Study: Sell ACC when there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ACC when there is Bearish Crossover in MACD" 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
166955.971911009152.363870.7420238.58-3517.78-14711.731.11.210.013350.55
247864.65191989351.315513.6925720.2-5295.45-24327.961.041.10.007250.6
3117023191989351.317171.7527134.72-6299.01-31397.911.141.20.014612.69
4143173191999251.837749.6437191.65-6783.05-45047.931.141.230.015749.6
51258291901018953.167809.435311.37-7448.55-48314.071.051.190.013662.26
61916631901088256.848372.6428463-8690.02-49998.180.961.270.0181008.75
72708481901058555.269275.7535758.94-8271.83-63653.261.121.390.0241425.52
8190425190999152.1110297.9738339.48-9110.71-68166.081.131.230.0151002.24
92949041901018953.1611386.7147998.57-9608.46-53220.571.191.340.0211552.13
102770301901038754.2111808.4857164.01-10795.9-48039.911.091.290.0191458.05
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
atrtrail351978662268713938.510820.6449760.2-5349.13-19243.92.021.270.017875.51
atrtrail24.271715852339114239.0610349.4733173.46-5424.06-19243.91.911.220.016736.42
atrtrail-15.61526762258414137.3310780.9748788.29-5339.9-19243.92.021.20.013678.56
atrnil213.46-1840831806711337.2212462.9126568.26-9018.57-2295671.380.82-0.01-1022.68
atrnil316.64-1956411704712327.6518877.7439852.39-8804.02-2295672.140.82-0.011-1150.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 38.5%, which is not acceptable. Avoid this strategy. Average return per trade is 0.44%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.017, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019811 Feb 2019 (0.0%), 08 Apr 2019 (-2.32%), 22 Apr 2019 (0.88%), 06 Jun 2019 (3.42%), 08 Jul 2019 (-2.67%), 30 Jul 2019 (-1.18%), 21 Aug 2019 (-1.6%), 04 Oct 2019 (0.89%)
2018923 Jan 2018 (5.33%), 23 Mar 2018 (-0.87%), 04 May 2018 (6.49%), 16 Jul 2018 (-3.21%), 29 Aug 2018 (-2.52%), 19 Oct 2018 (2.01%), 28 Nov 2018 (-2.91%), 06 Dec 2018 (-2.01%), 26 Dec 2018 (-1.65%)
2017516 Feb 2017 (2.72%), 18 May 2017 (2.57%), 27 Jun 2017 (-1.64%), 11 Aug 2017 (-2.34%), 08 Nov 2017 (0.49%)
20161006 Jan 2016 (5.41%), 17 Feb 2016 (-2.69%), 25 Feb 2016 (-1.94%), 22 Apr 2016 (-2.22%), 14 Jun 2016 (-1.73%), 05 Jul 2016 (-1.73%), 03 Aug 2016 (-1.82%), 10 Aug 2016 (-2.36%), 09 Sep 2016 (1.9%), 19 Oct 2016 (6.31%)
20151004 Feb 2015 (-2.57%), 10 Mar 2015 (3.45%), 16 Apr 2015 (1.35%), 05 Jun 2015 (1.81%), 21 Jul 2015 (3.28%), 28 Aug 2015 (-0.44%), 07 Sep 2015 (-2.83%), 24 Sep 2015 (-1.55%), 09 Nov 2015 (0.95%), 09 Dec 2015 (-1.85%)
2014825 Mar 2014 (-2.61%), 09 Apr 2014 (0.4%), 26 May 2014 (-2.25%), 19 Jun 2014 (-1.29%), 25 Jul 2014 (1.83%), 11 Sep 2014 (0.93%), 19 Nov 2014 (-0.76%), 09 Dec 2014 (2.01%)
20131209 Jan 2013 (0.67%), 11 Feb 2013 (-1.11%), 04 Mar 2013 (-2.79%), 05 Mar 2013 (-2.6%), 18 Mar 2013 (8.29%), 14 May 2013 (-2.56%), 22 May 2013 (-1.35%), 03 Jun 2013 (-0.86%), 24 Jul 2013 (3.79%), 25 Oct 2013 (-0.91%), 17 Dec 2013 (-1.95%), 31 Dec 2013 (7.49%)
20121104 Jan 2012 (-2.45%), 22 Feb 2012 (1.81%), 26 Mar 2012 (-2.41%), 11 May 2012 (-0.08%), 12 Jul 2012 (-1.45%), 17 Aug 2012 (-1.83%), 23 Aug 2012 (1.64%), 10 Oct 2012 (-2.54%), 16 Oct 2012 (2.21%), 15 Nov 2012 (-0.57%), 20 Dec 2012 (-1.82%)
2011804 Jan 2011 (7.76%), 15 Jun 2011 (6.88%), 05 Aug 2011 (-2.45%), 08 Aug 2011 (-2.68%), 16 Aug 2011 (-2.66%), 17 Oct 2011 (-1.64%), 15 Nov 2011 (6.9%), 12 Dec 2011 (-3.27%)
