Study: Sell OFSS when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell OFSS when there is Bearish Crossover in MACD and ADX is Trending" 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
1-1875.1461332854.13171.4813855.42-3804.78-10423.110.830.98-0.0016-30.74
2-55285.4861263542.625630.0423327.92-5761.9-43689.430.980.73-0.024-906.32
3-16515.5861322952.466328.7231303.91-7552.92-39714.240.840.92-0.006-270.75
4-86737.6261313050.825812.6832166.52-8897.69-58044.670.650.68-0.027-1421.93
5-14477561313050.825467.5225953.24-10475.62-61052.870.520.54-0.043-2373.37
6-18276461322952.465899.2824103.01-12811.77-55492.250.460.51-0.052-2996.14
7-22253661313050.826149.929691.21-13772.76-77278.940.450.46-0.057-3648.13
8-23573661322952.465977.9932816.6-14725.24-74498.630.410.45-0.057-3864.53
9-16179061303149.188454.230891.36-13400.53-85232.450.630.61-0.038-2652.3
10-12318961313050.829561.8738392.3-13986.89-89288.970.680.71-0.027-2019.49

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.98. 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 54.1%, which is not acceptable. Avoid this strategy. Average return per trade is -0.015%, 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
atrnil27.2646462.2973284538.3614320.1924317.52-7877.85-23975.191.821.130.013636.47
atrtrail24.3413275.0473264735.6210815.1424317.52-5700.4-13105.761.91.050.0047181.85
nilnil-11-1875.1461332854.13171.4813855.42-3804.78-10423.110.830.98-0.0016-30.74
atrtrail34.96-22136.4772254734.729592.3626751.78-5573.31-13105.761.720.92-0.0085-307.45
atrnil312.03-58311.7771195226.7618961.4328493.25-8049.59-23975.192.360.86-0.016-821.29
atrtrail-15.46-65126.3471244733.88147.5532818.21-5546.12-13105.761.470.75-0.027-917.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.13. 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 38.36%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.013, 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:1.13

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019130 Apr 2019 (3.73%)
2018702 Jan 2018 (-2.15%), 05 Jan 2018 (-2.38%), 30 Jan 2018 (-2.8%), 21 Mar 2018 (-2.42%), 07 May 2018 (5.66%), 04 Jul 2018 (-3.04%), 21 Sep 2018 (7.55%)
2017217 Feb 2017 (-2.5%), 21 Mar 2017 (4.94%)
2016310 Jun 2016 (-2.04%), 28 Jun 2016 (-2.04%), 19 Aug 2016 (5.78%)
2015309 Jul 2015 (-2.66%), 17 Aug 2015 (-2.48%), 24 Aug 2015 (-3.44%)
2014509 Jan 2014 (5.25%), 28 Apr 2014 (5.4%), 20 Aug 2014 (-2.52%), 05 Sep 2014 (-2.18%), 24 Sep 2014 (7.57%)
2013310 Jan 2013 (5.07%), 11 Mar 2013 (8.07%), 23 Oct 2013 (4.39%)
2012222 Feb 2012 (-3.19%), 23 Feb 2012 (-3.22%)
2011425 Feb 2011 (-3.14%), 21 Mar 2011 (-2.68%), 07 Jun 2011 (-2.57%), 16 Jun 2011 (4.92%)
2010321 Jan 2010 (7.32%), 13 Jul 2010 (4.2%), 20 Oct 2010 (6.12%)
20091020 Jan 2009 (-6.65%), 02 Mar 2009 (12.16%), 29 Apr 2009 (-6.55%), 06 May 2009 (-6.57%), 16 Jun 2009 (-6.14%), 17 Aug 2009 (-3.77%), 08 Sep 2009 (-3.88%), 23 Oct 2009 (-4.17%), 28 Oct 2009 (9.02%), 19 Nov 2009 (-4.55%)
2008314 Mar 2008 (-7.6%), 09 May 2008 (-6.38%), 26 Nov 2008 (-11.99%)
2007304 May 2007 (7.74%), 05 Jul 2007 (-3.27%), 06 Jul 2007 (6.73%)
2006713 Apr 2006 (-4.24%), 17 Apr 2006 (-4.23%), 28 Aug 2006 (-3.74%), 03 Nov 2006 (-2.28%), 08 Nov 2006 (-2.59%), 21 Dec 2006 (-3.97%), 22 Dec 2006 (-4.19%)
2005709 Mar 2005 (7.48%), 15 Apr 2005 (-3.17%), 06 Jun 2005 (-4.18%), 29 Jul 2005 (8.67%), 01 Aug 2005 (-4.99%), 19 Aug 2005 (8.91%), 16 Dec 2005 (-3.45%)
2004128 Apr 2004 (9.5%)
2003608 Jan 2003 (7.61%), 22 Jan 2003 (8.64%), 31 Jul 2003 (11.67%), 03 Oct 2003 (-3.46%), 16 Oct 2003 (7.46%), 23 Dec 2003 (-4.28%)
2002319 Sep 2002 (8.92%), 20 Sep 2002 (-5.34%), 04 Dec 2002 (-4.17%)



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