Study: Sell OFSS when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell OFSS when below 200 SMA and near 50 SMA and below 50 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell OFSS 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
1-884.8247232448.942224.415292.62-2168.59-5406.141.030.98-0.0017-18.83
257816.147252253.194161.4318578.15-2100.89-6162.371.982.250.0651230.13
346229.947252253.194833.8913273.2-3391.7-10826.541.431.620.044983.61
432058.5247252253.195573.1720937.84-4875.95-15779.131.141.30.023682.1
549230.5347262155.326283.3224645.58-5435.03-12211.181.161.430.0341047.46
642214.0947272057.455927.4221235.25-5891.31-22650.591.011.360.029898.17
720021.1647242351.066176.5715128.38-5574.64-18384.961.111.160.014425.98
88586.9147252253.196463.118399.92-6954.12-27246.040.931.060.005182.7
96683.3547252253.196706.5921477.94-7317.33-18239.150.921.040.004142.2
1019473.0347242351.066542.7321353.69-5980.54-19624.891.091.140.012414.32
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
OFSS Performance, X=2, Profit Factor:2.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019604 Apr 2019 (-0.43%), 23 Apr 2019 (-0.65%), 09 May 2019 (1.22%), 28 May 2019 (0.68%), 12 Jul 2019 (-1.7%), 01 Aug 2019 (-0.71%)
2018527 Jul 2018 (0.93%), 13 Aug 2018 (-2.09%), 04 Sep 2018 (-3.08%), 27 Sep 2018 (-0.59%), 12 Dec 2018 (0.17%)
2017315 Sep 2017 (-1.54%), 11 Oct 2017 (-2.46%), 26 Oct 2017 (-0.08%)
2016808 Mar 2016 (3.39%), 10 May 2016 (-0.5%), 27 May 2016 (0.59%), 15 Jun 2016 (2.17%), 29 Jun 2016 (-0.41%), 29 Aug 2016 (3.08%), 12 Dec 2016 (-0.32%), 28 Dec 2016 (-0.31%)
2015212 Mar 2015 (0.48%), 20 Apr 2015 (0.17%)
2014403 Apr 2014 (-0.35%), 13 May 2014 (1.88%), 10 Jun 2014 (-0.8%), 24 Jun 2014 (-0.75%)
2013306 May 2013 (3.05%), 24 May 2013 (-1.7%), 09 Jul 2013 (-2.7%)
2012206 Jan 2012 (1.03%), 20 Jan 2012 (0.13%)
2011411 Apr 2011 (0.99%), 28 Apr 2011 (2.91%), 21 Nov 2011 (0.19%), 05 Dec 2011 (2.88%)
2010322 Jul 2010 (1.06%), 05 Aug 2010 (3.16%), 08 Sep 2010 (-0.19%)
2009105 Jan 2009 (7.34%)
2008203 Jan 2008 (2.0%), 18 Dec 2008 (1.9%)
2007112 Dec 2007 (-0.0%)
2004326 May 2004 (9.29%), 09 Jun 2004 (-1.76%), 26 Jul 2004 (1.3%)

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
atrnil28.73296.7141122929.2714161.730622.43-5849.78-14624.592.4210.000187.24
atrtrail25.07-11137.556183832.148490.2430622.43-4314.78-12196.711.970.93-0.0062-198.88
atrnil310.76-68631.373873118.4217631.9323144.59-6195.32-15311.212.850.64-0.045-1806.09
50trail22.57-57219.5368155322.065918.337861.64-2754.61-3996.492.150.61-0.055-841.46
50nil22.79-60979.3866155122.736093.277832.1-2987.81-3996.492.040.6-0.058-923.93
atrtrail35.62-65636.7656183832.145462.521876.58-4314.78-12196.711.270.6-0.049-1172.08
atrtrail-15.84-69766.4656183832.145233.0715312.78-4314.78-12196.711.210.57-0.055-1245.83
50trail-13.52-78368.4466125418.185516.8817634.61-2677.24-3996.492.060.46-0.072-1187.4
50trail33.06-80009.4766125418.185380.1311792.46-2677.24-3996.492.010.45-0.084-1212.26
50nil33.51-89450.856185313.118552.1911469.06-2978.65-3996.492.870.43-0.089-1466.41

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 29.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.0036%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.00018, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, Profit Factor:1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Apr 2019 (4.54%), 14 May 2019 (3.9%), 12 Jul 2019 (-2.81%), 25 Jul 2019 (-2.84%), 01 Aug 2019 (6.05%)
2018427 Jul 2018 (-2.85%), 04 Sep 2018 (-2.25%), 27 Sep 2018 (7.71%), 12 Dec 2018 (-3.04%)
2017509 Jan 2017 (-2.3%), 15 Sep 2017 (-2.2%), 11 Oct 2017 (-2.32%), 23 Oct 2017 (-2.09%), 26 Oct 2017 (-2.18%)
2016508 Mar 2016 (-3.25%), 10 May 2016 (-2.49%), 29 Aug 2016 (5.23%), 12 Dec 2016 (-2.41%), 28 Dec 2016 (-2.35%)
2015212 Mar 2015 (-2.13%), 20 Apr 2015 (-2.89%)
2014303 Apr 2014 (-2.27%), 13 May 2014 (-2.63%), 10 Jun 2014 (-2.8%)
2013306 May 2013 (7.29%), 24 May 2013 (-4.13%), 09 Jul 2013 (-2.96%)
2012206 Jan 2012 (-2.81%), 20 Jan 2012 (-2.47%)
2011411 Apr 2011 (-3.17%), 28 Apr 2011 (-3.55%), 21 Nov 2011 (-2.78%), 01 Dec 2011 (6.2%)
2010322 Jul 2010 (4.11%), 04 Aug 2010 (4.11%), 08 Sep 2010 (-2.19%)
2009105 Jan 2009 (13.4%)
2008118 Dec 2008 (15.31%)
2007112 Dec 2007 (-5.36%)
2004226 May 2004 (-7.31%), 26 Jul 2004 (7.1%)



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