Study: Sell TORNTPHARM when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TORNTPHARM 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 TORNTPHARM 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
1-190632109515846.793434.5214838.39-6306.77-400380.540.48-0.045-1748.92
2-221783109555450.465232.7719523.34-9436.76-355260.550.56-0.04-2034.71
3-87271.7109624756.887709.1630487.48-12026.37-52119.590.640.85-0.012-800.66
4-69626.33109565351.389682.3934042.55-11544.16-66755.910.840.89-0.0086-638.77
5-74284.03109595054.139854.6245271.29-13114.14-88174.920.750.89-0.0083-681.5
6-33038.43109585153.2111048.5836846.99-13212.86-1112900.840.95-0.0035-303.1
7-179803109575252.2910125.7933384.85-14557.17-1361890.70.76-0.017-1649.57
8-232085109555450.4611003.731962.91-15505.34-1281570.710.72-0.02-2129.22
9-300433109575252.2911111.9741877.14-17957.98-1440430.620.68-0.023-2756.26
10-388528109575252.2911263.2436379.57-19817.93-1716200.570.62-0.027-3564.47
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
atrnil24.16-3846502466518126.4215976.2625746.03-7862.47-13358.822.030.73-0.03-1563.62
atrtrail33.51-3811262627318927.8611565.1136536.89-6483.48-12440.61.780.69-0.031-1454.68
atrtrail23.07-3840122637518828.5211217.5625746.03-6517.71-12440.61.720.69-0.033-1460.12
atrnil36.02-4941092454520018.3723922.3436536.89-7853.07-13358.823.050.69-0.033-2016.77
atrtrail-13.89-4847472627219027.4810289.8850057.22-6450.62-12440.61.60.6-0.041-1850.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.73. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TORNTPHARM Performance, Profit Factor:0.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Jan 2019 (-2.29%), 16 Jan 2019 (4.43%), 28 Mar 2019 (4.1%)
2018908 Jan 2018 (-2.54%), 24 Apr 2018 (5.1%), 03 Aug 2018 (-2.81%), 06 Aug 2018 (-2.76%), 07 Aug 2018 (-2.78%), 09 Aug 2018 (-2.9%), 17 Aug 2018 (-2.66%), 31 Aug 2018 (-2.43%), 03 Sep 2018 (4.86%)
2017617 Mar 2017 (5.13%), 30 Mar 2017 (-2.78%), 31 Mar 2017 (5.79%), 11 Jul 2017 (7.21%), 26 Dec 2017 (-2.32%), 27 Dec 2017 (-2.38%)
2016311 Jul 2016 (4.54%), 18 Aug 2016 (-2.76%), 24 Aug 2016 (-3.04%)
20151302 Jan 2015 (7.57%), 06 Apr 2015 (-3.2%), 08 Apr 2015 (-3.12%), 15 Apr 2015 (6.4%), 28 Jul 2015 (-2.8%), 30 Jul 2015 (-2.64%), 05 Aug 2015 (-2.54%), 12 Aug 2015 (-2.27%), 14 Aug 2015 (-2.54%), 17 Aug 2015 (-2.63%), 18 Aug 2015 (-2.65%), 20 Aug 2015 (-2.82%), 21 Aug 2015 (5.85%)
