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

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In this study, we evaluate the performance of strategy "Buy ACC when above 200 SMA and near 50 SMA and above 50 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
1-40704.8675354046.672859.7911159.33-3519.93-13085.010.810.71-0.026-542.73
2-39112.68753045405332.0112833.87-4423.84-16933.871.210.8-0.017-521.5
3-21982.72753342445882.4217931.89-5145.3-17177.571.140.9-0.0085-293.1
4-8448.42753639486706.9420582.77-6407.64-17318.121.050.97-0.0028-112.65
517825.0675344145.338001.8422871.46-6200.92-21981.471.291.070.0055237.67
6-9527.9475344145.338102.2527030.38-6951.33-24847.241.170.97-0.0028-127.04
7-30478.0475354046.678086.5824919.4-7837.71-33285.271.030.9-0.0083-406.37
835342.7175344145.339788.4426853.82-7255.23-28225.21.351.120.0087471.24
918293.9575354046.679084.5724881.17-7491.65-27287.121.211.060.0046243.92
105019475354046.679580.1626410.42-7127.79-266541.341.180.013669.25
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
atrnil38.18-1793.2478195924.3619240.9937144.24-6226.64-10907.763.091-0.0004-22.99
50trail-13.3-7671.46119338627.736940.5422518.21-2752.44-3973.042.520.97-0.0024-64.47
atrnil25.83-24770.7484275732.1412272.6324762.83-6247.93-10907.761.960.93-0.0065-294.89
atrtrail24.11-22542.8599356435.358091.224762.83-4777.11-10907.761.690.93-0.0062-227.71
atrtrail-15.33-24920.899356435.358023.2634566.31-4777.11-10907.761.680.92-0.0064-251.73
50nil22.14-21448.58113377632.745752.767999.69-3082.9-3978.981.870.91-0.0091-189.81
atrtrail34.74-29706.3799356435.357886.5323672.71-4777.11-10907.761.650.9-0.0082-300.06
50trail21.88-31301.05120388231.675292.617999.69-2834.39-3978.981.870.87-0.013-260.84
50nil32.86-34439.28107268124.38299.2811999.54-3089.14-3973.042.690.86-0.013-321.86
50trail32.29-34567.02119338627.736125.5311558.6-2752.44-3973.042.230.85-0.014-290.48

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 24.36%, which is not acceptable. Avoid this strategy. Average return per trade is -0.011%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ACC Performance, Profit Factor:0.995

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019504 Jan 2019 (-2.86%), 08 May 2019 (-2.56%), 17 May 2019 (7.37%), 09 Aug 2019 (-2.79%), 03 Oct 2019 (-3.14%)
2018328 Sep 2018 (-3.49%), 16 Nov 2018 (-3.11%), 30 Nov 2018 (-2.76%)
2017512 Jun 2017 (-2.27%), 20 Sep 2017 (-1.97%), 13 Oct 2017 (-2.35%), 08 Dec 2017 (-1.93%), 28 Dec 2017 (5.73%)
2016420 May 2016 (6.28%), 10 Aug 2016 (-2.36%), 22 Sep 2016 (-2.21%), 10 Oct 2016 (-2.09%)
2015213 Jan 2015 (6.32%), 18 Mar 2015 (-2.92%)
2014507 May 2014 (8.15%), 08 Jul 2014 (-3.12%), 12 Aug 2014 (-2.69%), 22 Oct 2014 (-2.4%), 01 Dec 2014 (-2.06%)
2013107 Jan 2013 (-1.85%)
2012419 Jan 2012 (7.83%), 31 Aug 2012 (5.57%), 01 Nov 2012 (-2.46%), 04 Dec 2012 (-2.26%)
2011527 Jan 2011 (-2.83%), 14 Mar 2011 (7.72%), 21 Nov 2011 (-2.51%), 30 Nov 2011 (-2.84%), 28 Dec 2011 (-2.98%)
2010525 Mar 2010 (-2.98%), 21 Jun 2010 (-2.88%), 28 Jun 2010 (-2.87%), 01 Jul 2010 (-2.86%), 22 Nov 2010 (-3.09%)
2009413 Jul 2009 (16.61%), 11 Aug 2009 (-5.34%), 28 Aug 2009 (-4.38%), 24 Sep 2009 (-3.39%)
2007216 Aug 2007 (-5.45%), 23 Nov 2007 (-5.06%)
2006406 Jul 2006 (-4.72%), 19 Jul 2006 (14.91%), 11 Dec 2006 (-3.86%), 22 Dec 2006 (-4.72%)
2005815 Mar 2005 (-2.52%), 13 Apr 2005 (-1.98%), 19 Apr 2005 (-2.07%), 28 Apr 2005 (8.74%), 02 Jun 2005 (-2.33%), 30 Jun 2005 (7.08%), 22 Sep 2005 (7.1%), 10 Oct 2005 (-2.85%)
2004403 Feb 2004 (18.57%), 11 May 2004 (-4.31%), 12 Oct 2004 (-1.95%), 18 Nov 2004 (5.57%)
2003507 Jan 2003 (-2.75%), 24 Feb 2003 (-3.05%), 16 Sep 2003 (-4.6%), 29 Sep 2003 (14.37%), 08 Dec 2003 (11.84%)
2002708 May 2002 (7.47%), 17 May 2002 (-2.75%), 22 May 2002 (-3.09%), 24 May 2002 (-3.14%), 06 Jun 2002 (-3.03%), 14 Jun 2002 (-3.35%), 12 Jul 2002 (-2.83%)
2001429 May 2001 (-5.12%), 08 Jun 2001 (-4.77%), 24 Dec 2001 (-4.97%), 31 Dec 2001 (15.55%)
1997122 Aug 1997 (-3.85%)



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