Study: Sell VGUARD when RSI is overbought

home > technical-strategy > vguard > 61

In this study, we evaluate the performance of strategy "Sell VGUARD 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 VGUARD 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
1-71776.7769303943.48324315695.79-4335.04-19223.660.750.58-0.058-1040.24
2-10216869343549.284246.5818360.2-7044.33-41846.450.60.59-0.051-1480.7
3-10195669303943.486072.8222564.82-7285.67-55044.420.830.64-0.042-1477.63
4-12090569333647.837279.4431534.69-10031.3-60723.350.730.67-0.041-1752.25
5-18896069343549.288045.6929992.99-13214.66-56154.820.610.59-0.056-2738.55
6-26039069343549.287847.8828217.71-15063.37-61579.950.520.51-0.069-3773.77
7-25905269323746.389319.4532095.3-15061.47-67290.610.620.54-0.064-3754.38
8-36794769313844.9310002.1334711.52-17842.45-78680.20.560.46-0.079-5332.57
9-42691569313844.938950.7730086.43-18536.56-82138.320.480.39-0.089-6187.18
10-43537569333647.838127.1530813.95-19543.64-67195.430.420.38-0.099-6309.79
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
atrnil24.62-3937581463011620.5514626.521991.71-7177.18-10829.742.040.53-0.091-2696.97
atrnil35.88-4407301412012114.1821420.2732987.57-7182.94-9595.542.980.49-0.092-3125.74
atrtrail23.38-3911461694212724.857761.9721991.71-5646.84-9595.541.370.45-0.1-2314.47
atrtrail33.66-4265641664012624.17064.6723317.96-5628.18-9595.541.260.4-0.12-2569.66
atrtrail-13.92-4533671664012624.16394.628953.61-5628.18-9595.541.140.36-0.13-2731.12

In the table above, row 1 shows the best exit criterion. Profit factor is 0.53. 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.
VGUARD Performance, Profit Factor:0.527

