Study: Sell OFSS when there is Bearish Centerline Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell OFSS when there is Bearish Centerline 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
1-1696.5764266.67710.251142.15-2268.79-2396.250.310.63-0.048-282.76
2-7769.8862433.333278.75946.6-3581.82-5749.10.920.46-0.082-1294.98
3-17170.9262433.3329424672.33-5763.73-6561.950.510.26-0.16-2861.82
4-32471.9861516.677274.817274.81-7949.36-10860.50.920.18-0.21-5412
5-23095.1961516.6713652.9113652.91-7349.62-11520.791.860.37-0.11-3849.2
610358.8961516.6748038.0348038.03-7535.83-13416.226.371.270.021726.48
742653.9162433.3336022.5169525.35-7347.78-14856.144.92.450.0617108.99
826652.0761516.6755670.1755670.17-5803.62-17395.929.591.920.0464442.01
941925.896335024391.969747.84-10416.6-22666.772.342.340.0586987.65
1032262.9162433.3327935.8149649.41-5902.18-19149.334.732.370.0625377.15
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.
OFSS Performance, X=7, Profit Factor:2.45

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017125 Sep 2017 (-3.59%)
2015114 Oct 2015 (-2.2%)
2011218 Apr 2011 (-1.47%), 03 Oct 2011 (-7.43%)
2008111 Jan 2008 (34.76%)
2003116 May 2003 (1.26%)

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
atrtrail-145477.4161516.6734919.8334919.83-5888.48-7927.345.931.190.015912.9
atrtrail33.834216.4161516.6733658.8333658.83-5888.48-7927.345.721.140.012702.74
atrnil33.831138.0261516.6733658.8333658.83-6504.16-9066.735.171.030.0031189.67
atrtrail23.83-7003.261516.6722439.2222439.22-5888.48-7927.343.810.76-0.027-1167.2
atrnil23.83-10081.5961516.6722439.2222439.22-6504.16-9066.733.450.69-0.038-1680.27

In the table above, row 1 shows the best exit criterion. Profit factor is 1.19. Number of signals (total trades) generated is low, don't trade solely on the basis of this study. 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 16.67%, which is not acceptable. Avoid this strategy. Average return per trade is 0.46%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.19

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017125 Sep 2017 (-2.17%)
2015114 Oct 2015 (-3.02%)
2011218 Apr 2011 (-2.54%), 03 Oct 2011 (-3.03%)
2008111 Jan 2008 (17.46%)
2003116 May 2003 (-3.96%)



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