Study: Sell TITAN when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TITAN 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 TITAN 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
123869.84122645852.464751.6920697.95-4831.7-16463.490.981.090.0063195.65
210855.59122655753.286563.9936462.09-7294.81-40724.20.91.030.001888.98
3-16483.39122655753.287108.5641155.23-8395.43-63464.090.850.97-0.0023-135.11
427058.88122606249.188964.2841155.23-8238.68-60422.451.091.050.0037221.79
551618.93122635951.649472.2641020.61-9239.55-40677.971.031.090.0068423.11
670746.87122626050.829695.8833273.16-8839.96-600001.11.130.0089579.89
7-13349.43122665654.19698.3539534.88-11668.57-64406.780.830.98-0.0015-109.42
8-24038.49122606249.1811924.4339941.12-11927.49-71016.9510.97-0.0024-197.04
9-47592.6122576546.7213604.3542983.32-12662.16-88813.561.070.94-0.0043-390.1
10-168363122596348.3613780.2552796.86-15577.74-1120340.880.83-0.013-1380.02
Although, strategy looks good but profit factor on day 3 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
atrtrail23.5-13151.252699317634.5711316.8825217.13-6054.66-11731.931.870.99-0.001-48.89
atrtrail34-38983.732669117534.2111103.8637825.69-5996.77-11731.931.850.96-0.0028-146.56
atrtrail-14.44-1634452659017533.969846.7595418.79-5998.01-11731.931.640.84-0.012-616.77
atrnil24.66-2120482426817428.116259.2625217.13-7572.86-13480.942.150.84-0.016-876.23
atrnil36.38-3500922354419118.7225023.7237825.69-7597.57-13480.943.290.76-0.023-1489.75

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 34.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.024%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TITAN Performance, Profit Factor:0.988

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20191204 Feb 2019 (-2.22%), 05 Feb 2019 (1.34%), 19 Mar 2019 (-1.31%), 27 Mar 2019 (-2.12%), 29 Mar 2019 (1.37%), 20 May 2019 (-2.35%), 27 May 2019 (-1.66%), 03 Jun 2019 (-0.88%), 10 Jun 2019 (-0.5%), 20 Sep 2019 (-3.23%), 23 Sep 2019 (6.67%), 23 Oct 2019 (-2.7%)
2018804 Jan 2018 (-2.45%), 08 Jan 2018 (0.06%), 23 Mar 2018 (-2.37%), 26 Mar 2018 (-2.52%), 28 Mar 2018 (1.3%), 09 Apr 2018 (-2.78%), 12 Apr 2018 (-0.19%), 15 Nov 2018 (-1.94%)
20171508 Feb 2017 (-0.07%), 20 Feb 2017 (-3.11%), 21 Feb 2017 (6.38%), 14 Mar 2017 (0.99%), 05 Apr 2017 (0.05%), 05 Jun 2017 (7.18%), 04 Aug 2017 (-2.29%), 09 Aug 2017 (-0.66%), 14 Aug 2017 (2.17%), 06 Nov 2017 (1.64%), 09 Nov 2017 (-1.98%), 17 Nov 2017 (-3.08%), 21 Nov 2017 (-2.07%), 27 Nov 2017 (6.26%), 19 Dec 2017 (0.38%)