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Mar 2019 (-3.03%), 06 Mar 2019 (-2.92%), 30 May 2019 (-3.38%)
2018520 Apr 2018 (5.0%), 28 Nov 2018 (-2.97%), 12 Dec 2018 (-2.8%), 20 Dec 2018 (-2.69%), 24 Dec 2018 (5.37%)
20171924 Jan 2017 (-3.17%), 25 Jan 2017 (-3.22%), 31 Jan 2017 (-3.28%), 03 Feb 2017 (-3.24%), 06 Feb 2017 (-3.19%), 28 Feb 2017 (-3.02%), 01 Mar 2017 (-3.05%), 06 Mar 2017 (-3.25%), 07 Mar 2017 (-3.4%), 15 Mar 2017 (-3.92%), 10 Apr 2017 (-2.75%), 04 May 2017 (-2.88%), 05 May 2017 (-3.06%), 09 May 2017 (-2.94%), 16 May 2017 (5.78%), 07 Sep 2017 (5.6%), 25 Oct 2017 (-3.21%), 27 Oct 2017 (-3.45%), 01 Nov 2017 (-3.47%)
20162105 Apr 2016 (-2.6%), 07 Apr 2016 (-2.88%), 11 Apr 2016 (-3.02%), 25 Apr 2016 (-3.02%), 05 May 2016 (-3.6%), 06 May 2016 (7.86%), 11 May 2016 (-4.35%), 26 May 2016 (-3.39%), 01 Jun 2016 (-3.6%), 03 Jun 2016 (7.28%), 17 Jun 2016 (-4.08%), 25 Jul 2016 (-2.73%), 26 Jul 2016 (-2.91%), 27 Jul 2016 (-2.95%), 01 Aug 2016 (-3.22%), 02 Aug 2016 (-3.25%), 19 Aug 2016 (-3.1%), 30 Aug 2016 (-3.42%), 31 Aug 2016 (6.84%), 25 Oct 2016 (-3.49%), 26 Oct 2016 (7.54%)
2015310 Apr 2015 (7.0%), 05 Aug 2015 (-2.55%), 07 Aug 2015 (5.02%)
20141816 Apr 2014 (-2.51%), 17 Apr 2014 (-2.77%), 21 Apr 2014 (5.58%), 14 May 2014 (-3.49%), 19 May 2014 (-3.55%), 20 May 2014 (7.62%), 03 Jul 2014 (8.04%), 18 Jul 2014 (-4.52%), 24 Jul 2014 (-4.46%), 31 Jul 2014 (-4.75%), 10 Sep 2014 (-3.36%), 11 Sep 2014 (-3.32%), 12 Sep 2014 (-3.27%), 19 Sep 2014 (-3.77%), 17 Nov 2014 (-3.48%), 21 Nov 2014 (-3.4%), 24 Nov 2014 (-3.5%), 26 Nov 2014 (7.38%)
2013308 May 2013 (-3.27%), 09 May 2013 (6.75%), 06 Aug 2013 (7.28%)
20122524 Jan 2012 (-3.69%), 01 Feb 2012 (-3.43%), 06 Feb 2012 (-3.29%), 07 Feb 2012 (-3.53%), 16 Feb 2012 (6.54%), 30 May 2012 (-3.27%), 31 May 2012 (-3.35%), 11 Jun 2012 (-3.08%), 13 Jun 2012 (-3.37%), 14 Jun 2012 (-3.34%), 04 Jul 2012 (-3.44%), 09 Jul 2012 (-3.4%), 10 Jul 2012 (-3.39%), 11 Jul 2012 (-3.38%), 12 Jul 2012 (-4.69%), 13 Jul 2012 (-4.79%), 06 Aug 2012 (-4.01%), 07 Aug 2012 (-4.32%), 08 Aug 2012 (-4.53%), 14 Aug 2012 (-4.38%), 16 Aug 2012 (8.56%), 08 Nov 2012 (-3.74%), 09 Nov 2012 (-3.86%), 26 Nov 2012 (-3.97%), 05 Dec 2012 (7.1%)
2011704 Apr 2011 (-3.56%), 05 Apr 2011 (-3.65%), 11 Apr 2011 (-3.5%), 19 Apr 2011 (7.07%), 31 May 2011 (-4.17%), 02 Jun 2011 (-4.21%), 09 Jun 2011 (7.8%)
20102315 Jan 2010 (7.77%), 01 Apr 2010 (-3.38%), 05 Apr 2010 (-3.36%), 06 Apr 2010 (7.18%), 27 Apr 2010 (7.42%), 06 Jul 2010 (-3.24%), 13 Jul 2010 (6.12%), 22 Jul 2010 (-3.32%), 23 Jul 2010 (-3.37%), 28 Jul 2010 (-3.88%), 29 Jul 2010 (-3.96%), 30 Jul 2010 (-4.22%), 02 Aug 2010 (-4.15%), 03 Aug 2010 (-4.17%), 16 Aug 2010 (-4.15%), 19 Aug 2010 (-3.81%), 06 Sep 2010 (-3.45%), 07 Sep 2010 (-3.43%), 08 Sep 2010 (-3.48%), 09 Sep 2010 (-3.39%), 14 Sep 2010 (-4.09%), 15 Sep 2010 (8.35%), 10 Nov 2010 (-3.15%)
20091808 Apr 2009 (-3.93%), 09 Apr 2009 (-3.88%), 23 Apr 2009 (-4.23%), 05 May 2009 (-4.39%), 19 May 2009 (-3.82%), 20 May 2009 (-3.88%), 21 May 2009 (-4.4%), 22 May 2009 (-4.59%), 26 May 2009 (-4.8%), 29 May 2009 (-4.58%), 01 Jun 2009 (-4.58%), 03 Jun 2009 (9.47%), 09 Jun 2009 (-5.41%), 11 Jun 2009 (11.0%), 26 Aug 2009 (-4.48%), 27 Aug 2009 (9.06%), 11 Dec 2009 (-4.05%), 14 Dec 2009 (-4.09%)
2008127 Aug 2008 (10.01%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play