Study: Sell YESBANK when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell YESBANK 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 YESBANK 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
1-66416.9273314242.472792.6613618.54-3642.61-19952.110.770.57-0.05-909.82
2-63895.8873363749.324819.5422745.1-6416.2-50760.360.750.73-0.024-875.29
3-30298.2873393453.425800.8917569.38-7545.08-74777.140.770.88-0.0097-415.04
4-99034.7273353847.956253.8917921.83-8366.33-80964.870.750.69-0.028-1356.64
5-12483273383552.055921.8923087.07-9996.1-60828.530.590.64-0.037-1710.02
6-17954273334045.216149.7421833.77-9562.08-62926.060.640.53-0.049-2459.48
7-22063373343946.586349.3722691.29-11192.62-67435.760.570.49-0.059-3022.38
8-23143173343946.586634.3524472.3-11717.93-53592.030.570.49-0.066-3170.29
9-26712273304341.18825.2530343.01-12369.29-66072.360.710.5-0.066-3659.2
10-24884773324143.848588.2432321.9-12772.44-61982.170.670.52-0.061-3408.86
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
atrtrail33.75-1575601635011330.678499.0830182.67-5155-15305.711.650.73-0.031-966.63
atrtrail23.47-1821191635011330.678007.927039.95-5155-15305.711.550.69-0.039-1117.3
atrnil25.04-2496751493711224.8313136.827039.95-6569.07-16673.7320.66-0.048-1675.67
atrnil36.63-3228241472612117.6918634.7730182.67-6672.13-16673.732.790.6-0.056-2196.08
atrtrail-14.09-2731931624911330.256238.9827184.62-5123.03-15305.711.220.53-0.067-1686.37

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.
YESBANK Performance, Profit Factor:0.73