2016723 Jun 2016 (-2.08%), 24 Jun 2016 (-2.14%), 30 Jun 2016 (-0.95%), 14 Jul 2016 (-2.09%), 15 Jul 2016 (4.55%), 18 Jul 2016 (-1.41%), 28 Jul 2016 (4.99%)
2015428 Jan 2015 (-2.56%), 19 Nov 2015 (-2.85%), 23 Nov 2015 (-2.12%), 26 Nov 2015 (5.53%)
20141525 Feb 2014 (-2.43%), 03 Mar 2014 (-2.81%), 04 Mar 2014 (0.68%), 03 Apr 2014 (1.9%), 12 May 2014 (-3.02%), 13 May 2014 (-3.29%), 14 May 2014 (-3.39%), 15 May 2014 (-3.37%), 16 May 2014 (-4.15%), 20 May 2014 (-3.03%), 22 May 2014 (2.38%), 10 Jun 2014 (7.35%), 02 Jul 2014 (6.88%), 02 Sep 2014 (-2.27%), 09 Sep 2014 (5.77%)
2013131 Oct 2013 (6.49%)
20121527 Jan 2012 (6.87%), 15 Feb 2012 (-2.33%), 17 Feb 2012 (-3.59%), 21 Feb 2012 (8.21%), 13 Mar 2012 (8.02%), 17 Sep 2012 (4.42%), 20 Sep 2012 (-2.2%), 26 Sep 2012 (-2.61%), 27 Sep 2012 (-2.68%), 28 Sep 2012 (-1.79%), 04 Oct 2012 (-0.36%), 10 Oct 2012 (-2.98%), 12 Oct 2012 (-1.58%), 18 Oct 2012 (5.54%), 30 Nov 2012 (5.37%)
2011630 Mar 2011 (-2.48%), 05 Apr 2011 (-3.13%), 06 Apr 2011 (6.16%), 25 May 2011 (1.03%), 09 Jun 2011 (-2.58%), 13 Jun 2011 (5.09%)
20103507 Jan 2010 (-0.68%), 20 Jan 2010 (7.31%), 01 Feb 2010 (-1.89%), 03 Feb 2010 (-1.4%), 11 Feb 2010 (-2.59%), 17 Feb 2010 (0.74%), 04 Mar 2010 (1.15%), 15 Apr 2010 (-2.27%), 16 Apr 2010 (-1.85%), 29 Apr 2010 (-2.26%), 30 Apr 2010 (-2.24%), 03 May 2010 (-0.38%), 05 May 2010 (-1.12%), 13 May 2010 (-2.92%), 18 May 2010 (5.75%), 28 Jun 2010 (-1.75%), 06 Jul 2010 (-2.32%), 08 Jul 2010 (-2.38%), 13 Jul 2010 (-2.56%), 14 Jul 2010 (-2.72%), 15 Jul 2010 (-1.19%), 22 Jul 2010 (-2.53%), 26 Jul 2010 (-2.39%), 27 Jul 2010 (-0.07%), 12 Aug 2010 (-2.2%), 13 Aug 2010 (-2.43%), 16 Aug 2010 (4.96%), 23 Aug 2010 (0.5%), 17 Sep 2010 (-1.1%), 23 Sep 2010 (-2.48%), 27 Sep 2010 (1.11%), 06 Oct 2010 (4.97%), 27 Oct 2010 (0.12%), 01 Nov 2010 (-3.06%), 10 Nov 2010 (5.65%)
20091308 Apr 2009 (10.44%), 18 May 2009 (-4.93%), 19 May 2009 (-5.16%), 20 May 2009 (-5.19%), 21 May 2009 (10.49%), 03 Jun 2009 (-1.02%), 10 Jun 2009 (10.16%), 24 Jul 2009 (-4.09%), 27 Jul 2009 (8.14%), 07 Oct 2009 (-3.47%), 08 Oct 2009 (-3.49%), 09 Oct 2009 (-3.5%), 12 Oct 2009 (6.79%)
2008104 Aug 2008 (-0.83%)
20071503 Jan 2007 (0.67%), 01 Feb 2007 (-3.96%), 02 Feb 2007 (-3.51%), 07 Feb 2007 (7.97%), 16 Apr 2007 (2.18%), 16 May 2007 (-3.65%), 18 May 2007 (0.87%), 01 Jun 2007 (7.13%), 26 Jun 2007 (-3.92%), 27 Jun 2007 (-0.96%), 07 Sep 2007 (-4.53%), 10 Sep 2007 (-3.27%), 17 Sep 2007 (-1.36%), 04 Oct 2007 (0.31%), 29 Oct 2007 (9.55%)
2006509 Aug 2006 (-4.67%), 10 Aug 2006 (-3.2%), 17 Aug 2006 (-4.52%), 29 Aug 2006 (-2.58%), 04 Sep 2006 (6.9%)
