Study: Sell WOCKPHARMA when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell WOCKPHARMA 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 WOCKPHARMA 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
1-69341.6871373452.114047.7715626.88-6444.39-29708.660.630.68-0.03-976.64
2-12191171353649.34756.4814372.46-8010.78-43589.050.590.58-0.043-1717.06
3-15284271333846.485962.7820657.9-9200.37-67985.90.650.56-0.043-2152.71
4-20788571323945.077556.427658.56-11530.52-67118.460.660.54-0.05-2927.96
5-26218771294240.859400.0329769.29-12733.04-59690.970.740.51-0.054-3692.78
6-21177571353649.39239.6447780.83-14865.62-58118.730.620.6-0.041-2982.75
7-23565771353649.39155.6645430.09-15447.37-45323.940.590.58-0.046-3319.12
8-27672271333846.4810727.148201.86-16597.79-47877.870.650.56-0.052-3897.49
9-52503871314043.6611085.0443781.07-21716.86-97124.820.510.4-0.077-7394.9
10-49994371314043.6610908.0341950.76-20952.31-88048.960.520.4-0.074-7041.46

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.68. This strategy is not profitable and we advice you not to use it.

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
atrnil24.62-2651951524011226.3215998.0529306.26-8081.4-14634.291.980.71-0.038-1744.71
atrtrail23.22-2299331674612127.5411004.4329306.26-6083.77-11042.231.810.69-0.036-1376.84
nilnil-11-69341.6871373452.114047.7715626.88-6444.39-29708.660.630.68-0.03-976.64
atrtrail33.65-3053611654312226.0610003.4530496.2-6028.77-11042.231.660.58-0.049-1850.67
atrtrail-13.9-3238221644212225.619751.3663361.58-6011.3-11042.231.620.56-0.048-1974.52
atrnil36.32-4572861462412216.4422242.8430103.39-8123.89-14653.132.740.54-0.064-3132.1

In the table above, row 1 shows the best exit criterion. Profit factor is 0.71. 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.
WOCKPHARMA Performance, Profit Factor:0.707

