Study: Sell PIRHEALTH when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell PIRHEALTH 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 PIRHEALTH 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
141386.181513286.673532.9410088.56-2271.01-2667.651.5610.110.422759.08
213535.941510566.673184.919463.45-3662.63-7703.40.871.740.11902.4
341488.131511473.335545.9423215.84-4879.31-13614.831.143.130.182765.88
462033.2315123807069.1429901.02-7598.82-16436.660.933.720.224135.55
533817.69158753.337834.5322833.83-4122.65-13429.451.92.170.132254.51
624384.03157846.679104.3225247.44-4918.28-15839.341.851.620.0861625.6
7-15372.99157846.676345.0513439.83-7473.54-14150.360.850.74-0.061-1024.87
8-38086.6158753.335656.5412189.62-11905.56-21535.80.480.54-0.12-2539.11
9-7486.951596606847.6917485.67-11519.35-25467.110.590.89-0.022-499.13
10-13928.571510566.675592.4112315.18-13970.53-25639.920.40.8-0.041-928.57

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 10.11. Strategy is very good and impressively bearish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 1.38%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
PIRHEALTH Performance, X=1, Profit Factor:10.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2012711 Jan 2012 (-), 03 Feb 2012 (+), 21 Feb 2012 (+), 09 Mar 2012 (+), 15 Jun 2012 (-), 29 Jun 2012 (+), 03 Aug 2012 (+)
2011109 Nov 2011 (+)
2010402 Mar 2010 (+), 07 Apr 2010 (+), 22 Apr 2010 (+), 06 May 2010 (+)
2009307 May 2009 (+), 22 Jun 2009 (+), 23 Sep 2009 (+)

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
nilnil-1141386.181513286.673532.9410088.56-2271.01-2667.651.5610.110.422759.08
atrtrail23.77-17894.263192229.039725.6522127.52-4792.05-10437.292.030.83-0.036-577.23
atrnil25.78-29836.882781929.6314968.7422127.52-7872.99-12062.491.90.8-0.05-1105.07
atrnil311.12-85202.652642215.3821341.5931338.5-7753.14-12062.492.750.5-0.15-3277.02
atrtrail-14.63-53401.733082226.675990.7921330.74-4605.82-6975.321.30.47-0.15-1780.06
atrtrail34.57-54274.433082226.675881.720458.04-4605.82-6975.321.280.46-0.15-1809.15

In the table above, row 1 shows the best exit criterion. Profit factor is 10.11. Strategy is very good and impressively bearish. Percentage of profitable trades is 86.67%, which is excellent. Average return per trade is 1.38%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.