Study: Sell ZEEL when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ZEEL 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 ZEEL 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
145741.9490513956.675705.1856988.65-6287.75-23032.630.911.190.011508.24
215819390494154.4411196.28179081-9522.55-42021.51.181.410.0161757.7
397242.2390494154.4412284.79178858-12310.06-47884.9611.190.00911080.47
457815.8590494154.4413889.28178283-15189.24-59156.410.911.090.005642.4
578032.0190533758.8913762.06176687-17604.25-67105.260.781.120.0066867.02
673780.4990523857.7814291.81175015-17615.63-64473.680.811.110.0061819.78
7-12574.0290474352.2215729.68176859-17485.32-63605.530.90.98-0.001-139.71
8-11364490513956.6714380.42176301-21719.12-84363.520.660.87-0.0085-1262.71
9-25043890444648.8916881.05174404-21591.4-87942.490.780.75-0.018-2782.65
10-21792590484253.3316962.58173561-24574.49-96197.550.690.79-0.015-2421.38
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
atrtrail-14.03-56831.832056813733.1712863.69164094-6799.73-16040.051.890.94-0.0035-277.23
atrtrail23-74339.772076913833.3312641.2229811-6859.3-16040.051.840.92-0.0069-359.13
atrnil24.14-1170451895913031.2217007.429811-8619.09-16040.051.970.9-0.01-619.29
atrtrail33.52-1543382056813733.1711429.7740480.73-6799.73-16040.051.680.83-0.014-752.87
atrnil35.76-3025351833814520.7724859.6437296.91-8601.39-16040.052.890.76-0.024-1653.2

In the table above, row 1 shows the best exit criterion. Profit factor is 0.94. 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 33.17%, which is not acceptable. Avoid this strategy. Average return per trade is -0.14%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ZEEL Performance, Profit Factor:0.939

