Study: Sell ACC when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell ACC when below 200 SMA and near 50 SMA and below 50 SMA" 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
15154.7763362757.142035.88376.17-2523.48-9360.450.811.080.005181.82
29010.9263323150.794364.7818375.67-4214.9-16066.321.041.070.0049143.03
328357.4463323150.795670.319368.7-4938.46-19333.51.151.190.013450.12
417395.8763342953.976138.5622659.5-6597.07-27485.090.931.090.0067276.12
565585.1863352855.567706.9825979.59-7291.39-32255.171.061.320.0211041.03
61357.6463313249.219167.6227938.21-8838.71-48517.521.0410.0003621.55
7430.5263333052.389139.4536715.92-10039.04-58702.930.9110.00016.83
817391.7462273543.5511875.2944713.25-8664.03-46140.651.371.060.0039280.51
9-59449.7662243838.7112479.843546-9446.45-45258.521.320.83-0.014-958.87
10-28679.9962293346.7712313.6946844.87-11690.21-55141.711.050.93-0.0057-462.58
Although, strategy looks good but profit factor on day 2 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
50trail-13.5236562.8991266528.578503.0741276.02-2838.72-3927.1831.20.012401.79
50trail32.4331697.4793286530.117776.111160.91-2862.05-3927.182.721.170.013340.83
50nil32.8628338.4588246427.279394.7511671.81-3080.24-3977.743.051.140.012322.03
atrtrail24.3230666.972264636.119960.2529815.18-4963.03-12391.372.011.130.01425.93
atrnil37.673355361154624.5922311.8844722.77-6546.2-12391.373.411.110.0082550.05
atrtrail-15.6821478.7572264636.119606.8656597.91-4963.03-12391.371.941.090.0061298.32
50nil22.415826.5292316133.76218.17781.21-3064.5-3977.742.031.030.002963.33
atrtrail35.143197.8272264636.118903.7425593.58-4963.03-12391.371.791.010.001144.41
50trail22.17-1965.5495316432.635904.187440.6-2890.55-3927.182.040.99-0.00099-20.69
atrnil25.35-13246.1966214531.8213463.5329815.18-6577.34-12391.372.050.96-0.004-200.7

In the table above, row 1 shows the best exit criterion. Profit factor is 1.2. 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 28.57%, which is not acceptable. Avoid this strategy. Average return per trade is 0.2%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.012, 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:1.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019703 Jan 2019 (-1.4%), 09 Jan 2019 (-1.6%), 27 Feb 2019 (-1.16%), 13 Sep 2019 (0.84%), 16 Oct 2019 (-1.36%), 23 Oct 2019 (-0.92%), 05 Nov 2019 (-1.48%)
2018517 Apr 2018 (-1.3%), 19 Apr 2018 (-0.56%), 12 Jul 2018 (3.2%), 29 Nov 2018 (-1.96%), 24 Dec 2018 (-1.79%)
2017312 Jan 2017 (-0.87%), 07 Mar 2017 (-1.35%), 23 Mar 2017 (-1.16%)
2016304 Jan 2016 (7.64%), 19 Feb 2016 (4.62%), 15 Mar 2016 (-1.6%)
2015920 Jul 2015 (4.57%), 20 Aug 2015 (3.8%), 14 Sep 2015 (-1.29%), 21 Sep 2015 (1.02%), 01 Oct 2015 (-0.55%), 09 Nov 2015 (1.71%), 26 Nov 2015 (-1.26%), 02 Dec 2015 (1.22%), 16 Dec 2015 (-1.29%)
2014102 Jan 2014 (4.68%)
20131322 Apr 2013 (-1.44%), 06 May 2013 (-1.44%), 13 May 2013 (-1.01%), 14 May 2013 (-1.05%), 07 Jun 2013 (-1.02%), 13 Jun 2013 (-1.4%), 17 Jun 2013 (-1.56%), 24 Sep 2013 (-1.76%), 29 Nov 2013 (-1.82%), 03 Dec 2013 (-1.52%), 20 Dec 2013 (-1.76%), 23 Dec 2013 (-1.01%), 30 Dec 2013 (-1.77%)
2011407 Jul 2011 (1.77%), 14 Jul 2011 (-1.64%), 04 Aug 2011 (-0.59%), 08 Aug 2011 (-1.06%)
2010505 Jul 2010 (4.61%), 28 Jul 2010 (0.95%), 11 Aug 2010 (-1.31%), 13 Aug 2010 (-1.11%), 17 Aug 2010 (-1.81%)
2008611 Mar 2008 (-1.67%), 12 Mar 2008 (2.16%), 28 Jul 2008 (0.42%), 31 Jul 2008 (-1.76%), 29 Aug 2008 (-1.84%), 07 Oct 2008 (0.05%)
2007224 Apr 2007 (-1.75%), 15 Jun 2007 (-1.31%)
2004226 Jul 2004 (0.73%), 30 Jul 2004 (-1.03%)
2003308 Apr 2003 (8.96%), 21 May 2003 (-1.29%), 22 May 2003 (-1.19%)
2002411 Sep 2002 (-1.85%), 23 Sep 2002 (0.31%), 30 Sep 2002 (-1.51%), 01 Nov 2002 (-1.42%)
2001403 Jul 2001 (-1.6%), 04 Jul 2001 (-1.15%), 26 Jul 2001 (-1.68%), 27 Aug 2001 (8.48%)
2000411 Jan 2000 (-1.44%), 19 Jan 2000 (4.38%), 11 Apr 2000 (2.42%), 11 Aug 2000 (-1.69%)
1999110 Sep 1999 (-1.47%)
1998714 Jan 1998 (-1.64%), 04 Feb 1998 (-1.24%), 05 Feb 1998 (0.61%), 24 Sep 1998 (-1.64%), 25 Sep 1998 (-1.51%), 28 Sep 1998 (9.63%), 10 Nov 1998 (-1.93%)
1997430 Apr 1997 (20.64%), 23 Jun 1997 (-1.95%), 28 Nov 1997 (-1.85%), 05 Dec 1997 (-1.12%)
1996410 Jan 1996 (-1.7%), 17 Jan 1996 (-1.2%), 03 Sep 1996 (11.12%), 26 Dec 1996 (-1.88%)



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