Study: Buy OFSS when RSI is below 50 and there is Bullish Crossover in MACD

home > technical-strategy > ofss > 64

In this study, we evaluate the performance of strategy "Buy OFSS when RSI is below 50 and there is Bullish Crossover in MACD" 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
125675.1749242548.983614.3918416.97-2442.81-10559.121.481.420.029523.98
215629.2449212842.864798.0220713.92-3040.33-15089.11.581.180.014318.96
399143.5449282157.146379.1928784.27-3784.46-12456.971.692.250.0682023.34
410745349272255.18071.9929239.52-5022.3-13694.31.611.970.062192.92
585881.4749252451.028105.5536260.8-4864.89-142991.671.740.0481752.68
610087749212842.8611504.8759353.32-5025.92-19523.362.291.720.0422058.71
712682949242548.9810859.7655533.03-5352.23-127452.031.950.0552588.34
815478249282157.1410175.6665243.84-6196.96-16108.851.642.190.0613158.82
918119549282157.1411302.8759182.58-6442.16-15493.491.752.340.0723697.86
1019745548291960.4211131.4265969.48-6597.69-17007.971.692.580.0764113.65
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.
OFSS Performance, X=10, Profit Factor:2.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019326 Mar 2019 (6.31%), 28 May 2019 (-3.3%), 02 Jul 2019 (2.82%)
2018313 Mar 2018 (-4.17%), 08 Jun 2018 (6.01%), 27 Jul 2018 (-0.5%)
2017207 Jul 2017 (1.77%), 01 Sep 2017 (1.81%)
2016604 Jan 2016 (-5.29%), 02 Mar 2016 (3.26%), 31 May 2016 (-1.56%), 23 Sep 2016 (-2.96%), 01 Nov 2016 (-4.22%), 28 Nov 2016 (2.59%)
2015331 Mar 2015 (2.9%), 24 Sep 2015 (1.5%), 17 Dec 2015 (-0.5%)
2014428 Feb 2014 (-7.39%), 25 Mar 2014 (3.93%), 05 Jun 2014 (1.37%), 30 Oct 2014 (-0.39%)
2013207 Mar 2013 (-8.5%), 13 Dec 2013 (7.69%)
2012129 May 2012 (-0.72%)
2011321 Feb 2011 (-2.43%), 28 Mar 2011 (1.96%), 02 Sep 2011 (1.86%)
2010317 May 2010 (-2.89%), 23 Aug 2010 (-0.85%), 07 Dec 2010 (6.54%)
2008406 Feb 2008 (-1.44%), 26 Mar 2008 (1.25%), 22 Oct 2008 (32.98%), 01 Dec 2008 (5.35%)
2007428 Aug 2007 (-3.37%), 27 Sep 2007 (-4.11%), 14 Nov 2007 (4.02%), 27 Dec 2007 (1.23%)
2006120 Jun 2006 (11.55%)
2005305 Apr 2005 (-8.08%), 25 Apr 2005 (10.98%), 07 Nov 2005 (9.31%)
2004510 Feb 2004 (6.31%), 01 Apr 2004 (2.35%), 21 May 2004 (10.46%), 10 Aug 2004 (5.35%), 29 Nov 2004 (6.93%)
2003107 Nov 2003 (1.0%)

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
atrnil312.8330554054203437.0426416.3587247.64-6552.55-21154.294.032.370.0715658.15
atrnil28.4425939355243143.6418897.8558165.09-6263.09-21154.293.022.340.0764716.23
atrtrail-16.368526.2656193733.9314088.2172449-5382.43-21379.962.621.340.021223.68
atrtrail25.146655456203635.7113124.0233324.96-5442.4-21379.962.411.340.0261188.46
atrtrail35.859797.4456193733.9313628.849987.43-5382.43-21379.962.531.30.0211067.81

In the table above, row 1 shows the best exit criterion. Profit factor is 2.37. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 37.04%, which is not acceptable. Avoid this strategy. Average return per trade is 2.83%, which is very good. Sharpe Ratio is 0.071, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
OFSS Performance, Profit Factor:2.37

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019526 Mar 2019 (6.9%), 28 May 2019 (-1.7%), 31 May 2019 (-1.71%), 02 Jul 2019 (-2.39%), 30 Aug 2019 (-3.47%)
2018313 Mar 2018 (-2.49%), 08 Jun 2018 (9.75%), 27 Jul 2018 (8.55%)
2017207 Jul 2017 (-1.91%), 01 Sep 2017 (6.12%)
2016704 Jan 2016 (-2.02%), 02 Mar 2016 (10.16%), 31 May 2016 (-2.49%), 23 Sep 2016 (-1.91%), 04 Oct 2016 (-2.22%), 01 Nov 2016 (-1.93%), 28 Nov 2016 (8.84%)
2015331 Mar 2015 (6.06%), 24 Sep 2015 (-3.34%), 17 Dec 2015 (-2.39%)
2014428 Feb 2014 (-1.99%), 25 Mar 2014 (6.49%), 05 Jun 2014 (9.34%), 30 Oct 2014 (-2.75%)
2013207 Mar 2013 (-3.54%), 13 Dec 2013 (5.95%)
2012229 May 2012 (-3.09%), 30 May 2012 (9.46%)
2011421 Feb 2011 (-3.12%), 01 Mar 2011 (-3.16%), 28 Mar 2011 (-2.72%), 02 Sep 2011 (13.21%)
2010517 May 2010 (-2.64%), 23 Aug 2010 (-2.11%), 26 Aug 2010 (-2.13%), 27 Aug 2010 (-2.33%), 07 Dec 2010 (-2.88%)
2008306 Feb 2008 (-10.58%), 26 Mar 2008 (21.14%), 22 Oct 2008 (43.62%)
2007428 Aug 2007 (-4.96%), 27 Sep 2007 (-3.92%), 14 Nov 2007 (-6.16%), 27 Dec 2007 (-5.44%)
2006120 Jun 2006 (24.99%)
2005305 Apr 2005 (-3.24%), 25 Apr 2005 (-3.87%), 07 Nov 2005 (13.19%)
2004510 Feb 2004 (-6.49%), 01 Apr 2004 (-4.32%), 21 May 2004 (24.21%), 10 Aug 2004 (10.08%), 29 Nov 2004 (10.2%)
2003107 Nov 2003 (15.87%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play