Study: Buy OFSS when RSI is above 50 and 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 RSI is above 50 and 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
130166.3833122136.366745.431388.58-2418.02-10898.972.791.590.032914.13
242433.1733171651.526193.9734086.03-3929.02-10538.951.581.670.0391285.85
361767.8633201360.616307.5429099.83-4952.54-14357.411.271.960.0561871.75
454721.1233151845.459811.3448635.95-5136.06-16978.21.911.590.0351658.22
570383.7333171651.529022.1346142.84-5187.03-23867.391.741.850.0442132.84
669166.6833151845.4511914.9655767.86-6086.54-31819.031.961.630.0372095.96
792454.2633171651.5211305.9559405.33-6234.18-32679.011.811.930.0492801.64
858587.7833161748.4812209.6753438.23-8045.11-26484.71.521.430.0311775.39
959355.4733161748.4812761.9152927.35-8519.71-25460.041.51.410.031798.65
1092469.5133181554.5513474.3352436.91-10004.56-30211.251.351.620.0442802.11

From the table above, we see that best results are achieved by holding positions for 3 trading days. Profit factor is 1.96. 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 60.61%, which is good. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, which is low, don't trade solely on the basis of this study.

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
nilnil-1361767.8633201360.616307.5429099.83-4952.54-14357.411.271.960.0561871.75
atrnil35.471186534014263521601.7838348.9-7068.17-15396.693.061.650.0492966.32
atrtrail33.9553203.8940132732.515627.0138348.9-5553.6-13259.132.811.350.0251330.1
atrnil24.4321352.6742152735.7114112.2725565.94-7049.31-15396.6921.110.011508.4
atrtrail23.459971.8842142833.3311868.7725565.94-5578.25-13259.132.131.060.0059237.43
atrtrail-14.74-13927.4538122631.5810230.0669660.29-5257.24-12187.561.950.9-0.007-366.51

In the table above, row 1 shows the best exit criterion. Profit factor is 1.96. 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 60.61%, which is good. Average return per trade is 0.94%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.056, 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, X=3, Profit Factor:1.96

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018224 Jan 2018 (-3.87%), 02 Apr 2018 (-0.5%)
2016425 Jan 2016 (-1.72%), 30 May 2016 (-1.47%), 15 Jun 2016 (-1.15%), 09 Aug 2016 (0.52%)
2015229 Jul 2015 (3.69%), 19 Aug 2015 (-6.54%)
2014418 Jul 2014 (2.54%), 22 Aug 2014 (2.24%), 12 Sep 2014 (1.07%), 29 Oct 2014 (0.27%)
2013116 Dec 2013 (1.26%)
2012224 Feb 2012 (2.39%), 26 Nov 2012 (0.3%)
2011209 Jun 2011 (0.44%), 28 Jun 2011 (-1.34%)
2009623 Jan 2009 (14.55%), 05 May 2009 (-7.18%), 19 Aug 2009 (3.79%), 08 Oct 2009 (7.86%), 27 Oct 2009 (-1.52%), 11 Nov 2009 (-2.26%)
2006317 Oct 2006 (2.48%), 07 Nov 2006 (0.54%), 23 Nov 2006 (1.69%)
2005301 Mar 2005 (0.7%), 04 Apr 2005 (-0.85%), 22 Apr 2005 (-3.48%)
2004224 May 2004 (4.95%), 30 Nov 2004 (4.75%)
2003114 Oct 2003 (-0.31%)
2002124 Dec 2002 (7.05%)



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