Study: Sell OFSS when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell OFSS when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-37857.7276354146.052759.8213855.42-3279.31-15874.780.840.72-0.027-498.13
2-91710.2176304639.474598.4423327.92-4992.68-43689.430.920.6-0.036-1206.71
3-82027.9576334343.425634.4531303.91-6231.74-39714.240.90.69-0.028-1079.32
4-12880776354146.055135.7632166.52-7525.83-51630.40.680.58-0.042-1694.83
5-163172763838505555.6125953.24-9849.61-49513.120.560.56-0.047-2147
6-18745476393751.326277.5724103.01-11683.23-53148.80.540.57-0.049-2466.5
7-15192376413553.956791.6629691.21-12296.59-45363.450.550.65-0.038-1998.98
8-19142776403652.636650.8432816.6-12707.24-49880.930.520.58-0.045-2518.78
9-12245976373948.688147.2730891.36-10869.43-40435.50.750.71-0.031-1611.3
10-51440.1676413553.958777.4538392.3-11751.87-37778.040.750.87-0.012-676.84
Although, strategy looks good but profit factor on day 5 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
atrnil26.8256832.1790345637.7813586.4224317.52-7234.04-13636.21.881.140.015631.47
atrtrail24.7241814.3990375341.119555.7724317.52-5882.06-13636.21.621.130.012464.6
atrtrail35.3315907.55903654409212.6226751.78-5847.16-13636.21.581.050.0047176.75
atrnil39.93-82639.3189236625.8417762.8526751.78-7442.19-13636.22.390.83-0.02-928.53
atrtrail-15.97-77722.0388335537.57365.0332818.21-5832.15-13636.21.260.76-0.026-883.2

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 37.78%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019311 Feb 2019 (5.0%), 30 Apr 2019 (3.73%), 02 Aug 2019 (5.84%)
2018502 Jan 2018 (-2.15%), 05 Jan 2018 (-2.38%), 30 Jan 2018 (-2.8%), 07 May 2018 (5.66%), 05 Sep 2018 (-2.26%)
2017317 Feb 2017 (-2.5%), 21 Mar 2017 (4.94%), 18 Oct 2017 (-2.12%)
2016326 Apr 2016 (-2.18%), 02 Aug 2016 (-2.55%), 19 Aug 2016 (5.78%)
2015302 Jun 2015 (-2.55%), 09 Jul 2015 (-2.66%), 17 Aug 2015 (-2.48%)
2014509 Jan 2014 (5.25%), 11 Jul 2014 (-2.98%), 14 Jul 2014 (-3.02%), 20 Aug 2014 (-2.52%), 05 Sep 2014 (-2.18%)
2013510 Jan 2013 (5.07%), 17 Jun 2013 (-3.57%), 14 Aug 2013 (-2.93%), 17 Sep 2013 (-2.63%), 23 Oct 2013 (4.39%)
2012722 Feb 2012 (-3.19%), 23 Feb 2012 (-3.22%), 16 Apr 2012 (6.98%), 17 Jul 2012 (-2.61%), 30 Jul 2012 (-2.61%), 27 Aug 2012 (-3.36%), 05 Oct 2012 (5.18%)
2011407 Jun 2011 (-2.57%), 16 Jun 2011 (4.92%), 12 Jul 2011 (5.53%), 01 Nov 2011 (6.13%)
2010325 Mar 2010 (4.67%), 13 Jul 2010 (4.2%), 20 Oct 2010 (6.12%)
2009902 Mar 2009 (12.16%), 29 Apr 2009 (-6.55%), 06 May 2009 (-6.57%), 16 Jun 2009 (-6.14%), 17 Aug 2009 (-3.77%), 08 Sep 2009 (-3.88%), 23 Oct 2009 (-4.17%), 28 Oct 2009 (9.02%), 19 Nov 2009 (-4.55%)
2008209 May 2008 (-6.38%), 26 May 2008 (-6.82%)
2007423 Jan 2007 (-4.28%), 04 May 2007 (7.74%), 05 Jul 2007 (-3.27%), 06 Jul 2007 (6.73%)
2006801 Feb 2006 (6.65%), 13 Apr 2006 (-4.24%), 17 Apr 2006 (-4.23%), 08 Aug 2006 (-4.91%), 28 Aug 2006 (-3.74%), 03 Nov 2006 (-2.28%), 08 Nov 2006 (-2.59%), 22 Dec 2006 (-4.19%)
2005610 Mar 2005 (7.51%), 06 Jun 2005 (-4.18%), 28 Jun 2005 (-3.34%), 29 Jul 2005 (8.67%), 19 Aug 2005 (8.91%), 16 Dec 2005 (-3.45%)
2004507 Jul 2004 (8.63%), 15 Sep 2004 (4.88%), 16 Sep 2004 (-3.39%), 28 Sep 2004 (-3.21%), 29 Dec 2004 (-3.09%)
20031008 Jan 2003 (7.61%), 22 Jan 2003 (8.64%), 12 Mar 2003 (-4.41%), 01 Apr 2003 (-5.37%), 09 Apr 2003 (8.82%), 20 May 2003 (-4.35%), 31 Jul 2003 (11.67%), 03 Oct 2003 (-3.46%), 16 Oct 2003 (7.46%), 23 Dec 2003 (-4.28%)
2002519 Sep 2002 (8.92%), 20 Sep 2002 (-5.34%), 28 Oct 2002 (7.55%), 08 Nov 2002 (-3.93%), 04 Dec 2002 (-4.17%)



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