Study: Sell OFSS when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell OFSS when RSI is overbought" 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
155793.4876472961.844038.0313002.31-4620.49-13549.830.871.420.033734.12
21751.0476443257.894846.725855.82-6609.49-56437.440.731.010.0005923.04
3-52087.8676403652.635251.721284.27-7282.1-39235.910.720.8-0.018-685.37
4-69490.7876373948.685786.7330056-7271.79-30292.580.80.75-0.024-914.35
5-49642.1776344244.747604.329195.56-7337.82-28155.481.040.84-0.016-653.19
6-76696.3376314540.799866.2930686.5-8501.14-32254.061.160.8-0.02-1009.16
7-65826.5276304639.4710761.0235398.88-8449.06-28825.211.270.83-0.017-866.14
8-76470.2676344244.749689.836240.55-9664.85-28882.5210.81-0.019-1006.19
9-77202.3276344244.7410490.5835430.01-10330.52-32984.361.020.82-0.018-1015.82
10-12823876304639.4711257.4931088.39-10129.63-34918.821.110.72-0.03-1687.34

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.84%, which is good. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.

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
nilnil-1155793.4876472961.844038.0313002.31-4620.49-13549.830.871.420.033734.12
atrnil37.32-15682.88130339725.3820384.2435394.26-7096.52-13911.022.870.98-0.0023-120.64
atrtrail34.49-12679.421504610430.6710485.1436340.85-4759.58-13911.022.20.97-0.0023-84.53
atrtrail24.04-26532.1315048102329651.3726518.27-4801.94-13911.022.010.95-0.0053-176.88
atrnil25.75-78865.77131419031.313642.426518.27-7091.16-13911.021.920.88-0.014-602.03
atrtrail-14.89-1321161494410529.538270.2627630.07-4723.88-13911.021.750.73-0.028-886.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 61.84%, which is good. Average return per trade is 0.37%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.033, 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. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, X=1, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018320 Apr 2018 (1.42%), 29 Aug 2018 (-0.32%), 17 Sep 2018 (5.11%)
2017402 Feb 2017 (-2.73%), 09 Mar 2017 (0.93%), 11 Dec 2017 (0.38%), 28 Dec 2017 (-0.9%)
2015521 May 2015 (-1.4%), 18 Jun 2015 (1.08%), 02 Jul 2015 (1.23%), 03 Aug 2015 (-3.65%), 18 Aug 2015 (0.74%)
2014511 Apr 2014 (1.31%), 30 Jun 2014 (1.06%), 04 Aug 2014 (0.59%), 22 Aug 2014 (0.41%), 11 Sep 2014 (-6.55%)
2013431 Jul 2013 (-1.15%), 11 Sep 2013 (0.68%), 07 Oct 2013 (-0.45%), 18 Dec 2013 (1.64%)
2012606 Feb 2012 (0.72%), 24 Feb 2012 (1.63%), 12 Apr 2012 (3.96%), 03 Aug 2012 (-2.48%), 14 Dec 2012 (1.21%), 31 Dec 2012 (-0.18%)
2011117 Oct 2011 (1.58%)
2010314 Jan 2010 (0.48%), 15 Sep 2010 (2.56%), 13 Oct 2010 (2.59%)
20091127 Jan 2009 (-1.17%), 10 Feb 2009 (-0.77%), 25 Feb 2009 (-2.95%), 15 Apr 2009 (5.53%), 18 May 2009 (5.94%), 01 Jun 2009 (3.73%), 30 Jul 2009 (-4.42%), 13 Aug 2009 (0.64%), 27 Aug 2009 (2.07%), 08 Oct 2009 (-6.77%), 26 Oct 2009 (0.9%)
2008217 Apr 2008 (-2.06%), 22 May 2008 (4.38%)
2007317 Jan 2007 (2.15%), 04 Apr 2007 (2.0%), 19 Apr 2007 (1.09%)
20061016 Jan 2006 (1.95%), 10 Mar 2006 (-0.02%), 27 Mar 2006 (0.14%), 12 Apr 2006 (6.5%), 13 Jul 2006 (2.21%), 16 Aug 2006 (2.15%), 18 Oct 2006 (1.78%), 06 Nov 2006 (2.33%), 05 Dec 2006 (1.22%), 19 Dec 2006 (1.15%)
2005519 May 2005 (-1.48%), 24 Jun 2005 (1.9%), 21 Jul 2005 (-1.54%), 10 Aug 2005 (1.97%), 29 Nov 2005 (3.73%)
2004301 Sep 2004 (-1.31%), 21 Sep 2004 (-4.8%), 16 Dec 2004 (0.4%)
2003823 Jun 2003 (2.75%), 08 Jul 2003 (-5.42%), 04 Sep 2003 (-2.2%), 19 Sep 2003 (-0.81%), 13 Oct 2003 (2.13%), 28 Nov 2003 (-2.89%), 12 Dec 2003 (-1.7%), 29 Dec 2003 (2.81%)
2002314 Nov 2002 (-1.49%), 29 Nov 2002 (-0.36%), 23 Dec 2002 (-5.02%)



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