Study: Buy OFSS when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy OFSS when RSI is above 50 and there is Bullish Crossover in MACD" 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
1-34432.2101406139.63784.1931388.58-3045.9-10898.971.240.81-0.016-340.91
2-40825.94101465545.544050.8134086.03-4130.24-12910.350.980.82-0.016-404.22
3-62447.6101465545.544957.3429099.83-5281.55-20730.590.940.79-0.021-618.29
4-31011101435842.577159.0848635.95-5842.26-18473.091.230.91-0.0079-307.04
5-7413.15101455644.556982.6546142.84-5743.44-23867.391.220.98-0.0019-73.4
6-23509.23101425941.589060.5255767.86-6848.33-31819.031.320.94-0.0051-232.76
7-10953.43101455644.559554.9259405.33-7873.65-32679.011.210.98-0.0022-108.45
8-18620.58101485347.5210171.1953438.23-9562.98-57847.431.060.96-0.0032-184.36
9-37761.85101495248.5110132.5952927.35-10274.21-77947.720.990.93-0.006-373.88
1028342.02101554654.4610328.752436.91-11733.4-64986.910.881.050.0044280.61
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
atrnil37.63114400111318027.9322070.2938348.9-7122.24-15396.693.11.20.0181030.63
atrnil26.026095.65115387733.0414629.4725565.94-7140.57-15396.692.051.010.001253.01
atrtrail34.72-20662.44119368330.2512514.3238348.9-5676.84-13259.132.20.96-0.0038-173.63
atrtrail24.19-53886.81122388431.1511145.6525565.94-5683.59-13259.131.960.89-0.012-441.7
atrtrail-15.25-134969116358130.179017.6569660.29-5562.79-124911.620.7-0.029-1163.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 27.93%, which is not acceptable. Avoid this strategy. Average return per trade is 0.52%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jan 2019 (-2.28%), 22 Jan 2019 (-2.34%)
2018524 Jan 2018 (-2.61%), 25 Jan 2018 (-2.7%), 02 Apr 2018 (7.67%), 11 Jun 2018 (-3.29%), 10 Sep 2018 (6.48%)
2017802 Jan 2017 (-2.25%), 13 Jan 2017 (6.43%), 09 Mar 2017 (-2.68%), 04 May 2017 (-2.3%), 05 Jun 2017 (-2.32%), 04 Sep 2017 (-2.15%), 16 Oct 2017 (-2.17%), 07 Nov 2017 (-2.1%)
2016525 Jan 2016 (-2.51%), 30 May 2016 (-2.52%), 15 Jun 2016 (-1.96%), 30 Jun 2016 (5.9%), 08 Aug 2016 (7.38%)
20151015 Jan 2015 (-2.24%), 30 Jan 2015 (-2.23%), 13 Feb 2015 (-2.4%), 16 Feb 2015 (-2.58%), 03 Mar 2015 (-2.13%), 04 May 2015 (9.2%), 17 Jun 2015 (-2.61%), 29 Jul 2015 (7.18%), 19 Aug 2015 (-2.63%), 03 Nov 2015 (-2.53%)
2014606 Jun 2014 (-2.98%), 18 Jul 2014 (8.48%), 22 Aug 2014 (7.13%), 12 Sep 2014 (-2.52%), 29 Oct 2014 (-2.75%), 23 Dec 2014 (-2.55%)
2013323 May 2013 (11.9%), 02 Sep 2013 (8.95%), 16 Dec 2013 (-2.12%)
2012801 Feb 2012 (8.45%), 24 Feb 2012 (-3.67%), 27 Feb 2012 (-4.08%), 12 Apr 2012 (-3.3%), 08 Jun 2012 (-3.25%), 19 Jul 2012 (7.79%), 03 Oct 2012 (-2.55%), 26 Nov 2012 (6.9%)
2011621 Jan 2011 (-2.53%), 24 Jan 2011 (-3.09%), 25 Apr 2011 (-3.23%), 11 May 2011 (-3.48%), 28 Jun 2011 (-3.02%), 29 Jun 2011 (-3.16%)
2010116 Feb 2010 (-4.15%)
20091323 Jan 2009 (18.01%), 27 Jan 2009 (19.17%), 23 Mar 2009 (18.29%), 05 May 2009 (-6.09%), 15 May 2009 (18.47%), 18 May 2009 (-6.63%), 20 Jul 2009 (15.05%), 19 Aug 2009 (11.83%), 08 Oct 2009 (10.68%), 27 Oct 2009 (-4.5%), 11 Nov 2009 (-4.83%), 17 Dec 2009 (-3.47%), 23 Dec 2009 (10.35%)
2008609 Jan 2008 (-4.66%), 10 Jan 2008 (-5.41%), 21 May 2008 (-6.22%), 18 Jun 2008 (-6.25%), 25 Jun 2008 (-6.47%), 01 Aug 2008 (-5.7%)
2007417 Jan 2007 (-3.81%), 19 Mar 2007 (-3.29%), 05 Jun 2007 (-4.1%), 26 Dec 2007 (-5.1%)
2006716 Jan 2006 (-3.4%), 02 Mar 2006 (-3.18%), 03 Mar 2006 (10.0%), 10 May 2006 (-3.97%), 27 Jul 2006 (17.83%), 16 Aug 2006 (14.24%), 24 Nov 2006 (-3.08%)
20051003 Jan 2005 (-3.49%), 02 Feb 2005 (-4.18%), 28 Feb 2005 (-3.92%), 01 Mar 2005 (-4.24%), 04 Apr 2005 (-3.26%), 22 Apr 2005 (-3.85%), 22 Jun 2005 (-3.34%), 23 Jun 2005 (10.5%), 05 Aug 2005 (-5.09%), 04 Oct 2005 (-3.47%)
2004424 May 2004 (-7.7%), 11 Aug 2004 (-3.37%), 22 Sep 2004 (-3.2%), 30 Nov 2004 (10.1%)
20031028 Feb 2003 (-4.2%), 20 Mar 2003 (-4.49%), 28 Apr 2003 (-4.49%), 09 May 2003 (-4.18%), 21 May 2003 (-4.35%), 05 Jun 2003 (9.4%), 26 Aug 2003 (16.0%), 14 Oct 2003 (-3.5%), 15 Oct 2003 (-3.7%), 06 Nov 2003 (-4.73%)
2002311 Oct 2002 (-4.07%), 05 Nov 2002 (11.98%), 23 Dec 2002 (10.35%)



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