Study: Sell ACC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50

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In this study, we evaluate the performance of strategy "Sell ACC when near 200 SMA and below 200 SMA and below 50 SMA and below 20 SMA and RSI is below 50" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell ACC 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
1-14500.86251114443672.729020.63-3921.49-10211.520.940.74-0.025-580.03
211408.61251312525202.2210583.08-4685.02-18234.231.111.20.014456.34
339615.21251312527635.9619249.67-4971.02-12756.761.541.660.041584.61
437471.75251411567918.5822074.5-6671.67-24792.791.191.510.0321498.87
543906.462511144411473.9523505.53-5879.07-25873.871.951.530.0331756.26
618865.88251411568376.4425992.08-8945.84-43963.960.941.190.012754.64
762466.052513125211875.6225444.03-7659.76-36972.971.551.680.0392498.64
814938.742512134811477.0924368.21-9445.1-40936.941.221.120.0087597.55
939715.932512134813785.8250421.19-9670.3-38918.921.431.320.0191588.64
1071908.72514115612893.3354064.75-9872.54-41585.591.311.660.0352876.35
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
200trail-13.6246668.7332102231.2510604.9648289.86-2699.13-3905.583.931.790.0311458.4
200trail32.2812307.932102231.257168.8810662.24-2699.13-3905.582.661.210.016384.62
200nil32.6311446.7430921307948.7110662.24-2861.51-3905.582.781.190.015381.56
200trail21.886219.9734132138.245033.267108.16-2819.64-3905.581.791.110.0095182.94
200nil22.062883.1934132138.245033.267108.16-2978.54-3976.251.691.050.004384.8
atrnil39.745631.282781929.631768625547.66-7150.35-12986.112.471.040.0036208.57
atrtrail34.17754.9429101934.4810843.7624195.08-5667.51-12986.111.911.010.0005726.03
atrtrail-14.69-6127.732992031.0311404.4941721.88-5438.4-12986.112.10.94-0.0041-211.3
atrnil25.63-8046.527101737.0411664.8617031.77-7335-12986.111.590.94-0.0064-298.02
atrtrail23.62-10169.2329101934.489751.3417031.77-5667.51-12986.111.720.91-0.0085-350.66

In the table above, row 1 shows the best exit criterion. Profit factor is 1.79. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.73%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.031, 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.
ACC Performance, Profit Factor:1.79

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019509 Jan 2019 (-1.6%), 17 Jan 2019 (4.48%), 17 Jun 2019 (-1.93%), 01 Aug 2019 (-1.41%), 30 Aug 2019 (3.71%)
2018231 Jan 2018 (-1.09%), 15 Oct 2018 (-1.79%)
2016107 Nov 2016 (-1.06%)
2015321 Apr 2015 (-1.18%), 27 Apr 2015 (-1.42%), 11 May 2015 (0.3%)
2014116 Dec 2014 (-0.75%)
2013131 Jan 2013 (-1.06%)
2012211 May 2012 (-1.46%), 16 May 2012 (1.71%)
2011609 Feb 2011 (-1.61%), 06 May 2011 (-1.95%), 09 May 2011 (-0.15%), 13 May 2011 (-1.59%), 16 May 2011 (0.08%), 25 May 2011 (-1.71%)
2010224 May 2010 (2.21%), 05 Jul 2010 (4.61%)
2009103 Nov 2009 (-1.16%)
2008108 Jan 2008 (24.14%)
2004129 Oct 2004 (-1.55%)
2003106 Mar 2003 (7.27%)
2001317 May 2001 (-1.01%), 25 May 2001 (-1.69%), 27 Dec 2001 (-1.57%)
1997128 Aug 1997 (4.52%)
1995122 Nov 1995 (-0.95%)



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