 23 May 2007 (7.03%), 12 Jul 2007 (-2.76%), 13 Jul 2007 (-2.75%), 20 Jul 2007 (6.08%), 19 Sep 2007 (-3.2%), 27 Sep 2007 (-3.18%), 28 Sep 2007 (6.75%), 15 Oct 2007 (8.73%), 25 Oct 2007 (-5.4%), 26 Oct 2007 (11.22%)
20061528 Feb 2006 (-3.06%), 01 Mar 2006 (-3.12%), 02 Mar 2006 (-3.11%), 06 Mar 2006 (6.02%), 23 Mar 2006 (-3.09%), 27 Mar 2006 (-3.0%), 30 Mar 2006 (-2.96%), 31 Mar 2006 (-2.96%), 07 Apr 2006 (-2.83%), 10 Apr 2006 (6.88%), 13 Apr 2006 (-4.14%), 17 Apr 2006 (-4.04%), 20 Apr 2006 (7.69%), 21 Apr 2006 (-4.51%), 02 May 2006 (10.39%)
2005804 Feb 2005 (-3.28%), 17 Feb 2005 (-2.67%), 28 Feb 2005 (-2.53%), 04 Mar 2005 (-2.26%), 11 Mar 2005 (4.26%), 25 Jul 2005 (-2.46%), 11 Aug 2005 (-3.06%), 19 Sep 2005 (5.86%)
20041122 Jul 2004 (-4.01%), 27 Jul 2004 (-3.69%), 29 Jul 2004 (-3.51%), 05 Aug 2004 (6.1%), 29 Nov 2004 (-2.25%), 02 Dec 2004 (4.53%), 20 Dec 2004 (-2.15%), 23 Dec 2004 (-2.11%), 24 Dec 2004 (-2.18%), 27 Dec 2004 (-2.3%), 28 Dec 2004 (4.92%)
20033201 Jan 2003 (-2.22%), 20 Jan 2003 (-2.47%), 21 Jan 2003 (-2.44%), 26 May 2003 (-2.16%), 29 May 2003 (-2.56%), 30 May 2003 (-2.97%), 06 Jun 2003 (5.44%), 30 Jun 2003 (-2.73%), 02 Jul 2003 (-2.71%), 08 Jul 2003 (-2.74%), 11 Jul 2003 (-2.73%), 14 Jul 2003 (-2.88%), 16 Jul 2003 (5.87%), 25 Jul 2003 (-3.49%), 28 Jul 2003 (-3.49%), 29 Jul 2003 (-3.47%), 04 Aug 2003 (-3.27%), 07 Aug 2003 (-3.31%), 08 Aug 2003 (-3.26%), 12 Aug 2003 (-3.28%), 14 Aug 2003 (-3.12%), 18 Aug 2003 (6.37%), 05 Sep 2003 (-3.97%), 06 Oct 2003 (-3.8%), 07 Oct 2003 (-3.79%), 10 Oct 2003 (-3.45%), 13 Oct 2003 (-3.5%), 16 Oct 2003 (7.62%), 03 Nov 2003 (8.1%), 24 Dec 2003 (-3.94%), 29 Dec 2003 (7.39%), 31 Dec 2003 (-4.33%)
20021210 Jan 2002 (-3.91%), 18 Jan 2002 (-4.54%), 26 Apr 2002 (-3.04%), 06 May 2002 (-3.08%), 08 May 2002 (5.95%), 17 Jun 2002 (-4.09%), 01 Jul 2002 (8.55%), 22 Nov 2002 (-2.99%), 26 Nov 2002 (-2.88%), 02 Dec 2002 (-2.83%), 26 Dec 2002 (-2.41%), 30 Dec 2002 (-2.36%)
2001903 Jan 2001 (6.65%), 05 Feb 2001 (-3.55%), 08 Feb 2001 (-3.47%), 09 Feb 2001 (6.79%), 14 Nov 2001 (-3.32%), 20 Nov 2001 (-3.19%), 21 Nov 2001 (-3.19%), 22 Nov 2001 (-3.22%), 26 Nov 2001 (-3.49%)
2000906 Jan 2000 (-4.53%), 07 Jan 2000 (-4.64%), 10 Jan 2000 (9.15%), 02 Jun 2000 (-4.86%), 24 Nov 2000 (-3.38%), 27 Nov 2000 (-3.3%), 30 Nov 2000 (-3.46%), 05 Dec 2000 (-3.31%), 08 Dec 2000 (6.42%)
1999806 Jan 1999 (-3.55%), 08 Jan 1999 (-3.3%), 11 Jan 1999 (6.84%), 17 May 1999 (-5.28%), 19 May 1999 (10.31%), 18 Jun 1999 (-5.67%), 05 Jul 1999 (-4.73%), 12 Jul 1999 (8.92%)
1998902 Mar 1998 (4.86%), 18 Mar 1998 (-3.33%), 23 Mar 1998 (-3.19%), 06 Apr 1998 (-3.14%), 19 Nov 1998 (7.91%), 11 Dec 1998 (7.21%), 24 Dec 1998 (-3.57%), 28 Dec 1998 (-3.46%), 29 Dec 1998 (-3.51%)
1997802 Jan 1997 (-3.34%), 07 Jan 1997 (-3.23%), 15 Jan 1997 (-3.09%), 28 Jan 1997 (8.02%), 18 Jun 1997 (5.81%), 02 Jul 1997 (-3.21%), 03 Jul 1997 (-3.2%), 04 Jul 1997 (6.35%)
1996218 Apr 1996 (-3.25%), 24 Apr 1996 (7.17%)
1995426 Jul 1995 (4.47%), 11 Oct 1995 (-1.81%), 12 Oct 1995 (-1.82%), 17 Oct 1995 (3.4%)



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