2010622 Jan 2010 (8.69%), 17 Mar 2010 (0.14%), 18 May 2010 (-0.74%), 06 Jul 2010 (3.37%), 29 Sep 2010 (-1.04%), 16 Nov 2010 (1.82%)
2009816 Jan 2009 (-0.79%), 25 Feb 2009 (0.88%), 19 Mar 2009 (-3.96%), 06 May 2009 (3.03%), 17 Jun 2009 (5.03%), 10 Aug 2009 (-5.36%), 14 Sep 2009 (-3.79%), 06 Oct 2009 (-1.55%)
2008807 Mar 2008 (-5.5%), 11 Apr 2008 (-1.84%), 09 Jun 2008 (-4.65%), 27 Jun 2008 (13.58%), 19 Aug 2008 (-2.41%), 06 Oct 2008 (3.57%), 17 Nov 2008 (0.41%), 29 Dec 2008 (-7.98%)
20071008 Jan 2007 (-2.81%), 24 Jan 2007 (-2.99%), 12 Feb 2007 (9.78%), 24 May 2007 (9.69%), 25 Jul 2007 (1.53%), 08 Oct 2007 (-5.02%), 09 Oct 2007 (-5.03%), 18 Oct 2007 (-3.41%), 10 Dec 2007 (-4.4%), 18 Dec 2007 (1.42%)
2006914 Feb 2006 (-3.09%), 23 Mar 2006 (-3.14%), 27 Apr 2006 (-4.11%), 21 Jul 2006 (-4.84%), 31 Aug 2006 (-2.39%), 11 Sep 2006 (-2.56%), 12 Sep 2006 (-2.61%), 05 Oct 2006 (-0.9%), 08 Dec 2006 (9.54%)
20051511 Jan 2005 (-2.8%), 20 Jan 2005 (-3.79%), 16 Feb 2005 (-0.74%), 11 Apr 2005 (-1.96%), 29 Apr 2005 (-2.91%), 20 May 2005 (-2.46%), 16 Jun 2005 (-1.37%), 27 Jun 2005 (6.03%), 01 Aug 2005 (-1.16%), 25 Aug 2005 (-2.77%), 09 Sep 2005 (-1.09%), 07 Oct 2005 (8.29%), 12 Dec 2005 (-2.99%), 16 Dec 2005 (-3.27%), 21 Dec 2005 (10.7%)
20041015 Jan 2004 (0.6%), 20 Feb 2004 (0.99%), 11 Mar 2004 (1.63%), 03 May 2004 (-3.85%), 10 May 2004 (-1.54%), 15 Jun 2004 (-0.28%), 14 Jul 2004 (-4.41%), 26 Aug 2004 (-1.92%), 03 Sep 2004 (-2.26%), 23 Dec 2004 (-2.2%)
20031003 Jan 2003 (0.74%), 05 Mar 2003 (8.71%), 21 Apr 2003 (1.5%), 16 Jun 2003 (-2.54%), 09 Jul 2003 (-3.1%), 18 Jul 2003 (1.6%), 25 Aug 2003 (-4.24%), 22 Oct 2003 (-4.06%), 17 Nov 2003 (1.12%), 05 Dec 2003 (-0.38%)
20021225 Jan 2002 (-0.58%), 22 Feb 2002 (-3.81%), 05 Mar 2002 (3.65%), 08 Apr 2002 (-0.96%), 21 May 2002 (-3.03%), 22 May 2002 (-1.83%), 11 Jun 2002 (-2.95%), 26 Jun 2002 (-3.09%), 15 Jul 2002 (8.61%), 23 Sep 2002 (-0.74%), 23 Oct 2002 (-0.66%), 10 Dec 2002 (-1.85%)
2001615 Feb 2001 (-1.34%), 10 May 2001 (-0.95%), 07 Jun 2001 (0.71%), 25 Jul 2001 (-4.07%), 20 Aug 2001 (9.62%), 10 Dec 2001 (13.68%)
2000705 Jan 2000 (19.2%), 18 Feb 2000 (0.23%), 25 Apr 2000 (24.88%), 21 Jul 2000 (4.46%), 08 Sep 2000 (-4.56%), 11 Sep 2000 (13.53%), 20 Dec 2000 (1.86%)
1999919 Jan 1999 (-5.17%), 21 Jan 1999 (-4.93%), 18 Mar 1999 (-4.79%), 19 Mar 1999 (-4.84%), 13 Apr 1999 (-0.99%), 26 Apr 1999 (-2.03%), 19 May 1999 (-9.62%), 06 Sep 1999 (15.69%), 28 Oct 1999 (4.37%)
19981307 Jan 1998 (8.59%), 17 Mar 1998 (-4.22%), 18 Mar 1998 (-2.74%), 30 Mar 1998 (-2.72%), 13 Apr 1998 (-3.71%), 15 Apr 1998 (-2.52%), 13 May 1998 (-4.6%), 14 May 1998 (-4.57%), 28 May 1998 (-3.96%), 27 Jul 1998 (-4.96%), 28 Jul 1998 (14.47%), 05 Oct 1998 (-4.34%), 26 Nov 1998 (11.82%)
19971022 Jan 1997 (-4.28%), 25 Feb 1997 (-4.52%), 17 Mar 1997 (13.62%), 07 May 1997 (14.24%), 15 Jul 1997 (-4.71%), 16 Jul 1997 (-1.05%), 11 Aug 1997 (-3.91%), 12 Aug 1997 (11.79%), 19 Sep 1997 (2.16%), 27 Oct 1997 (3.17%)
1996817 Jan 1996 (1.4%), 15 Apr 1996 (-2.99%), 16 Apr 1996 (-3.21%), 12 Jun 1996 (10.24%), 11 Sep 1996 (4.92%), 18 Oct 1996 (-2.67%), 04 Nov 1996 (13.25%), 19 Nov 1996 (4.85%)
1995420 Apr 1995 (7.64%), 13 Jun 1995 (6.88%), 03 Aug 1995 (-2.8%), 18 Oct 1995 (4.89%)



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