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019126 Jul 2019 (18.08%)
2018116 Jan 2018 (1.03%)
2017506 Apr 2017 (4.25%), 19 Jul 2017 (-1.14%), 21 Jul 2017 (2.06%), 27 Nov 2017 (-2.54%), 28 Nov 2017 (2.24%)
2016311 May 2016 (0.41%), 01 Aug 2016 (0.97%), 03 Oct 2016 (1.29%)
2015430 Jun 2015 (-1.57%), 06 Jul 2015 (3.0%), 22 Jul 2015 (1.1%), 05 Aug 2015 (0.65%)
2014919 Sep 2014 (1.36%), 22 Oct 2014 (-0.43%), 30 Oct 2014 (-2.21%), 05 Nov 2014 (-3.09%), 07 Nov 2014 (-2.2%), 17 Nov 2014 (-2.91%), 19 Nov 2014 (0.59%), 24 Nov 2014 (-2.91%), 25 Nov 2014 (2.38%)
2013506 May 2013 (-1.13%), 08 May 2013 (-1.2%), 15 May 2013 (0.36%), 21 Oct 2013 (-1.39%), 05 Nov 2013 (1.14%)
20121527 Jan 2012 (-1.0%), 01 Feb 2012 (-3.5%), 15 Feb 2012 (7.02%), 27 Jun 2012 (-1.64%), 29 Jun 2012 (-2.86%), 02 Jul 2012 (1.38%), 23 Jul 2012 (-2.89%), 25 Jul 2012 (-2.35%), 30 Jul 2012 (-3.07%), 31 Jul 2012 (1.1%), 14 Aug 2012 (3.83%), 20 Sep 2012 (1.73%), 28 Sep 2012 (-3.15%), 04 Oct 2012 (4.28%), 24 Dec 2012 (0.94%)
2011327 May 2011 (-1.14%), 02 Jun 2011 (-1.06%), 07 Jun 2011 (4.18%)
2010219 Apr 2010 (-0.86%), 22 Apr 2010 (7.22%)
20091309 Apr 2009 (-6.32%), 15 Apr 2009 (-0.64%), 18 May 2009 (-7.17%), 19 May 2009 (-8.02%), 20 May 2009 (-0.97%), 04 Jun 2009 (8.63%), 26 Aug 2009 (-1.41%), 25 Sep 2009 (-3.27%), 30 Sep 2009 (-4.02%), 05 Oct 2009 (-0.67%), 12 Oct 2009 (-4.05%), 15 Oct 2009 (6.78%), 16 Nov 2009 (-0.5%)
2007309 Feb 2007 (34.46%), 13 Jul 2007 (0.68%), 01 Oct 2007 (4.6%)
20061613 Mar 2006 (-3.66%), 16 Mar 2006 (-4.43%), 17 Mar 2006 (-4.81%), 20 Mar 2006 (-0.68%), 23 Mar 2006 (-2.58%), 30 Mar 2006 (-3.78%), 04 Apr 2006 (-4.41%), 07 Apr 2006 (-0.65%), 02 May 2006 (0.19%), 25 Aug 2006 (-3.48%), 30 Aug 2006 (0.46%), 04 Sep 2006 (0.49%), 18 Sep 2006 (7.16%), 06 Nov 2006 (1.38%), 23 Nov 2006 (-3.52%), 30 Nov 2006 (11.35%)
2005709 May 2005 (-2.01%), 13 May 2005 (7.24%), 04 Jul 2005 (-4.02%), 05 Jul 2005 (-4.07%), 06 Jul 2005 (-0.02%), 11 Jul 2005 (-1.2%), 01 Sep 2005 (2.88%)
2004426 Jul 2004 (4.87%), 23 Aug 2004 (-1.77%), 30 Aug 2004 (0.58%), 06 Sep 2004 (7.13%)
2003905 May 2003 (7.22%), 02 Jun 2003 (5.2%), 11 Jul 2003 (-4.08%), 14 Jul 2003 (2.14%), 23 Jul 2003 (-1.8%), 01 Oct 2003 (-4.59%), 03 Oct 2003 (-0.61%), 16 Oct 2003 (-4.79%), 20 Oct 2003 (-0.37%)
2002218 Feb 2002 (1.02%), 18 Mar 2002 (5.79%)
2001821 Nov 2001 (-5.53%), 22 Nov 2001 (-5.59%), 23 Nov 2001 (-5.6%), 26 Nov 2001 (-5.38%), 27 Nov 2001 (3.53%), 03 Dec 2001 (-6.3%), 05 Dec 2001 (-0.73%), 11 Dec 2001 (25.63%)
19994801 Mar 1999 (-4.64%), 03 Mar 1999 (-4.7%), 04 Mar 1999 (-3.03%), 11 Mar 1999 (-4.51%), 12 Mar 1999 (-4.47%), 15 Mar 1999 (-1.81%), 17 Mar 1999 (5.44%), 30 Apr 1999 (-5.75%), 03 May 1999 (-5.49%), 04 May 1999 (-3.4%), 07 May 1999 (-5.15%), 10 May 1999 (-1.4%), 14 May 1999 (-5.75%), 18 May 1999 (-5.36%), 19 May 1999 (-3.17%), 21 May 1999 (5.44%), 13 Jul 1999 (-3.94%), 14 Jul 1999 (-1.64%), 19 Jul 1999 (-3.89%), 20 Jul 1999 (-4.16%), 21 Jul 1999 (-4.1%), 22 Jul 1999 (-4.33%), 26 Jul 1999 (0.96%), 02 Aug 1999 (-4.39%), 04 Aug 1999 (1.79%), 10 Aug 1999 (-4.48%), 11 Aug 1999 (-1.83%), 16 Aug 1999 (-4.31%), 18 Aug 1999 (-3.11%), 23 Aug 1999 (-1.14%), 26 Aug 1999 (-4.44%), 27 Aug 1999 (-4.42%), 30 Aug 1999 (5.07%), 09 Sep 1999 (-4.47%), 14 Sep 1999 (-4.25%), 15 Sep 1999 (-4.31%), 16 Sep 1999 (-3.9%), 20 Sep 1999 (-4.33%), 21 Sep 1999 (-4.3%), 22 Sep 1999 (-4.23%), 23 Sep 1999 (-4.19%), 24 Sep 1999 (-4.37%), 27 Sep 1999 (8.82%), 07 Oct 1999 (-5.18%), 08 Oct 1999 (4.34%), 23 Oct 1999 (21.89%), 29 Nov 1999 (-5.26%), 30 Nov 1999 (82.05%)
19983208 Jan 1998 (-4.23%), 09 Jan 1998 (-4.83%), 19 Feb 1998 (-4.28%), 24 Feb 1998 (-4.02%), 25 Feb 1998 (-4.05%), 26 Feb 1998 (7.42%), 04 Mar 1998 (-3.0%), 18 Mar 1998 (-4.35%), 19 Mar 1998 (-3.26%), 23 Mar 1998 (-0.59%), 25 Mar 1998 (-4.82%), 26 Mar 1998 (-4.84%), 27 Mar 1998 (-4.23%), 01 Apr 1998 (-0.32%), 06 Apr 1998 (-0.28%), 09 Apr 1998 (-1.06%), 15 Apr 1998 (-5.22%), 16 Apr 1998 (-5.09%), 17 Apr 1998 (-4.3%), 22 Apr 1998 (-4.2%), 23 Apr 1998 (-4.2%), 29 Apr 1998 (-2.57%), 05 May 1998 (-5.65%), 06 May 1998 (10.95%), 20 May 1998 (-6.04%), 21 May 1998 (-6.11%), 25 May 1998 (1.2%), 17 Jul 1998 (-5.62%), 20 Jul 1998 (4.89%), 15 Sep 1998 (-2.83%), 21 Sep 1998 (-2.61%), 28 Sep 1998 (13.61%)
19971103 Mar 1997 (-3.13%), 05 Mar 1997 (-3.19%), 06 Mar 1997 (9.75%), 07 May 1997 (-3.59%), 08 May 1997 (-3.62%), 09 May 1997 (-3.64%), 14 May 1997 (-3.41%), 15 May 1997 (-4.06%), 20 May 1997 (-4.18%), 21 May 1997 (8.66%), 22 Oct 1997 (9.49%)
1996412 Feb 1996 (-2.95%), 14 Feb 1996 (6.69%), 05 Sep 1996 (2.22%), 01 Oct 1996 (4.69%)



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