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018108 Jan 2018 (7.53%)
2017406 Nov 2017 (-3.36%), 21 Dec 2017 (-3.77%), 27 Dec 2017 (-4.01%), 29 Dec 2017 (-3.98%)
2016120 Jul 2016 (-3.14%)
20151529 Jan 2015 (-3.25%), 02 Feb 2015 (-3.15%), 04 Feb 2015 (-3.67%), 09 Feb 2015 (-4.23%), 10 Feb 2015 (-4.15%), 11 Feb 2015 (-4.15%), 12 Feb 2015 (-4.28%), 16 Feb 2015 (-4.16%), 25 Feb 2015 (-3.79%), 02 Mar 2015 (-4.39%), 10 Mar 2015 (-3.87%), 16 Mar 2015 (-3.6%), 19 Mar 2015 (-3.65%), 07 Apr 2015 (6.63%), 14 Aug 2015 (6.68%)
20141804 Mar 2014 (-3.7%), 02 Apr 2014 (-3.65%), 03 Apr 2014 (-4.14%), 10 Apr 2014 (-4.11%), 11 Apr 2014 (-4.26%), 28 Apr 2014 (-4.72%), 29 Apr 2014 (10.03%), 30 Apr 2014 (-6.05%), 14 May 2014 (10.17%), 25 Jul 2014 (9.03%), 08 Sep 2014 (-4.21%), 09 Sep 2014 (-4.5%), 15 Sep 2014 (8.52%), 02 Dec 2014 (-3.57%), 03 Dec 2014 (-3.55%), 04 Dec 2014 (-3.62%), 05 Dec 2014 (-3.63%), 11 Dec 2014 (7.23%)
2013401 Mar 2013 (-5.37%), 07 Mar 2013 (-4.79%), 12 Mar 2013 (8.39%), 14 Mar 2013 (9.56%)
20122302 Feb 2012 (-4.56%), 03 Feb 2012 (-4.6%), 08 Feb 2012 (-4.32%), 13 Feb 2012 (-4.08%), 14 Feb 2012 (-4.16%), 17 Feb 2012 (-4.36%), 01 Mar 2012 (-4.35%), 12 Mar 2012 (-4.1%), 15 Mar 2012 (-3.91%), 23 Mar 2012 (7.17%), 03 Apr 2012 (-4.11%), 09 Apr 2012 (-3.9%), 19 Apr 2012 (-4.08%), 25 Apr 2012 (7.53%), 23 May 2012 (-4.72%), 05 Jun 2012 (-4.59%), 27 Jun 2012 (-3.47%), 02 Aug 2012 (-3.38%), 06 Aug 2012 (-3.69%), 08 Aug 2012 (-3.69%), 10 Aug 2012 (-3.73%), 14 Aug 2012 (-3.66%), 17 Aug 2012 (6.76%)
2011505 Jul 2011 (-3.86%), 12 Jul 2011 (-4.03%), 26 Jul 2011 (-3.66%), 28 Jul 2011 (-3.78%), 01 Aug 2011 (7.47%)
20101603 Aug 2010 (-3.89%), 05 Aug 2010 (-4.24%), 16 Aug 2010 (-4.82%), 19 Aug 2010 (-5.13%), 20 Aug 2010 (-5.12%), 23 Aug 2010 (10.62%), 06 Sep 2010 (-5.52%), 07 Sep 2010 (-5.52%), 21 Sep 2010 (-5.29%), 30 Sep 2010 (-4.95%), 01 Oct 2010 (-4.86%), 04 Oct 2010 (-4.68%), 08 Oct 2010 (9.79%), 02 Nov 2010 (-5.03%), 03 Nov 2010 (-5.12%), 08 Nov 2010 (-5.12%)
2009622 Apr 2009 (14.65%), 22 May 2009 (-6.82%), 02 Jun 2009 (-6.68%), 05 Jun 2009 (-7.32%), 24 Aug 2009 (11.01%), 30 Sep 2009 (9.3%)
2007114 Dec 2007 (-3.72%)
2006530 Jan 2006 (-3.41%), 03 Feb 2006 (6.71%), 08 Feb 2006 (-4.42%), 10 Feb 2006 (8.68%), 07 Sep 2006 (6.43%)
2005520 Jul 2005 (-3.36%), 21 Jul 2005 (6.7%), 10 Aug 2005 (8.04%), 12 Aug 2005 (-4.68%), 16 Aug 2005 (9.35%)
2004911 Feb 2004 (-3.96%), 12 Feb 2004 (8.62%), 30 Aug 2004 (-3.4%), 15 Sep 2004 (-3.4%), 20 Sep 2004 (-3.38%), 24 Sep 2004 (-3.63%), 27 Sep 2004 (7.3%), 16 Dec 2004 (-3.0%), 21 Dec 2004 (6.43%)
20032006 Jan 2003 (-2.21%), 07 Jan 2003 (4.63%), 08 Jul 2003 (7.53%), 31 Jul 2003 (-2.88%), 05 Aug 2003 (-3.01%), 06 Aug 2003 (-3.1%), 07 Aug 2003 (-3.32%), 14 Aug 2003 (6.63%), 28 Aug 2003 (-3.69%), 01 Sep 2003 (7.32%), 08 Oct 2003 (-3.67%), 04 Nov 2003 (8.64%), 05 Dec 2003 (-3.46%), 09 Dec 2003 (-3.29%), 10 Dec 2003 (-3.36%), 11 Dec 2003 (-3.94%), 12 Dec 2003 (-3.94%), 15 Dec 2003 (-3.9%), 24 Dec 2003 (-3.49%), 26 Dec 2003 (6.91%)
2002421 Feb 2002 (-3.06%), 22 Feb 2002 (6.15%), 26 Mar 2002 (-2.64%), 02 Apr 2002 (5.17%)
20011030 Jan 2001 (-3.12%), 12 Feb 2001 (5.56%), 27 Aug 2001 (-3.01%), 06 Sep 2001 (-4.12%), 07 Sep 2001 (8.79%), 28 Nov 2001 (-3.15%), 03 Dec 2001 (-3.43%), 05 Dec 2001 (6.89%), 10 Dec 2001 (-4.75%), 12 Dec 2001 (9.44%)
2000508 Nov 2000 (-3.95%), 05 Dec 2000 (-3.54%), 08 Dec 2000 (-3.67%), 12 Dec 2000 (-3.56%), 13 Dec 2000 (-3.56%)



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