Study: Sell TECHM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TECHM 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 TECHM 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
18923.9155312456.363367.213760.53-3977.48-21976.40.851.090.0084162.25
2-37122.9655352063.643151.239740.69-7370.8-51620.920.430.75-0.022-674.96
3-64809.1255312456.364761.1515170.46-8850.2-55579.990.540.69-0.03-1178.35
4-10119555282750.915940.1219514.28-9908.09-43817.540.60.62-0.041-1839.91
5-11004155253045.456617.6621388.77-9182.75-46234.360.720.6-0.047-2000.74
6-13612155282750.917114.3224266.16-12419.32-84594.050.570.59-0.045-2474.92
7-11344655322358.188090.9533891.75-16189.43-99435.780.50.7-0.03-2062.66
8-54826.6655322358.188660.5333348.69-14433.2-96050.490.60.83-0.015-996.85
9-30961.62553322608287.6635079.64-13838.83-75910.870.60.9-0.0095-562.94
10-10925855352063.647528.6338548.11-18638-67552.840.40.71-0.031-1986.51

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.09. 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 56.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.081%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0084, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid 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-118923.9155312456.363367.213760.53-3977.48-21976.40.851.090.0084162.25
atrnil25.2524303.34102356734.3114299.2335934.2-7107.01-15917.732.011.050.0059238.27
atrtrail23.8516662.09115427336.529884.9935934.2-5459.01-15917.731.811.040.0043144.89
atrtrail34.18-54847.26114417335.968364.2126484.69-5449.04-15917.731.530.86-0.016-481.12
atrtrail-14.5-125902114417335.966631.1520129.99-5449.04-15917.731.220.68-0.042-1104.41
atrnil37.91-20340299207920.21827128516.23-7200.28-16165.082.540.64-0.053-2054.57

In the table above, row 1 shows the best exit criterion. Profit factor is 1.09. 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 56.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.081%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0084, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TECHM Performance, X=1, Profit Factor:1.09

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019306 Feb 2019 (0.78%), 21 Feb 2019 (-0.65%), 30 Apr 2019 (-0.11%)
2018508 Jan 2018 (0.46%), 22 Jan 2018 (-3.29%), 20 Apr 2018 (-0.21%), 23 Aug 2018 (1.11%), 06 Sep 2018 (0.37%)
2017321 Aug 2017 (-1.91%), 21 Sep 2017 (0.4%), 13 Oct 2017 (0.48%)
2016225 May 2016 (-2.61%), 25 Nov 2016 (-0.43%)
2015128 Jan 2015 (-1.08%)
2014710 Jun 2014 (-0.74%), 27 Jun 2014 (-1.24%), 22 Aug 2014 (-0.31%), 08 Sep 2014 (1.96%), 25 Sep 2014 (1.15%), 05 Nov 2014 (-1.57%), 20 Nov 2014 (1.08%)
20131011 Jan 2013 (-1.28%), 01 Mar 2013 (1.56%), 27 Jun 2013 (1.94%), 22 Jul 2013 (-0.64%), 05 Aug 2013 (2.41%), 03 Sep 2013 (0.09%), 07 Oct 2013 (0.06%), 22 Oct 2013 (-0.4%), 08 Nov 2013 (-1.33%), 20 Dec 2013 (0.51%)
2012702 Feb 2012 (2.16%), 22 Mar 2012 (-2.3%), 02 Jul 2012 (0.99%), 03 Aug 2012 (1.4%), 21 Aug 2012 (1.53%), 11 Sep 2012 (-3.71%), 26 Sep 2012 (-1.48%)
2011204 Jan 2011 (2.16%), 25 Jul 2011 (-0.56%)
2010215 Jan 2010 (0.01%), 22 Sep 2010 (-1.64%)
2009606 Apr 2009 (-2.3%), 18 May 2009 (6.88%), 01 Jun 2009 (-6.93%), 16 Jun 2009 (4.29%), 01 Sep 2009 (1.38%), 09 Nov 2009 (2.9%)
2008108 Apr 2008 (2.83%)
2007208 Jan 2007 (1.79%), 11 Oct 2007 (6.22%)
2006407 Nov 2006 (0.03%), 21 Nov 2006 (0.66%), 05 Dec 2006 (2.59%), 21 Dec 2006 (-10.99%)



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