Study: Sell TVSMOTOR when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell TVSMOTOR 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 TVSMOTOR 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
1-73957.4995455047.373313.1121359.22-4460.95-21120.640.740.67-0.032-778.5
2-63356.7495474849.474929.0825597.75-6146.32-22249.810.80.79-0.021-666.91
3-13349095435245.266474.0831364.28-7920.68-30596.370.820.68-0.033-1405.16
4-32296195395641.056453.4124191.28-10261.51-43965.520.630.44-0.067-3399.59
5-29065295405542.117596.3923909.99-10809.23-46947.080.70.51-0.057-3059.5
6-39262395405542.116652.1122464.9-11976.5-48575.310.560.4-0.072-4132.88
7-48671995395641.058408.1733229.33-14547.09-732930.580.4-0.071-5123.36
8-48685395395641.0510793.8746645.87-16210.96-77178.420.670.46-0.061-5124.77
9-54813495365937.8910803.8646645.87-15882.59-62225.530.680.42-0.071-5769.83
10-60326995365937.8910628.9454134.17-16710.35-75055.310.640.39-0.073-6350.2
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
atrnil24.55-2002262056114429.7616680.629695.29-8456.55-18579.431.970.84-0.019-976.71
atrtrail23.53-2196402227314932.8810455.4429695.29-6596.56-18579.431.580.78-0.023-989.37
atrnil36.73-477643200361641824867.2444542.94-8371.12-18579.432.970.65-0.041-2388.21
atrtrail33.97-4385982216815330.778129.7338064.59-6479.86-18579.431.250.56-0.051-1984.6
atrtrail-14.19-5473022216715430.326701.5241563.06-6469.5-18579.431.040.45-0.072-2476.48

In the table above, row 1 shows the best exit criterion. Profit factor is 0.84. 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 29.76%, which is not acceptable. Avoid this strategy. Average return per trade is -0.49%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TVSMOTOR Performance, Profit Factor:0.836