20142422 Jan 2014 (-3.12%), 23 Jan 2014 (-3.39%), 27 Jan 2014 (-3.77%), 03 Feb 2014 (-4.06%), 06 May 2014 (-3.5%), 12 May 2014 (7.84%), 12 Jun 2014 (-3.74%), 25 Jun 2014 (6.49%), 31 Jul 2014 (-3.37%), 19 Aug 2014 (-2.73%), 20 Aug 2014 (-2.77%), 21 Aug 2014 (-2.74%), 27 Aug 2014 (-2.71%), 28 Aug 2014 (-2.74%), 03 Sep 2014 (-2.77%), 05 Sep 2014 (-2.76%), 16 Sep 2014 (5.73%), 03 Nov 2014 (-2.61%), 07 Nov 2014 (-3.11%), 12 Nov 2014 (-3.23%), 18 Nov 2014 (-3.44%), 19 Nov 2014 (-3.39%), 01 Dec 2014 (-3.49%), 02 Dec 2014 (7.14%)
20131002 Jan 2013 (-2.59%), 08 Jan 2013 (-2.56%), 16 May 2013 (-2.46%), 31 May 2013 (-3.24%), 03 Jun 2013 (-3.66%), 08 Jul 2013 (-2.72%), 11 Jul 2013 (5.24%), 16 Sep 2013 (7.22%), 05 Nov 2013 (6.87%), 11 Dec 2013 (-3.55%)
20121113 Mar 2012 (-2.48%), 14 Mar 2012 (-2.6%), 15 Mar 2012 (-2.71%), 30 Mar 2012 (-2.96%), 11 Apr 2012 (-2.92%), 25 Apr 2012 (-2.87%), 27 Apr 2012 (-2.84%), 10 May 2012 (-2.85%), 11 May 2012 (6.0%), 26 Jul 2012 (-2.73%), 31 Dec 2012 (-2.52%)
2011319 Jan 2011 (5.75%), 29 Mar 2011 (-3.59%), 30 Mar 2011 (-3.95%)
2010528 Jan 2010 (-4.27%), 05 Feb 2010 (9.7%), 17 Mar 2010 (-3.68%), 29 Mar 2010 (-3.43%), 31 Mar 2010 (6.72%)
20092301 Jan 2009 (12.18%), 15 Apr 2009 (-4.4%), 16 Apr 2009 (-4.49%), 21 Apr 2009 (-4.45%), 21 May 2009 (-5.88%), 25 May 2009 (11.36%), 28 Jul 2009 (-4.17%), 29 Jul 2009 (-4.2%), 30 Jul 2009 (-4.46%), 21 Aug 2009 (-4.43%), 24 Aug 2009 (-4.29%), 25 Aug 2009 (-4.69%), 26 Aug 2009 (-4.8%), 25 Sep 2009 (-4.96%), 29 Sep 2009 (-4.89%), 15 Oct 2009 (-4.44%), 20 Oct 2009 (8.07%), 04 Nov 2009 (-4.41%), 05 Nov 2009 (-4.41%), 06 Nov 2009 (-4.77%), 12 Nov 2009 (-4.82%), 13 Nov 2009 (-4.8%), 04 Dec 2009 (8.92%)
2008703 Jan 2008 (8.34%), 17 Apr 2008 (-5.25%), 21 Apr 2008 (10.46%), 05 May 2008 (10.08%), 17 Jun 2008 (10.17%), 26 Aug 2008 (-4.07%), 28 Aug 2008 (8.6%)
2007807 Feb 2007 (-3.86%), 08 Feb 2007 (8.15%), 24 May 2007 (-3.25%), 25 May 2007 (-4.57%), 28 May 2007 (-4.99%), 31 May 2007 (10.03%), 13 Dec 2007 (-3.81%), 19 Dec 2007 (-4.2%)
2006825 Jan 2006 (-3.02%), 27 Jan 2006 (-3.04%), 31 Jan 2006 (-3.0%), 01 Feb 2006 (-3.25%), 02 Feb 2006 (-3.29%), 08 Feb 2006 (6.47%), 02 May 2006 (-5.41%), 08 May 2006 (-5.02%)
2005919 Jul 2005 (-3.76%), 16 Aug 2005 (7.91%), 29 Nov 2005 (-2.91%), 02 Dec 2005 (-2.92%), 07 Dec 2005 (-3.15%), 08 Dec 2005 (-3.81%), 09 Dec 2005 (-3.86%), 14 Dec 2005 (-3.73%), 15 Dec 2005 (-4.27%)
