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

home > technical-strategy > ofss > 2

In this study, we evaluate the performance of strategy "Sell OFSS when near 200 SMA and below 200 SMA and RSI is below 50" 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
1-4510.736191752.782980.596971.99-3596.58-15835.610.830.93-0.0067-125.3
2-3040.66361818504388.8914464.92-4557.82-19474.030.960.96-0.0032-84.46
3-24137.53361818504128.0116230.82-5468.98-23065.320.750.75-0.024-670.49
4940.1436201655.564579.9118430.96-5666.12-13036.10.811.010.0009426.11
5-16292.3236152141.676978.3817065.52-5760.38-16311.691.210.87-0.014-452.56
6-32314.34361818506880.6322705.78-8675.87-22424.240.790.79-0.022-897.62
7-36287.69361818507442.4521524.53-9458.43-21523.810.790.79-0.024-1007.99
8-45837.936162044.447315.7922017.61-8144.53-27246.040.90.72-0.031-1273.28
9-19201.29361818506745.9822810.06-7812.72-19099.570.860.86-0.014-533.37
10-20639.9236171947.227619.7333735.51-7903.97-15242.90.960.86-0.014-573.33
Although, strategy looks good but profit factor on day 3 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
atrnil39.623300.5539102925.641881032334.78-6372.39-15648.42.951.020.001884.63
atrtrail-15.53-5357.7845123326.6711246.0945609.7-4251.84-13238.262.640.96-0.003-119.06
atrtrail24.56-6315.9345123326.6711166.2421556.52-4251.84-13238.262.630.95-0.0045-140.35
atrnil26.41-21668.0139122730.7712546.1921556.52-6378.6-15648.41.970.87-0.015-555.59
atrtrail35.02-20992.6945123326.679943.1832334.78-4251.84-13238.262.340.85-0.015-466.5
200nil22.29-18138.3756164028.576090.967956.23-2889.84-3751.162.110.84-0.019-323.9
200nil33.02-19513.5753114220.759278.5111934.34-2894.7-3751.163.210.84-0.018-368.18
200trail32.49-23645.5957154226.325850.4111934.34-2652.42-3751.162.210.79-0.024-414.83
200trail22.21-25900.2857154226.325700.17956.23-2652.42-3751.162.150.77-0.029-454.39
200trail-13.11-43999.4357154226.324493.4911898.1-2652.42-3751.161.690.61-0.051-771.92

In the table above, row 1 shows the best exit criterion. Profit factor is 1.02. 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 25.64%, which is not acceptable. Avoid this strategy. Average return per trade is 0.042%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0018, 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:1.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018828 Mar 2018 (-2.38%), 21 May 2018 (-3.14%), 01 Jun 2018 (-3.4%), 05 Jul 2018 (-3.12%), 17 Jul 2018 (-2.92%), 20 Jul 2018 (-3.11%), 04 Sep 2018 (-2.25%), 27 Sep 2018 (11.57%)
2017105 Sep 2017 (-2.32%)
2016204 Jan 2016 (6.07%), 29 Aug 2016 (7.84%)
2015628 Jan 2015 (-2.22%), 10 Feb 2015 (-2.58%), 23 Feb 2015 (-2.47%), 12 Mar 2015 (-2.13%), 09 Dec 2015 (-2.34%), 31 Dec 2015 (-1.87%)
2014307 Mar 2014 (6.34%), 28 Apr 2014 (8.1%), 17 Oct 2014 (-3.3%)
2013204 Mar 2013 (-3.75%), 21 Aug 2013 (-3.03%)
2011410 Jan 2011 (-2.46%), 02 Feb 2011 (10.71%), 20 Jun 2011 (-3.05%), 22 Jul 2011 (7.81%)
2010507 May 2010 (-2.33%), 20 May 2010 (-2.67%), 28 May 2010 (-2.51%), 21 Jul 2010 (6.13%), 18 Nov 2010 (-3.04%)
2008211 Jul 2008 (-7.82%), 19 Aug 2008 (16.17%)
2007114 Aug 2007 (13.31%)
2006125 May 2006 (-6.62%)
2005223 Mar 2005 (-3.31%), 06 Apr 2005 (-3.25%)
2004108 Dec 2004 (-3.59%)
2003116 Apr 2003 (-5.42%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play