Study: Buy OFSS when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy OFSS when above 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
1-60621.6828111739.292196.827178.89-4987.45-15895.910.440.29-0.11-2165.06
2-9288.5428121642.863225.9515267.52-3000-10005.661.080.81-0.017-331.73
3-1729.3228121642.865549.2424608.18-4270.01-8470.431.30.97-0.0023-61.76
46627.8328101835.718350.8227274.36-4271.13-9951.181.961.090.0073236.71
527050.3928131546.438777.1741226.81-5803.52-12108.151.511.310.022966.09
6-1058.7628111739.298968.8936371.82-5865.68-17799.261.530.99-0.00089-37.81
7-20118.232891932.1410090.5134264.1-5838.57-24029.741.730.82-0.017-718.51
8-18551.5528101835.719531.3237380.65-6325.82-17053.51.510.84-0.015-662.56
9-6747.762891932.1411521.4440686.36-5812.67-22813.691.980.94-0.005-240.99
1011825.0128121642.869763.4540524.23-6583.53-28538.231.481.110.0083422.32
Although, strategy looks good but profit factor on day 1 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
atrnil38.55-12229.9349113822.4522932.436934.38-6960.17-13307.363.290.95-0.0046-249.59
atrtrail34.77-18332.352153728.8511839.6236934.38-5295.31-13229.882.240.91-0.0085-352.54
atrtrail24.17-19399.1852153728.8511768.4924622.92-5295.31-13229.882.220.9-0.01-373.06
atrnil26.53-37756.5749143528.5714800.7324622.92-6999.05-13307.362.110.85-0.018-770.54
atrtrail-15.08-3749352143826.9211893.9165270.52-5368.63-13229.882.220.82-0.015-721.02

In the table above, row 1 shows the best exit criterion. Profit factor is 0.95. 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 22.45%, which is not acceptable. Avoid this strategy. Average return per trade is -0.12%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, Profit Factor:0.954

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018427 Feb 2018 (-2.56%), 05 Mar 2018 (8.64%), 15 May 2018 (-3.04%), 18 May 2018 (-3.19%)
2017310 Apr 2017 (-2.62%), 19 Apr 2017 (8.13%), 31 May 2017 (7.09%)
2015104 Sep 2015 (-4.25%)
2014517 Jan 2014 (-2.52%), 17 Feb 2014 (-2.01%), 19 Feb 2014 (-2.11%), 24 Sep 2014 (-3.79%), 13 Oct 2014 (-3.48%)
2013829 Jan 2013 (-2.33%), 30 Jan 2013 (-2.46%), 08 Feb 2013 (-2.45%), 12 Feb 2013 (-2.52%), 13 Feb 2013 (-2.62%), 14 Feb 2013 (-2.72%), 26 Nov 2013 (-2.11%), 04 Dec 2013 (6.44%)
2012526 Apr 2012 (-3.42%), 14 May 2012 (-3.25%), 18 May 2012 (9.75%), 31 Oct 2012 (-2.3%), 05 Nov 2012 (7.33%)
2010527 Jan 2010 (12.12%), 07 Apr 2010 (-2.04%), 19 Apr 2010 (-2.06%), 28 Apr 2010 (-2.23%), 04 May 2010 (-2.19%)
2009113 Jul 2009 (17.09%)
2007518 May 2007 (-4.01%), 19 Jul 2007 (-3.41%), 25 Jul 2007 (-3.63%), 30 Jul 2007 (-4.01%), 01 Aug 2007 (-4.25%)
2006427 Apr 2006 (-4.59%), 28 Apr 2006 (-4.94%), 19 May 2006 (-5.73%), 22 May 2006 (-6.65%)
2005217 Oct 2005 (-4.26%), 20 Oct 2005 (15.33%)
2004121 Jan 2004 (-6.61%)
2003513 Aug 2003 (-5.65%), 14 Aug 2003 (18.47%), 21 Oct 2003 (-4.87%), 22 Oct 2003 (-5.35%), 30 Oct 2003 (15.74%)



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