2004828 Jul 2004 (-3.98%), 30 Jul 2004 (-4.44%), 27 Sep 2004 (-3.33%), 18 Nov 2004 (-2.93%), 13 Dec 2004 (-2.98%), 17 Dec 2004 (-2.97%), 20 Dec 2004 (5.99%), 27 Dec 2004 (7.95%)
20032206 Jan 2003 (-3.27%), 09 Jan 2003 (-3.44%), 13 Jan 2003 (-3.77%), 14 Jan 2003 (-4.06%), 15 Jan 2003 (7.89%), 13 May 2003 (-3.73%), 14 May 2003 (-3.88%), 16 May 2003 (8.31%), 02 Jun 2003 (-3.88%), 05 Jun 2003 (7.57%), 30 Jun 2003 (-4.66%), 01 Jul 2003 (-4.9%), 02 Jul 2003 (11.06%), 04 Aug 2003 (-5.0%), 08 Aug 2003 (-5.26%), 27 Aug 2003 (-5.42%), 28 Aug 2003 (-5.56%), 29 Aug 2003 (-5.55%), 01 Sep 2003 (-5.44%), 08 Sep 2003 (10.71%), 09 Dec 2003 (8.5%), 18 Dec 2003 (10.51%)
2002925 Jan 2002 (-4.54%), 30 Jan 2002 (-4.94%), 01 Feb 2002 (10.41%), 22 Feb 2002 (-5.23%), 25 Feb 2002 (-5.31%), 26 Feb 2002 (-5.96%), 05 Mar 2002 (11.61%), 08 Jul 2002 (7.95%), 31 Oct 2002 (-3.81%)
2001712 Nov 2001 (-3.74%), 14 Nov 2001 (-3.78%), 28 Nov 2001 (-4.14%), 29 Nov 2001 (8.67%), 12 Dec 2001 (-4.65%), 13 Dec 2001 (-4.9%), 14 Dec 2001 (10.42%)
2000227 Jan 2000 (-5.57%), 28 Jan 2000 (11.04%)
19994107 Jan 1999 (-3.33%), 08 Jan 1999 (7.89%), 18 Feb 1999 (-3.86%), 19 Feb 1999 (7.88%), 12 Jul 1999 (-3.33%), 14 Jul 1999 (8.1%), 09 Aug 1999 (-4.25%), 10 Aug 1999 (-4.19%), 11 Aug 1999 (-4.13%), 12 Aug 1999 (-4.08%), 13 Aug 1999 (-4.12%), 16 Aug 1999 (-4.14%), 17 Aug 1999 (-4.09%), 18 Aug 1999 (-4.04%), 19 Aug 1999 (-4.89%), 20 Aug 1999 (-5.38%), 23 Aug 1999 (-5.15%), 24 Aug 1999 (-4.96%), 25 Aug 1999 (-5.53%), 26 Aug 1999 (-5.29%), 27 Aug 1999 (10.21%), 31 Aug 1999 (12.87%), 09 Sep 1999 (-6.22%), 10 Sep 1999 (-5.88%), 14 Sep 1999 (-5.67%), 15 Sep 1999 (-6.32%), 20 Sep 1999 (-6.68%), 23 Sep 1999 (-6.16%), 24 Sep 1999 (-5.82%), 27 Sep 1999 (-5.54%), 28 Sep 1999 (-5.42%), 29 Sep 1999 (-5.2%), 30 Sep 1999 (-5.47%), 01 Oct 1999 (-5.83%), 04 Oct 1999 (-6.09%), 05 Oct 1999 (-6.04%), 06 Oct 1999 (-5.72%), 07 Oct 1999 (-5.45%), 08 Oct 1999 (-5.22%), 11 Oct 1999 (11.64%), 22 Dec 1999 (11.2%)
1998602 Jan 1998 (-2.53%), 05 Jan 1998 (5.48%), 02 Mar 1998 (5.44%), 25 Mar 1998 (-3.7%), 27 Mar 1998 (8.26%), 10 Dec 1998 (5.64%)
1997915 Jan 1997 (-3.68%), 16 Jan 1997 (7.67%), 25 Jun 1997 (-3.37%), 26 Jun 1997 (6.86%), 09 Jul 1997 (-4.11%), 10 Jul 1997 (8.08%), 05 Aug 1997 (-3.72%), 07 Aug 1997 (-3.46%), 08 Aug 1997 (7.0%)



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