Study: Sell UNIONBANK when RSI is overbought

home > technical-strategy > unionbank > 61

In this study, we evaluate the performance of strategy "Sell UNIONBANK 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 UNIONBANK 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
1-67465.8161293247.543678.388174.03-5441.84-22051.980.680.61-0.044-1106
2-96073.1161283345.94882.6915708.72-7054.19-36154.370.690.59-0.044-1574.97
3-62962.8961303149.186849.7516899.47-8659.85-26320.110.790.77-0.025-1032.18
423170.6561303149.189405.6341172.43-8354.78-35129.961.131.090.0078379.85
5-4474.7661342755.749748.5538882.53-12441.69-50013.680.780.99-0.0012-73.36
6-47619.5761342755.7410164.8244149.3-14563.83-60606.060.70.88-0.011-780.65
7-14410161332854.110003.6334256.93-16936.45-51282.050.590.7-0.033-2362.3
8-12037661313050.8211289.3139706.89-15678.16-50812.660.720.74-0.027-1973.38
9-19272161273444.2611087.4237462.79-14472.98-59709.150.770.61-0.044-3159.36
10-12688161263542.6212099.1546347.61-12613.11-52694.610.960.71-0.03-2080.01
Although, strategy looks good but profit factor on day 2 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
atrnil35.6-30856.351323110123.4826180.3341066.08-8341.05-16441.673.140.96-0.0038-233.76
atrtrail33.58-61944.58152539934.8711452.3841066.08-6756.77-14308.651.690.91-0.0091-407.53
atrtrail23.23-94776.28152539934.8710832.9127377.38-6756.77-14308.651.60.86-0.016-623.53
atrnil24.37-160191133379627.8217341.3427377.38-8352.3-16441.672.080.8-0.025-1204.44
atrtrail-13.97-169295149519834.239593.6438966.74-6720.11-14308.651.430.74-0.028-1136.21

In the table above, row 1 shows the best exit criterion. Profit factor is 0.96. 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 23.48%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
UNIONBANK Performance, Profit Factor:0.963

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019601 Jan 2019 (-3.55%), 04 Jan 2019 (-3.41%), 08 Jan 2019 (10.79%), 19 Mar 2019 (-3.77%), 26 Mar 2019 (-3.68%), 28 Mar 2019 (10.71%)
2017603 Feb 2017 (11.52%), 03 May 2017 (-3.43%), 04 May 2017 (-3.5%), 05 May 2017 (12.53%), 25 Oct 2017 (-3.85%), 26 Oct 2017 (12.7%)
2016108 Sep 2016 (10.07%)
2015304 Aug 2015 (-4.65%), 05 Aug 2015 (-4.66%), 06 Aug 2015 (14.0%)
20141328 Mar 2014 (-2.98%), 31 Mar 2014 (-3.02%), 02 Apr 2014 (-3.38%), 09 Apr 2014 (-3.77%), 10 Apr 2014 (-3.9%), 11 Apr 2014 (12.06%), 16 May 2014 (-5.87%), 19 May 2014 (-5.69%), 20 May 2014 (-5.65%), 23 May 2014 (15.84%), 26 May 2014 (-6.88%), 04 Jun 2014 (-6.18%), 06 Jun 2014 (17.38%)
20121331 Jan 2012 (-4.95%), 02 Feb 2012 (-4.98%), 06 Feb 2012 (-5.12%), 09 Feb 2012 (-4.83%), 21 Feb 2012 (12.28%), 18 Sep 2012 (-3.45%), 20 Sep 2012 (-4.56%), 24 Sep 2012 (-4.32%), 25 Sep 2012 (-4.46%), 28 Sep 2012 (-4.05%), 08 Nov 2012 (-4.38%), 10 Dec 2012 (-3.6%), 17 Dec 2012 (-3.75%)
20101105 Mar 2010 (-3.05%), 25 Mar 2010 (-3.17%), 30 Mar 2010 (-3.15%), 05 Apr 2010 (-3.05%), 21 Apr 2010 (-2.75%), 29 Apr 2010 (7.45%), 17 Aug 2010 (6.88%), 18 Aug 2010 (-2.77%), 19 Aug 2010 (8.55%), 20 Sep 2010 (-3.27%), 04 Oct 2010 (-2.87%)
2009915 Apr 2009 (-7.09%), 18 May 2009 (-7.15%), 19 May 2009 (-7.59%), 03 Jun 2009 (-8.22%), 12 Jun 2009 (-7.29%), 29 Jun 2009 (-5.74%), 16 Sep 2009 (-3.33%), 15 Oct 2009 (-3.17%), 16 Oct 2009 (9.79%)
2008302 Jan 2008 (-4.91%), 04 Jan 2008 (15.87%), 18 Dec 2008 (20.37%)
2007714 May 2007 (-4.25%), 18 May 2007 (-3.92%), 09 Jul 2007 (-4.19%), 16 Jul 2007 (-4.52%), 26 Jul 2007 (15.25%), 01 Oct 2007 (15.1%), 12 Dec 2007 (-5.8%)
2006309 Aug 2006 (-4.43%), 10 Aug 2006 (-4.5%), 28 Sep 2006 (11.54%)
2005425 Jul 2005 (-3.02%), 26 Jul 2005 (-3.14%), 29 Jul 2005 (-3.49%), 01 Aug 2005 (10.79%)
20042601 Jan 2004 (-3.15%), 05 Jan 2004 (-3.09%), 12 Jan 2004 (-3.46%), 13 Jan 2004 (-3.39%), 14 Jan 2004 (10.03%), 05 Apr 2004 (-4.44%), 08 Apr 2004 (-5.02%), 13 Apr 2004 (-5.07%), 15 Apr 2004 (-5.11%), 16 Apr 2004 (-5.02%), 19 Apr 2004 (-4.84%), 22 Apr 2004 (16.28%), 04 May 2004 (20.53%), 06 Sep 2004 (-3.79%), 17 Sep 2004 (-3.51%), 22 Sep 2004 (-3.56%), 05 Oct 2004 (-3.32%), 05 Nov 2004 (-3.5%), 17 Nov 2004 (-3.63%), 24 Nov 2004 (-4.31%), 25 Nov 2004 (14.31%), 29 Nov 2004 (-5.71%), 01 Dec 2004 (-5.44%), 02 Dec 2004 (-5.33%), 22 Dec 2004 (-3.97%), 23 Dec 2004 (12.11%)
20031913 Jan 2003 (-3.69%), 15 Jan 2003 (-3.58%), 17 Jan 2003 (-3.6%), 20 Jan 2003 (-3.82%), 21 Jan 2003 (-3.9%), 22 Jan 2003 (13.63%), 05 May 2003 (-4.46%), 13 May 2003 (-4.49%), 26 May 2003 (-4.29%), 27 May 2003 (-4.4%), 29 May 2003 (13.26%), 03 Jun 2003 (16.48%), 30 Jul 2003 (-4.36%), 31 Jul 2003 (-4.55%), 27 Aug 2003 (15.31%), 16 Oct 2003 (-3.96%), 20 Oct 2003 (12.39%), 22 Dec 2003 (-2.94%), 26 Dec 2003 (-3.19%)
2002809 Dec 2002 (-2.46%), 11 Dec 2002 (-2.55%), 12 Dec 2002 (-2.57%), 13 Dec 2002 (-2.6%), 16 Dec 2002 (-2.86%), 17 Dec 2002 (-2.99%), 18 Dec 2002 (-3.04%), 24 Dec 2002 (-4.16%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play