Study: Buy OFSS when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy OFSS when above 200 SMA and near 50 SMA and above 50 SMA and RSI is above 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. sell 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
1557141192246.343223.258607.13-2530.49-7331.391.271.10.0089135.88
2-10868.1841192246.343270.7814101.18-3318.77-13141.370.990.85-0.013-265.08
3-3856.3741192246.344498.8514052.8-4060.66-16286.311.110.96-0.004-94.06
4-2696.5741192246.344669.4115819.34-4155.25-19135.141.120.97-0.0026-65.77
5-34827.0441152636.595544.0714665.23-4538-17532.041.220.7-0.033-849.44
6-24648.6441182343.96885.5720189.63-6460.39-24066.981.070.83-0.017-601.19
7-2136.1241202148.786257.9418968.43-6061.66-18900.291.030.98-0.0015-52.1
828194.8441202148.787433.2327950.2-5736.66-21371.321.31.230.018687.68
923069.4941182343.99272.2939777.68-6253.55-17868.991.481.160.013562.67
1025824.941192246.348773.5134486.44-6403.27-18476.71.371.180.015629.88
Although, strategy looks good but profit factor on day 5 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
atrnil38.614291.7443103323.2620651.6940403.55-5825-13960.023.551.070.0067332.37
atrtrail35.552331.2651153629.4110053.1740403.55-4124.06-9123.412.441.020.001245.71
50nil22.71-1421.0958193932.766134.687601.67-3025.13-3994.362.030.99-0.0014-24.5
50trail22.23-16075.4162174527.426083.037601.67-2655.27-3994.362.290.87-0.016-259.28
atrtrail25.16-24824.251153629.418242.826935.7-4124.06-9123.4120.83-0.016-486.75
atrnil27.47-37592.3243113225.5813543.7426935.7-5830.42-13960.022.320.8-0.023-874.24
atrtrail-15.82-30144.6251153629.417888.1128766.1-4124.06-9123.411.910.8-0.019-591.07
50nil33.69-29492.12551144209322.4510869.88-3000.89-3994.363.110.78-0.026-536.22
50trail32.77-40071.3360134721.676592.9510869.88-2676.16-3994.362.460.68-0.038-667.86
50trail-13.33-62261.3158114718.975448.2115319.79-2599.82-3942.442.10.49-0.066-1073.47

In the table above, row 1 shows the best exit criterion. Profit factor is 1.07. 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 23.26%, which is not acceptable. Avoid this strategy. Average return per trade is 0.17%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0067, 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:1.07

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018422 Feb 2018 (-2.24%), 03 Apr 2018 (-2.6%), 20 Jun 2018 (-3.19%), 03 Aug 2018 (-2.73%)
2017808 May 2017 (-2.26%), 08 Jun 2017 (-2.14%), 16 Jun 2017 (-1.86%), 22 Jun 2017 (-1.96%), 12 Jul 2017 (-1.83%), 02 Aug 2017 (-1.73%), 04 Sep 2017 (-2.15%), 18 Sep 2017 (-2.14%)
2015629 Jan 2015 (-2.23%), 12 Feb 2015 (-2.4%), 04 Mar 2015 (-2.2%), 23 Oct 2015 (-2.63%), 02 Nov 2015 (-2.56%), 01 Dec 2015 (-2.37%)
2014431 Mar 2014 (-2.32%), 09 Apr 2014 (6.41%), 01 Dec 2014 (-2.4%), 19 Dec 2014 (-2.65%)
2013117 Dec 2013 (6.28%)
2012407 May 2012 (-3.38%), 04 Jul 2012 (-2.87%), 17 Jul 2012 (7.83%), 10 Dec 2012 (7.29%)
2010311 Feb 2010 (-4.37%), 11 Jun 2010 (-2.83%), 16 Dec 2010 (-2.79%)
2009118 Dec 2009 (10.72%)
2008124 Jul 2008 (-6.98%)
2007222 Feb 2007 (-3.81%), 20 Mar 2007 (9.79%)
2006130 Jun 2006 (20.2%)
2005508 Feb 2005 (-3.75%), 02 Mar 2005 (-4.17%), 29 Apr 2005 (14.11%), 11 Oct 2005 (-3.76%), 17 Nov 2005 (11.72%)
2004114 Dec 2004 (8.92%)
2003229 Apr 2003 (-4.56%), 12 May 2003 (-4.24%)



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