Study: Buy OFSS when above 200 SMA and RSI is oversold

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In this study, we evaluate the performance of strategy "Buy OFSS when above 200 SMA and 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
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

In the table above, row 1 shows the best exit criterion. Profit factor is 0.77. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is -0.66%, 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:0.773

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2015108 Sep 2015 (8.79%)
2014218 Feb 2014 (-2.04%), 14 Oct 2014 (6.98%)
2013312 Feb 2013 (-2.52%), 13 Feb 2013 (-2.62%), 14 Feb 2013 (5.43%)
2010228 Apr 2010 (-2.23%), 04 May 2010 (-2.19%)
2007230 Jul 2007 (-4.01%), 01 Aug 2007 (-4.25%)
2006122 May 2006 (-6.65%)
2005120 Oct 2005 (10.22%)
2004221 Jan 2004 (-6.61%), 29 Jan 2004 (-7.54%)

View performance of other stocks for this trading system.

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