Study: Buy OFSS when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy OFSS when there is Bullish 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: 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
149256.8854233142.595800.1831388.58-2714.43-10898.972.141.590.034912.16
246113.0854252946.36447.1634086.03-3967.79-15089.11.621.40.026853.95
313628754322259.267632.6129099.83-4907.09-14357.411.562.260.072523.84
415979954262848.1511969.7148635.95-5407.63-16978.22.212.060.0612959.24
512548154282651.859973.746142.84-5914.72-23867.391.691.820.0482323.72
616122554243044.4414467.0659353.32-6199.48-31819.032.331.870.0492985.65
720397754282651.8512978.8259405.33-6131.92-32679.012.122.280.0643777.36
819487054302455.5612894.2865243.84-7998.29-26484.71.612.020.0573608.69
922012954302455.5613837.9959182.58-8125.43-25460.041.72.130.0654076.47
1025661154322259.2614178.4965969.48-8959.11-30211.251.582.30.0724752.06
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
OFSS Performance, X=10, Profit Factor:2.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Jul 2019 (2.82%)
2018324 Jan 2018 (-4.54%), 13 Mar 2018 (-4.17%), 02 Apr 2018 (5.04%)
2016625 Jan 2016 (-4.12%), 02 Mar 2016 (3.26%), 30 May 2016 (-2.59%), 15 Jun 2016 (-0.79%), 09 Aug 2016 (-1.33%), 28 Nov 2016 (2.59%)
2015329 Jul 2015 (5.81%), 19 Aug 2015 (-6.64%), 24 Sep 2015 (1.5%)
2014525 Mar 2014 (3.93%), 18 Jul 2014 (7.1%), 22 Aug 2014 (1.71%), 12 Sep 2014 (-13.61%), 29 Oct 2014 (-2.5%)
2013207 Mar 2013 (-8.5%), 13 Dec 2013 (7.69%)
2012324 Feb 2012 (-0.33%), 29 May 2012 (-0.72%), 26 Nov 2012 (4.78%)
2011521 Feb 2011 (-2.43%), 28 Mar 2011 (1.96%), 09 Jun 2011 (-3.91%), 28 Jun 2011 (-2.22%), 02 Sep 2011 (1.86%)
2010117 May 2010 (-2.89%)
2009623 Jan 2009 (26.22%), 05 May 2009 (8.26%), 19 Aug 2009 (13.13%), 08 Oct 2009 (5.39%), 27 Oct 2009 (5.73%), 11 Nov 2009 (-4.8%)
2008306 Feb 2008 (-1.44%), 22 Oct 2008 (32.98%), 01 Dec 2008 (5.35%)
2007228 Aug 2007 (-3.37%), 14 Nov 2007 (4.02%)
2006420 Jun 2006 (11.55%), 17 Oct 2006 (3.12%), 07 Nov 2006 (3.21%), 23 Nov 2006 (10.18%)
2005401 Mar 2005 (-3.7%), 04 Apr 2005 (-8.87%), 22 Apr 2005 (8.9%), 07 Nov 2005 (9.31%)
2004410 Feb 2004 (6.31%), 01 Apr 2004 (2.35%), 21 May 2004 (10.46%), 29 Nov 2004 (6.93%)
2003114 Oct 2003 (-15.11%)
2002124 Dec 2002 (3.4%)

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
atrnil310.3526643860223836.6724932.9987247.64-7423.35-21154.293.361.940.0574440.64
atrnil26.7720572765273841.5417810.2958165.09-7240.8-21154.292.461.750.0523165.04
atrtrail34.9896849.0363234036.5115097.8149987.43-6260.01-21379.962.411.390.0271537.29
atrtrail24.2679541.3766264039.3912806.2433324.96-6335.52-21379.962.021.310.0251205.17
atrtrail-15.6120383.3761223936.0711705.6769660.29-6080.55-21379.961.931.090.006334.15

In the table above, row 1 shows the best exit criterion. Profit factor is 1.94. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 36.67%, which is not acceptable. Avoid this strategy. Average return per trade is 2.22%, which is very good. Sharpe Ratio is 0.057, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, Profit Factor:1.94

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019102 Jul 2019 (-2.39%)
2018424 Jan 2018 (-2.61%), 25 Jan 2018 (-2.7%), 13 Mar 2018 (-2.49%), 02 Apr 2018 (7.67%)
2016625 Jan 2016 (-2.51%), 02 Mar 2016 (10.16%), 30 May 2016 (-2.52%), 15 Jun 2016 (-1.96%), 09 Aug 2016 (-2.36%), 28 Nov 2016 (8.84%)
2015329 Jul 2015 (7.18%), 19 Aug 2015 (-2.63%), 24 Sep 2015 (-3.34%)
2014525 Mar 2014 (6.49%), 18 Jul 2014 (8.48%), 22 Aug 2014 (7.13%), 12 Sep 2014 (-2.52%), 29 Oct 2014 (-2.75%)
2013207 Mar 2013 (-3.54%), 13 Dec 2013 (5.95%)
2012524 Feb 2012 (-3.67%), 27 Feb 2012 (-4.08%), 29 May 2012 (-3.09%), 30 May 2012 (9.46%), 26 Nov 2012 (6.9%)
2011721 Feb 2011 (-3.12%), 01 Mar 2011 (-3.16%), 28 Mar 2011 (-2.72%), 09 Jun 2011 (-2.48%), 28 Jun 2011 (-3.02%), 29 Jun 2011 (-3.16%), 02 Sep 2011 (13.21%)
2010117 May 2010 (-2.64%)
2009705 May 2009 (-6.09%), 15 May 2009 (18.47%), 18 May 2009 (-6.63%), 19 Aug 2009 (11.83%), 08 Oct 2009 (10.68%), 27 Oct 2009 (-4.5%), 11 Nov 2009 (-4.83%)
2008206 Feb 2008 (-10.58%), 22 Oct 2008 (43.62%)
2007228 Aug 2007 (-4.96%), 14 Nov 2007 (-6.16%)
2006420 Jun 2006 (24.99%), 17 Oct 2006 (5.95%), 07 Nov 2006 (-2.53%), 23 Nov 2006 (9.13%)
2005401 Mar 2005 (-4.24%), 04 Apr 2005 (-3.26%), 22 Apr 2005 (-3.85%), 07 Nov 2005 (13.19%)
2004410 Feb 2004 (-6.49%), 01 Apr 2004 (-4.32%), 21 May 2004 (24.21%), 29 Nov 2004 (10.2%)
2003214 Oct 2003 (-3.5%), 15 Oct 2003 (-3.7%)
2002124 Dec 2002 (10.5%)



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