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
20172216 Feb 2017 (-2.58%), 21 Feb 2017 (-2.36%), 27 Feb 2017 (4.78%), 07 Apr 2017 (-2.28%), 18 Apr 2017 (-2.23%), 20 Apr 2017 (-2.27%), 21 Apr 2017 (-2.51%), 26 Apr 2017 (-2.34%), 27 Apr 2017 (-2.68%), 12 May 2017 (-2.42%), 16 May 2017 (-2.33%), 25 May 2017 (-2.25%), 13 Jun 2017 (4.53%), 07 Jul 2017 (-2.06%), 01 Aug 2017 (-2.04%), 15 Sep 2017 (-2.21%), 19 Sep 2017 (4.25%), 09 Oct 2017 (-2.29%), 12 Oct 2017 (-2.1%), 26 Oct 2017 (4.0%), 27 Nov 2017 (4.29%), 19 Dec 2017 (4.35%)
20161322 Mar 2016 (-2.99%), 01 Apr 2016 (-2.92%), 18 Apr 2016 (5.27%), 01 Jul 2016 (4.9%), 30 Aug 2016 (-2.47%), 02 Sep 2016 (-2.48%), 08 Sep 2016 (4.9%), 30 Sep 2016 (-3.14%), 03 Oct 2016 (-3.14%), 10 Oct 2016 (-2.89%), 18 Oct 2016 (-2.74%), 25 Oct 2016 (-2.48%), 27 Oct 2016 (5.85%)
2015908 Jan 2015 (-4.02%), 13 Jan 2015 (-3.88%), 16 Jan 2015 (7.23%), 06 Jul 2015 (6.47%), 21 Oct 2015 (-2.89%), 27 Oct 2015 (-3.61%), 03 Nov 2015 (-3.72%), 10 Nov 2015 (-3.7%), 30 Nov 2015 (5.81%)
20142103 Jan 2014 (9.56%), 04 Feb 2014 (-4.99%), 19 Mar 2014 (-3.33%), 20 Mar 2014 (-3.6%), 21 Mar 2014 (-3.8%), 22 Mar 2014 (7.47%), 06 May 2014 (-3.82%), 09 May 2014 (-4.08%), 12 May 2014 (8.47%), 22 May 2014 (-4.76%), 23 May 2014 (9.59%), 28 May 2014 (-5.6%), 18 Jun 2014 (-4.81%), 20 Jun 2014 (-4.74%), 26 Jun 2014 (-4.37%), 27 Jun 2014 (-4.48%), 02 Jul 2014 (8.45%), 02 Sep 2014 (-4.15%), 04 Sep 2014 (9.15%), 20 Oct 2014 (-3.88%), 21 Oct 2014 (7.7%)
20131604 Jan 2013 (-4.14%), 07 Jan 2013 (-4.12%), 10 Jan 2013 (8.14%), 30 Sep 2013 (-4.08%), 01 Oct 2013 (-4.18%), 04 Oct 2013 (-4.52%), 07 Oct 2013 (-4.68%), 10 Oct 2013 (-4.63%), 21 Oct 2013 (-4.53%), 22 Oct 2013 (8.95%), 18 Dec 2013 (-3.26%), 19 Dec 2013 (-3.39%), 20 Dec 2013 (-3.44%), 23 Dec 2013 (-3.39%), 27 Dec 2013 (-3.66%), 30 Dec 2013 (-4.1%)
2012709 Jul 2012 (-3.83%), 11 Jul 2012 (7.62%), 20 Sep 2012 (-3.87%), 21 Sep 2012 (-3.94%), 25 Sep 2012 (-4.15%), 01 Oct 2012 (-4.24%), 04 Oct 2012 (8.07%)
2011405 Sep 2011 (-4.76%), 15 Sep 2011 (9.08%), 21 Oct 2011 (-4.2%), 28 Oct 2011 (7.51%)
20101304 Jan 2010 (-4.4%), 11 Jan 2010 (-4.52%), 13 Jan 2010 (9.53%), 09 Apr 2010 (7.95%), 27 Apr 2010 (-4.22%), 03 May 2010 (-4.17%), 05 May 2010 (8.61%), 30 Jun 2010 (9.28%), 21 Jul 2010 (-4.47%), 22 Jul 2010 (-4.36%), 30 Jul 2010 (-4.02%), 23 Aug 2010 (-3.43%), 08 Sep 2010 (7.7%)
20091209 Apr 2009 (-6.4%), 13 Apr 2009 (-6.97%), 20 Apr 2009 (-6.98%), 21 Apr 2009 (-6.85%), 23 Apr 2009 (-7.29%), 08 May 2009 (13.88%), 18 May 2009 (-7.78%), 19 May 2009 (-8.92%), 22 May 2009 (-8.74%), 05 Jun 2009 (14.85%), 29 Jul 2009 (12.69%), 30 Dec 2009 (-3.75%)
2007528 May 2007 (8.8%), 31 Aug 2007 (-4.46%), 10 Sep 2007 (-4.69%), 13 Sep 2007 (9.97%), 19 Nov 2007 (9.34%)
20061616 Jan 2006 (-3.14%), 23 Jan 2006 (-3.52%), 31 Jan 2006 (-3.67%), 03 Feb 2006 (7.6%), 16 Feb 2006 (-3.97%), 06 Mar 2006 (-4.04%), 30 Mar 2006 (-3.7%), 31 Mar 2006 (-3.89%), 03 Apr 2006 (-4.09%), 05 Apr 2006 (-4.54%), 07 Apr 2006 (11.51%), 04 Sep 2006 (-3.96%), 05 Sep 2006 (-3.99%), 07 Sep 2006 (8.22%), 28 Sep 2006 (-4.42%), 03 Oct 2006 (8.39%)
2005601 Jun 2005 (-2.88%), 06 Jun 2005 (6.28%), 09 Sep 2005 (8.51%), 21 Sep 2005 (-5.24%), 03 Oct 2005 (-4.78%), 04 Oct 2005 (9.56%)
2004204 Aug 2004 (9.41%), 29 Nov 2004 (8.67%)
20032716 Jan 2003 (-2.68%), 17 Jan 2003 (5.77%), 12 May 2003 (6.92%), 23 May 2003 (-3.23%), 26 May 2003 (-3.19%), 28 May 2003 (-3.28%), 29 May 2003 (-3.34%), 30 May 2003 (-3.57%), 18 Jun 2003 (-3.29%), 30 Jun 2003 (7.11%), 04 Aug 2003 (-4.16%), 05 Aug 2003 (8.14%), 07 Aug 2003 (-4.36%), 20 Aug 2003 (-4.61%), 27 Aug 2003 (8.94%), 02 Sep 2003 (-5.0%), 05 Sep 2003 (-4.93%), 08 Sep 2003 (-5.08%), 09 Sep 2003 (-4.87%), 16 Sep 2003 (9.34%), 26 Sep 2003 (-4.63%), 03 Oct 2003 (-4.45%), 06 Oct 2003 (-4.42%), 20 Oct 2003 (7.78%), 25 Nov 2003 (-4.49%), 15 Dec 2003 (-4.52%), 18 Dec 2003 (9.38%)
20022404 Jan 2002 (-5.53%), 07 Jan 2002 (-5.44%), 11 Jan 2002 (-4.96%), 14 Jan 2002 (-4.85%), 15 Jan 2002 (-5.05%), 17 Jan 2002 (-4.74%), 18 Jan 2002 (-4.95%), 29 Jan 2002 (-5.26%), 04 Feb 2002 (-4.94%), 06 Feb 2002 (-5.17%), 07 Feb 2002 (-5.54%), 11 Feb 2002 (-5.78%), 20 Feb 2002 (-5.17%), 22 Feb 2002 (10.15%), 21 Mar 2002 (-5.05%), 25 Apr 2002 (-4.71%), 26 Apr 2002 (10.19%), 01 Jul 2002 (-5.63%), 08 Jul 2002 (11.34%), 25 Nov 2002 (-3.17%), 27 Nov 2002 (-3.14%), 29 Nov 2002 (-3.07%), 02 Dec 2002 (-3.07%), 05 Dec 2002 (6.55%)
2001822 Oct 2001 (-9.29%), 25 Oct 2001 (-8.61%), 29 Oct 2001 (-8.09%), 01 Nov 2001 (14.82%), 14 Nov 2001 (-7.12%), 19 Nov 2001 (-6.65%), 27 Nov 2001 (12.05%), 28 Nov 2001 (13.16%)



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