Study: Buy ACC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA

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In this study, we evaluate the performance of strategy "Buy ACC when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
116305.7922121054.553607.5110912.83-2698.43-6434.941.341.60.036741.17
231990.322291340.917602.0920864.79-2802.19-5306.022.711.880.0421454.11
328142.172291340.918095.2820178.45-3439.64-7989.032.351.630.0341279.19
428028.692281436.3611554.9126917.71-4600.76-12815.022.511.440.0261274.03
542508.1222101245.4512185.0328103.21-6611.85-13586.491.841.540.0351932.19
619859.1822101245.4511736.9622873.08-8125.87-13629.841.441.20.016902.69
740894.792291340.9113251.728015.11-6028.5-12232.132.21.520.0331858.85
861275.3922101245.4514632.2530336.31-7087.26-14460.832.061.720.0432785.24
977751.792291340.9117181.8934856.63-5914.24-14112.622.912.010.053534.17
1080253.821111052.3814670.9938633.82-8112.71-13773.311.811.990.0513821.61
Although, strategy looks good but profit factor on day 6 is less than minimum accepted value so avoid this, see below for further analysis.
ACC Performance, X=9, Profit Factor:2.01

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jan 2019 (-0.03%), 01 Nov 2019 (-3.67%)
2018216 Nov 2018 (-1.06%), 12 Dec 2018 (-0.39%)
2017117 Apr 2017 (8.21%)
2015106 Jul 2015 (-1.26%)
2013109 Dec 2013 (-5.94%)
2012125 Jun 2012 (7.21%)
2011228 Jul 2011 (-1.12%), 06 Sep 2011 (3.25%)
2010201 Jul 2010 (-7.06%), 20 Aug 2010 (2.81%)
2009116 Feb 2009 (-6.46%)
2007102 Jul 2007 (17.43%)
2003230 May 2003 (1.51%), 16 Jun 2003 (17.16%)
2001408 Jun 2001 (-3.23%), 02 Jul 2001 (-0.21%), 17 Jul 2001 (-3.03%), 14 Nov 2001 (16.21%)
1998102 Feb 1998 (-4.98%)
1997122 Dec 1997 (3.53%)

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-12.8741855.043192229.0311163.4327525.67-2664.36-3959.464.191.710.0341350.16
atrtrail34.2532283.4524101441.6710810.7826630.65-5416.02-9412.4421.430.0281345.14
atrtrail-14.9224110.8824101441.679993.5222644.95-5416.02-9412.441.851.320.0231004.62
atrtrail23.7921102.7624101441.679692.7117753.77-5416.02-9412.441.791.280.022879.28
200nil21.7313520.88301218405488.497762.02-2907.83-3959.461.891.260.022450.7
atrnil37.1318869.612371630.4317372.8726630.65-6421.28-9539.322.711.180.015820.42
200trail21.614563.831121938.714814.77762.02-2800.66-3959.461.721.090.0077147.22
atrnil24.965836.692491537.511421.9617753.77-6464.06-9539.321.771.060.0055243.2
200nil32.311592.892972224.148984.1211643.04-2786.18-3959.463.221.030.002254.93
200trail31.94855.533192229.036607.9311643.04-2664.36-3959.462.481.010.001227.6

In the table above, row 1 shows the best exit criterion. Profit factor is 1.71. 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 29.03%, which is not acceptable. Avoid this strategy. Average return per trade is 0.68%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, 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:1.71

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019202 Jan 2019 (-1.94%), 01 Nov 2019 (-1.0%)
2018516 Nov 2018 (-1.37%), 21 Nov 2018 (-1.33%), 30 Nov 2018 (0.03%), 12 Dec 2018 (1.91%), 26 Dec 2018 (-1.51%)
2017217 Apr 2017 (-0.89%), 21 Apr 2017 (6.32%)
2015206 Jul 2015 (-1.52%), 15 Jul 2015 (-1.07%)
2013109 Dec 2013 (-1.36%)
2012125 Jun 2012 (5.45%)
2011228 Jul 2011 (-1.15%), 06 Sep 2011 (2.62%)
2010301 Jul 2010 (-1.5%), 20 Aug 2010 (-1.07%), 30 Aug 2010 (-1.08%)
2009416 Feb 2009 (-1.52%), 18 Feb 2009 (-1.98%), 20 Feb 2009 (-1.06%), 25 Feb 2009 (-1.37%)
2007102 Jul 2007 (13.76%)
2003230 May 2003 (0.39%), 16 Jun 2003 (7.53%)
2001408 Jun 2001 (-0.89%), 02 Jul 2001 (-1.37%), 17 Jul 2001 (-1.89%), 14 Nov 2001 (12.22%)
1998102 Feb 1998 (-1.62%)
1997122 Dec 1997 (-0.81%)



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