Study: Buy OFSS when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy OFSS when RSI is oversold" 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
1-32214.8947232448.944515.3219252.79-5669.47-28279.870.80.76-0.022-685.42
2-44719.2947232448.946504.2223126.9-8096.51-32009.820.80.77-0.022-951.47
3-51444.1347222546.817535.4534428.94-8688.96-39141.790.870.76-0.022-1094.56
4-52490.0147202742.557726.8930546.27-7667.69-37411.921.010.75-0.024-1116.81
5-32659.2247252253.196863.1422227.35-9283.53-40249.20.740.84-0.016-694.88
6-27948.347262155.327779.5930992.2-10962.75-43307.530.710.88-0.011-594.64
7-31788.4147232448.9410412.8335866.68-11303.48-58259.390.920.88-0.011-676.35
8-69623.6847252253.199580.1431822.55-14051.24-72997.290.680.77-0.02-1481.35
9-1946.1347242351.0611553.6533318.27-12140.6-64501.920.950.99-0.00058-41.41
1018238.5647232448.9412642.8533990.7-11356.12-65080.861.111.070.0052388.05
Although, strategy looks good but profit factor on day 4 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
atrtrail24.0110253891375440.6615084.1863164.02-8436.61-24815.851.791.230.0181126.79
atrtrail34.9675380.0291375440.6614350.1894746.03-8436.61-24815.851.71.170.012828.35
atrnil26.3878760.8281295235.820299.0360201.45-9805.98-28776.632.071.150.014972.36
atrtrail-15.57-14747.3691375440.6611914.3196306.46-8436.61-24815.851.410.97-0.0025-162.06
atrnil311.45-23770.476166021.0533949.0790302.17-9449.26-28776.633.590.96-0.0036-312.77

In the table above, row 1 shows the best exit criterion. Profit factor is 1.23. 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 40.66%, which is not acceptable. Avoid this strategy. Average return per trade is 0.56%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.23

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019407 Jun 2019 (-0.77%), 14 Jun 2019 (-0.92%), 21 Jun 2019 (-1.76%), 21 Aug 2019 (7.91%)
2018130 Oct 2018 (-1.25%)
2017110 Aug 2017 (4.25%)
20161118 Jan 2016 (-2.33%), 20 Jan 2016 (4.89%), 11 Feb 2016 (-0.62%), 24 Feb 2016 (7.25%), 07 Sep 2016 (-2.61%), 09 Sep 2016 (-0.86%), 27 Sep 2016 (-1.61%), 29 Sep 2016 (4.44%), 15 Nov 2016 (-2.68%), 17 Nov 2016 (-1.99%), 22 Nov 2016 (6.16%)
2015108 Sep 2015 (8.79%)
2014518 Feb 2014 (0.44%), 11 Mar 2014 (-2.14%), 13 Mar 2014 (-2.14%), 19 Mar 2014 (4.78%), 14 Oct 2014 (3.02%)
2013512 Feb 2013 (-2.52%), 13 Feb 2013 (-2.62%), 14 Feb 2013 (5.43%), 28 Feb 2013 (0.34%), 22 Mar 2013 (0.77%)
2011809 Feb 2011 (1.92%), 22 Mar 2011 (0.83%), 05 Aug 2011 (-3.15%), 09 Aug 2011 (-2.87%), 16 Aug 2011 (-4.02%), 19 Aug 2011 (-1.45%), 25 Aug 2011 (9.66%), 23 Dec 2011 (7.1%)
2010628 Apr 2010 (-1.94%), 04 May 2010 (-2.19%), 07 May 2010 (-2.33%), 10 May 2010 (4.98%), 29 Jul 2010 (4.13%), 26 Nov 2010 (0.82%)
20081621 Jan 2008 (-8.63%), 22 Jan 2008 (-2.14%), 24 Jan 2008 (1.8%), 12 Sep 2008 (-4.74%), 15 Sep 2008 (-5.88%), 16 Sep 2008 (-6.56%), 18 Sep 2008 (-1.05%), 23 Sep 2008 (-7.31%), 25 Sep 2008 (-8.04%), 29 Sep 2008 (-7.71%), 03 Oct 2008 (-9.73%), 06 Oct 2008 (-10.92%), 08 Oct 2008 (-12.41%), 10 Oct 2008 (-7.31%), 16 Oct 2008 (-10.63%), 24 Oct 2008 (31.58%)
20071330 Jul 2007 (-3.14%), 01 Aug 2007 (-4.25%), 02 Aug 2007 (9.23%), 16 Aug 2007 (-4.49%), 17 Aug 2007 (-5.02%), 23 Aug 2007 (11.08%), 25 Sep 2007 (8.09%), 19 Oct 2007 (-5.67%), 25 Oct 2007 (-1.9%), 05 Nov 2007 (-5.37%), 07 Nov 2007 (-5.85%), 09 Nov 2007 (12.58%), 22 Nov 2007 (13.07%)
2006322 May 2006 (3.9%), 08 Jun 2006 (18.14%), 14 Jun 2006 (19.77%)
2005220 Apr 2005 (8.08%), 20 Oct 2005 (-0.76%)
20041521 Jan 2004 (-6.61%), 22 Jan 2004 (1.95%), 29 Jan 2004 (-7.54%), 30 Jan 2004 (15.76%), 15 Mar 2004 (-4.83%), 22 Mar 2004 (-4.51%), 25 Mar 2004 (9.65%), 29 Apr 2004 (-3.26%), 03 May 2004 (2.41%), 13 May 2004 (-5.16%), 14 May 2004 (-5.76%), 17 May 2004 (17.04%), 01 Nov 2004 (-2.74%), 10 Nov 2004 (-3.08%), 19 Nov 2004 (7.05%)



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