Study: Buy OFSS when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy OFSS when below 200 SMA" 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
110009.9357292850.884435.6419252.79-4236.56-36904.371.051.080.0056175.61
2-50401.8557273047.376367.6426606.36-7410.94-59965.990.860.77-0.018-884.24
3-55570.5557253243.866117.3717374.16-6515.77-45095.70.940.73-0.024-974.92
4-86381.3857292850.886732.5825724.89-10058.08-60204.780.670.69-0.028-1515.46
5-30450.3157342359.656326.5222129.47-10676.18-38633.810.590.88-0.012-534.22
6-46655.3457322556.147518.1721007.38-11489.47-52793.940.650.84-0.015-818.51
7-31646.157302752.6310096.739921.13-12390.63-68100.120.810.91-0.0081-555.19
8-14727.4157292850.8811528.9356784.97-12466.66-59277.170.920.96-0.0035-258.38
9-3670.6357312654.3912003.8581883.55-14453.46-63837.330.830.99-0.00076-64.4
1016834.5657292850.8813453.4277731.38-13332.67-71420.171.011.050.0035295.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.08. 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 50.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.088%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0056, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability.

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
atrnil311.2313010991256627.4728412.3999865.24-8790.93-28776.633.231.220.0171429.77
atrnil26.9477061.6395346135.7918157.5166576.83-8857.27-28776.632.051.140.013811.18
nilnil-1110009.9357292850.884435.6419252.79-4236.56-36904.371.051.080.0056175.61
atrtrail24.169212.39105396637.1412062.9536289.4-6988.52-24815.851.731.020.001887.74
atrtrail35.19-28792.85105396637.1411088.4651120.26-6988.52-24815.851.590.94-0.0054-274.22
atrtrail-15.73-46569.67105396637.1410632.6496026.75-6988.52-24815.851.520.9-0.008-443.52

In the table above, row 1 shows the best exit criterion. Profit factor is 1.22. 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 27.47%, which is not acceptable. Avoid this strategy. Average return per trade is 0.71%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.22

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019814 Mar 2019 (-2.53%), 07 Jun 2019 (-1.86%), 17 Jun 2019 (-1.78%), 21 Jun 2019 (-2.31%), 09 Aug 2019 (-3.2%), 13 Aug 2019 (-3.35%), 20 Aug 2019 (-3.71%), 21 Aug 2019 (-3.95%)
2018721 May 2018 (-3.14%), 05 Jun 2018 (10.29%), 06 Jul 2018 (9.54%), 08 Oct 2018 (-3.84%), 22 Oct 2018 (-3.48%), 25 Oct 2018 (-4.51%), 14 Nov 2018 (10.77%)
2017110 Aug 2017 (-2.12%)
20161315 Jan 2016 (-2.23%), 18 Jan 2016 (-2.33%), 10 Feb 2016 (-2.83%), 11 Feb 2016 (-3.5%), 25 Feb 2016 (11.21%), 23 May 2016 (8.03%), 30 Aug 2016 (-2.71%), 08 Sep 2016 (-2.65%), 29 Sep 2016 (-2.22%), 09 Nov 2016 (-2.21%), 16 Nov 2016 (-2.71%), 21 Nov 2016 (-2.84%), 22 Nov 2016 (9.24%)
2015323 Mar 2015 (6.51%), 27 Apr 2015 (9.37%), 09 Dec 2015 (-2.34%)
2014710 Mar 2014 (-2.19%), 13 Mar 2014 (-2.25%), 19 Mar 2014 (7.17%), 06 May 2014 (-2.65%), 16 May 2014 (-3.23%), 19 May 2014 (10.34%), 17 Oct 2014 (9.89%)
2013328 Feb 2013 (-3.6%), 22 Mar 2013 (-4.31%), 16 May 2013 (12.32%)
2011911 Jan 2011 (7.42%), 03 Feb 2011 (-3.81%), 09 Feb 2011 (-3.99%), 26 Jul 2011 (-2.57%), 04 Aug 2011 (-3.1%), 09 Aug 2011 (-3.87%), 19 Aug 2011 (13.67%), 20 Dec 2011 (-3.2%), 22 Dec 2011 (10.27%)
2010607 May 2010 (-2.33%), 11 May 2010 (7.58%), 22 Jul 2010 (-2.06%), 27 Jul 2010 (-2.0%), 13 Aug 2010 (-2.14%), 26 Nov 2010 (9.39%)
20081518 Jan 2008 (-5.71%), 21 Jan 2008 (-8.63%), 22 Jan 2008 (37.11%), 19 Aug 2008 (-5.39%), 28 Aug 2008 (-5.36%), 12 Sep 2008 (-4.74%), 15 Sep 2008 (-5.88%), 16 Sep 2008 (-6.56%), 18 Sep 2008 (-7.52%), 29 Sep 2008 (-8.65%), 03 Oct 2008 (-9.73%), 06 Oct 2008 (-10.92%), 08 Oct 2008 (-12.41%), 10 Oct 2008 (-14.39%), 17 Oct 2008 (49.93%)
2007802 Aug 2007 (-4.62%), 17 Aug 2007 (-5.02%), 23 Aug 2007 (-5.54%), 18 Oct 2007 (-5.36%), 22 Oct 2007 (-5.64%), 05 Nov 2007 (-5.37%), 07 Nov 2007 (-5.85%), 09 Nov 2007 (18.86%)
2006108 Jun 2006 (27.22%)
2005218 Apr 2005 (-3.25%), 20 Apr 2005 (12.11%)
2004822 Jan 2004 (-7.81%), 24 Mar 2004 (-4.43%), 29 Apr 2004 (-5.09%), 03 May 2004 (-5.39%), 13 May 2004 (-5.16%), 17 May 2004 (25.56%), 30 Jul 2004 (10.77%), 19 Nov 2004 (10.57%)



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