20053203 Jan 2005 (7.43%), 09 Feb 2005 (-4.91%), 11 Mar 2005 (-5.73%), 14 Mar 2005 (11.88%), 25 May 2005 (-3.24%), 01 Jun 2005 (-3.01%), 04 Jun 2005 (-3.05%), 09 Jun 2005 (-3.48%), 10 Jun 2005 (-3.43%), 13 Jun 2005 (7.31%), 23 Jun 2005 (-3.95%), 27 Jun 2005 (-1.49%), 30 Jun 2005 (-3.86%), 04 Jul 2005 (-3.7%), 06 Jul 2005 (-3.53%), 07 Jul 2005 (-3.64%), 08 Jul 2005 (-3.78%), 11 Jul 2005 (-3.96%), 12 Jul 2005 (-4.05%), 13 Jul 2005 (8.64%), 14 Jul 2005 (-5.16%), 18 Jul 2005 (1.8%), 02 Aug 2005 (3.33%), 10 Nov 2005 (-5.58%), 17 Nov 2005 (-4.92%), 22 Nov 2005 (-4.65%), 29 Nov 2005 (-2.53%), 02 Dec 2005 (-4.23%), 06 Dec 2005 (-4.08%), 07 Dec 2005 (-3.97%), 08 Dec 2005 (-4.34%), 09 Dec 2005 (3.14%)
2004602 Jul 2004 (-1.42%), 17 Aug 2004 (0.88%), 26 Aug 2004 (-4.93%), 27 Aug 2004 (9.8%), 07 Oct 2004 (-1.82%), 11 Oct 2004 (-0.92%)
2003911 Aug 2003 (-2.64%), 13 Aug 2003 (-0.3%), 06 Oct 2003 (-0.72%), 13 Oct 2003 (-1.45%), 20 Oct 2003 (1.34%), 25 Oct 2003 (1.49%), 03 Nov 2003 (11.69%), 03 Dec 2003 (-0.49%), 23 Dec 2003 (9.84%)
20021411 Feb 2002 (-5.53%), 13 Feb 2002 (-5.46%), 14 Feb 2002 (4.31%), 25 Feb 2002 (12.37%), 05 Apr 2002 (-5.64%), 08 Apr 2002 (-0.6%), 24 Apr 2002 (-2.87%), 29 Apr 2002 (11.01%), 06 Jun 2002 (-0.15%), 12 Jun 2002 (3.73%), 22 Nov 2002 (-4.09%), 26 Nov 2002 (-1.7%), 29 Nov 2002 (-0.83%), 05 Dec 2002 (0.01%)
2001909 Feb 2001 (10.33%), 21 May 2001 (-5.34%), 22 May 2001 (-5.53%), 23 May 2001 (2.72%), 25 May 2001 (12.59%), 06 Nov 2001 (-1.59%), 20 Nov 2001 (-5.49%), 21 Nov 2001 (-5.34%), 22 Nov 2001 (2.5%)
2000108 Dec 2000 (11.31%)
19991404 Jan 1999 (12.1%), 14 Jan 1999 (12.61%), 08 Jul 1999 (-3.92%), 09 Jul 1999 (-4.07%), 12 Jul 1999 (8.16%), 11 Oct 1999 (-5.87%), 12 Oct 1999 (11.98%), 24 Nov 1999 (-3.44%), 26 Nov 1999 (-5.51%), 29 Nov 1999 (11.42%), 09 Dec 1999 (-5.73%), 16 Dec 1999 (-5.69%), 17 Dec 1999 (-5.84%), 20 Dec 1999 (11.17%)
19981909 Apr 1998 (0.32%), 15 Apr 1998 (11.87%), 15 Sep 1998 (-4.06%), 16 Sep 1998 (1.3%), 24 Sep 1998 (-4.66%), 28 Sep 1998 (-4.46%), 29 Sep 1998 (9.29%), 11 Dec 1998 (-4.58%), 14 Dec 1998 (-3.81%), 16 Dec 1998 (-4.6%), 17 Dec 1998 (-5.2%), 18 Dec 1998 (-5.04%), 21 Dec 1998 (-4.86%), 22 Dec 1998 (-4.98%), 23 Dec 1998 (-5.05%), 24 Dec 1998 (-5.05%), 28 Dec 1998 (-4.87%), 29 Dec 1998 (-4.86%), 30 Dec 1998 (9.57%)
1997323 Jul 1997 (-3.97%), 29 Jul 1997 (-2.78%), 01 Aug 1997 (7.89%)
1996814 Jun 1996 (-3.52%), 19 Jun 1996 (8.13%), 09 Jul 1996 (-2.42%), 16 Jul 1996 (-2.79%), 18 Jul 1996 (-3.03%), 19 Jul 1996 (-3.22%), 22 Jul 1996 (-3.33%), 23 Jul 1996 (7.42%)
1995225 Jul 1995 (-3.14%), 26 Jul 1995 (6.68%)



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