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019601 Mar 2019 (-1.96%), 13 Mar 2019 (-4.05%), 22 Mar 2019 (-1.37%), 27 Mar 2019 (-3.45%), 29 Mar 2019 (-3.33%), 03 Apr 2019 (1.58%)
20181009 Jan 2018 (-0.51%), 19 Jan 2018 (-2.84%), 23 Jan 2018 (-0.94%), 26 Apr 2018 (-3.23%), 30 Apr 2018 (1.72%), 09 Jul 2018 (-2.47%), 10 Jul 2018 (-2.49%), 12 Jul 2018 (-2.49%), 17 Jul 2018 (-2.56%), 19 Jul 2018 (7.76%)
20171611 Jan 2017 (-2.45%), 18 Jan 2017 (-2.27%), 20 Jan 2017 (-2.22%), 23 Jan 2017 (-2.19%), 24 Jan 2017 (-2.42%), 25 Jan 2017 (-0.88%), 13 Feb 2017 (-0.36%), 14 Mar 2017 (2.06%), 10 Apr 2017 (-1.8%), 12 Apr 2017 (5.31%), 13 Jul 2017 (-0.01%), 25 Jul 2017 (-2.02%), 26 Jul 2017 (-2.27%), 27 Jul 2017 (-2.36%), 28 Jul 2017 (7.5%), 20 Sep 2017 (5.68%)
20162921 Mar 2016 (-2.97%), 28 Mar 2016 (-2.9%), 30 Mar 2016 (1.57%), 18 Apr 2016 (-0.36%), 26 Apr 2016 (-2.4%), 28 Apr 2016 (1.39%), 11 May 2016 (-1.76%), 16 May 2016 (-1.06%), 25 May 2016 (-2.2%), 26 May 2016 (-2.2%), 31 May 2016 (-0.73%), 02 Jun 2016 (-2.27%), 07 Jun 2016 (0.26%), 10 Jun 2016 (-1.84%), 23 Jun 2016 (5.99%), 01 Jul 2016 (-0.6%), 12 Jul 2016 (-1.41%), 14 Jul 2016 (-0.47%), 26 Jul 2016 (-2.06%), 28 Jul 2016 (-1.58%), 02 Aug 2016 (-2.12%), 05 Aug 2016 (-1.54%), 12 Aug 2016 (-2.05%), 18 Aug 2016 (-1.93%), 22 Aug 2016 (-0.46%), 30 Aug 2016 (-1.78%), 31 Aug 2016 (-1.71%), 02 Sep 2016 (-1.81%), 06 Sep 2016 (5.76%)
2015302 Jan 2015 (1.82%), 20 Jan 2015 (-2.02%), 23 Jan 2015 (8.26%)
20141907 Mar 2014 (-3.11%), 10 Mar 2014 (1.13%), 26 Mar 2014 (-1.3%), 28 Mar 2014 (-3.2%), 01 Apr 2014 (-3.17%), 04 Apr 2014 (-3.16%), 09 Apr 2014 (9.3%), 25 Apr 2014 (3.67%), 12 May 2014 (-3.73%), 13 May 2014 (-3.87%), 16 May 2014 (-4.31%), 19 May 2014 (1.16%), 22 May 2014 (-4.38%), 03 Sep 2014 (-0.55%), 30 Oct 2014 (-2.7%), 31 Oct 2014 (-0.52%), 12 Nov 2014 (1.16%), 03 Dec 2014 (-2.62%), 04 Dec 2014 (7.97%)
2013702 Jan 2013 (-2.23%), 07 Jan 2013 (-2.13%), 09 Jan 2013 (-2.05%), 10 Jan 2013 (1.12%), 15 Jan 2013 (-2.38%), 25 Apr 2013 (-1.33%), 16 May 2013 (7.74%)
20121523 Jan 2012 (-3.4%), 24 Jan 2012 (-3.6%), 25 Jan 2012 (1.38%), 31 Jan 2012 (-3.76%), 03 Feb 2012 (-0.38%), 09 Feb 2012 (-3.75%), 14 Feb 2012 (-3.56%), 15 Feb 2012 (10.71%), 17 Sep 2012 (0.91%), 01 Oct 2012 (-2.73%), 04 Oct 2012 (0.39%), 29 Nov 2012 (-2.23%), 05 Dec 2012 (-2.31%), 06 Dec 2012 (1.82%), 18 Dec 2012 (-0.54%)
2011429 Mar 2011 (-3.16%), 30 Mar 2011 (0.18%), 07 Apr 2011 (0.41%), 06 Jul 2011 (0.46%)
2010629 Apr 2010 (9.22%), 17 Aug 2010 (-3.04%), 19 Aug 2010 (9.03%), 28 Sep 2010 (-2.35%), 01 Oct 2010 (0.78%), 26 Oct 2010 (2.22%)
20091809 Apr 2009 (-6.78%), 13 Apr 2009 (-7.12%), 15 Apr 2009 (0.64%), 20 Apr 2009 (-7.65%), 21 Apr 2009 (-7.56%), 14 May 2009 (-7.34%), 18 May 2009 (-6.99%), 19 May 2009 (-0.38%), 03 Jun 2009 (-0.81%), 29 Jun 2009 (9.89%), 24 Jul 2009 (4.22%), 15 Sep 2009 (-3.79%), 17 Sep 2009 (-1.38%), 30 Sep 2009 (2.74%), 14 Oct 2009 (-4.06%), 15 Oct 2009 (-4.07%), 20 Oct 2009 (-0.39%), 23 Oct 2009 (12.92%)
2007915 Jan 2007 (-4.06%), 16 Jan 2007 (-0.92%), 17 May 2007 (-3.94%), 18 May 2007 (-0.29%), 29 Jun 2007 (-4.09%), 03 Jul 2007 (-3.86%), 04 Jul 2007 (3.87%), 28 Sep 2007 (12.55%), 11 Dec 2007 (15.09%)
20062016 Jan 2006 (-0.3%), 25 Jan 2006 (-3.59%), 27 Jan 2006 (2.46%), 06 Mar 2006 (0.46%), 20 Mar 2006 (-3.48%), 22 Mar 2006 (-3.49%), 27 Mar 2006 (-3.48%), 28 Mar 2006 (1.92%), 10 Aug 2006 (0.63%), 04 Oct 2006 (-3.37%), 05 Oct 2006 (-2.6%), 17 Oct 2006 (-3.19%), 18 Oct 2006 (-3.42%), 19 Oct 2006 (10.36%), 26 Oct 2006 (-3.17%), 30 Oct 2006 (-2.9%), 01 Nov 2006 (0.83%), 24 Nov 2006 (0.72%), 07 Dec 2006 (-5.16%), 08 Dec 2006 (5.76%)
2005108 Dec 2005 (-0.86%)



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