Study: Sell OFSS when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > ofss > 26

In this study, we evaluate the performance of strategy "Sell OFSS when RSI is below 50 and there is Bearish Crossover in MACD" 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
1-9485.2177393850.652715.99909.55-3036.98-16230.870.890.92-0.0071-123.18
2-58705.8277374048.053758.189842.89-4943.97-25954.930.760.7-0.028-762.41
3-11565577393850.654525.5317721.06-7688.16-32701.20.590.6-0.042-1502.01
4-17141077374048.055386.8418687.04-9268.09-58044.670.580.54-0.047-2226.11
5-17381777304738.967118.7923504.22-8242.15-61052.870.860.55-0.045-2257.37
6-20247377314640.266787.1923916-8975.56-55492.250.760.51-0.053-2629.52
7-22280477314640.267178.4724078.53-9681.24-77278.940.740.5-0.049-2893.56
8-20339277354245.456925.4625258.39-10613.9-74498.630.650.54-0.046-2641.46
9-17561477324541.568350.2222118.79-9840.47-85232.450.850.6-0.037-2280.7
10-16251977354245.458590.5626474.48-11028.31-89288.970.780.65-0.032-2110.64

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.92. 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 50.65%, which is not acceptable. Avoid this strategy. Average return per trade is -0.062%, we advise you not to use this strategy.

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
atrnil310.29-23588.5277205725.9721075.2736768.74-7808.67-23975.192.70.95-0.0055-306.34
nilnil-11-9485.2177393850.652715.99909.55-3036.98-16230.870.890.92-0.0071-123.18
atrtrail34.89-37652.1390256527.7811723.4436768.74-5088.28-11929.122.30.89-0.011-418.36
atrtrail24.33-38902.1592286430.4310303.6324512.49-5115.68-11929.122.010.88-0.012-422.85
atrtrail-15.22-72886.989256428.0910033.8153369.1-5058.32-11929.121.980.77-0.021-818.95
atrnil26.41-12546890266428.8913376.4124512.49-7394.6-23975.191.810.73-0.033-1394.09

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 25.97%, which is not acceptable. Avoid this strategy. Average return per trade is -0.15%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, Profit Factor:0.947

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019404 Jan 2019 (-2.83%), 18 Jan 2019 (-2.32%), 02 May 2019 (6.0%), 05 Aug 2019 (8.8%)
2018421 Mar 2018 (-2.42%), 04 Jul 2018 (-3.04%), 04 Sep 2018 (-2.25%), 21 Sep 2018 (11.33%)
2017509 Jan 2017 (-2.3%), 22 May 2017 (-2.41%), 27 Jun 2017 (-2.14%), 26 Jul 2017 (5.44%), 10 Oct 2017 (-2.34%)
2016710 Feb 2016 (8.48%), 11 Feb 2016 (-3.5%), 10 Jun 2016 (-2.04%), 28 Jun 2016 (-2.04%), 27 Sep 2016 (5.96%), 11 Nov 2016 (6.88%), 29 Dec 2016 (-2.3%)
2015324 Aug 2015 (-3.44%), 29 Oct 2015 (-2.65%), 13 Nov 2015 (7.99%)
2014307 Mar 2014 (6.34%), 28 Apr 2014 (8.1%), 24 Sep 2014 (-3.79%)
2013311 Mar 2013 (12.1%), 16 May 2013 (-4.11%), 25 Jun 2013 (-3.31%)
2012624 Jan 2012 (-2.5%), 05 Jun 2012 (-3.33%), 18 Jun 2012 (-3.08%), 19 Jun 2012 (-3.17%), 16 Jul 2012 (-2.7%), 27 Jul 2012 (-2.71%)
2011807 Jan 2011 (-2.36%), 01 Feb 2011 (10.17%), 25 Feb 2011 (-3.14%), 18 Mar 2011 (-2.61%), 20 Apr 2011 (-3.01%), 21 Apr 2011 (-3.15%), 02 May 2011 (-3.59%), 17 Jun 2011 (-2.71%)
2010221 Jan 2010 (-3.66%), 25 Aug 2010 (-2.11%)
2009220 Jan 2009 (-6.65%), 21 Dec 2009 (-3.61%)
2008703 Jan 2008 (-4.77%), 14 Jan 2008 (16.62%), 13 Mar 2008 (-7.81%), 20 Jun 2008 (-6.77%), 14 Jul 2008 (-7.96%), 07 Aug 2008 (18.38%), 26 Nov 2008 (-11.99%)
2007320 Sep 2007 (-4.23%), 16 Oct 2007 (13.11%), 18 Dec 2007 (-5.81%)
2006502 Feb 2006 (-3.51%), 15 May 2006 (-4.47%), 16 May 2006 (14.29%), 20 Jul 2006 (-6.82%), 21 Dec 2006 (-3.97%)
2005511 Jan 2005 (-4.17%), 21 Feb 2005 (-4.53%), 09 Mar 2005 (11.22%), 01 Aug 2005 (-4.99%), 13 Oct 2005 (12.18%)
2004309 Mar 2004 (13.1%), 28 Apr 2004 (14.25%), 30 Dec 2004 (-3.39%)
2003723 Jan 2003 (-5.05%), 13 Mar 2003 (-4.35%), 30 Apr 2003 (-4.68%), 19 May 2003 (-4.43%), 26 May 2003 (-4.07%), 01 Aug 2003 (-6.39%), 11 Nov 2003 (-5.1%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play