Study: Sell ACC when RSI is below 50 and there is Bearish Crossover in MACD

home > technical-strategy > acc > 26

In this study, we evaluate the performance of strategy "Sell ACC when RSI is below 50 and 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
137884.38125685754.43888.6220238.58-3974.42-14711.730.981.170.011303.08
224578.97125675853.65054.4525720.2-5414.99-24327.960.931.080.0056196.63
380882.78125685754.46564.5527134.72-6412.39-31397.911.021.220.014647.06
41266741256560527959.937191.65-6512-45047.931.221.320.021013.39
567791.77124675754.037715.3235311.37-7879.55-48314.070.981.150.01546.71
6111929124685654.848846.728463-8743.69-49998.181.011.230.015902.65
7215286124695555.659895.2935758.94-8499.8-63653.261.161.460.0281736.18
8182910124646051.6110907.0938339.48-8585.72-68166.081.271.360.0221475.08
9242000124655952.4211696.8146940.14-8784.63-53220.571.331.470.0281951.61
10257573124675754.0312111.8447443.5-9717.89-39441.551.251.470.0292077.21
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
atrtrail35.2414573013554814011107.2149760.2-5605.67-19243.91.981.320.0211079.48
atrtrail24.43123999141578440.4310609.5733173.46-5723.17-19243.91.851.260.019879.43
atrtrail-15.85109128134528238.8110907.8548788.29-5586.35-19243.91.951.240.015814.39
atrnil323.03-19184997277027.8419569.9139852.39-10289.09-2295671.90.73-0.015-1977.82
atrnil218.89-211537106396736.7912572.5226568.26-10475.6-2295671.20.7-0.017-1995.63

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.54%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019611 Feb 2019 (0.0%), 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%)
2018824 Jan 2018 (5.85%), 23 Mar 2018 (-0.87%), 04 May 2018 (6.49%), 16 Jul 2018 (-3.21%), 19 Oct 2018 (2.01%), 28 Nov 2018 (-2.91%), 06 Dec 2018 (-2.01%), 27 Dec 2018 (-3.06%)
2017227 Jun 2017 (-1.64%), 09 Nov 2017 (-1.05%)
2016606 Jan 2016 (5.41%), 17 Feb 2016 (-2.69%), 25 Feb 2016 (-1.94%), 10 Aug 2016 (-2.36%), 09 Sep 2016 (1.9%), 19 Oct 2016 (6.31%)
2015816 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%)
2014426 May 2014 (-2.25%), 25 Jul 2014 (1.83%), 19 Nov 2014 (-0.76%), 09 Dec 2014 (2.01%)
20131109 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%), 28 Oct 2013 (-3.09%), 17 Dec 2013 (-1.95%)
2012504 Jan 2012 (-2.45%), 27 Mar 2012 (-2.88%), 11 May 2012 (-0.08%), 15 Nov 2012 (-0.57%), 20 Dec 2012 (-1.82%)
2011515 Jun 2011 (6.88%), 05 Aug 2011 (-2.45%), 08 Aug 2011 (-2.68%), 26 Aug 2011 (-2.53%), 12 Dec 2011 (-3.27%)
2010318 May 2010 (-0.74%), 06 Jul 2010 (3.37%), 18 Nov 2010 (1.43%)
2009418 Jun 2009 (-4.1%), 10 Aug 2009 (-5.36%), 14 Sep 2009 (-3.79%), 06 Oct 2009 (-1.55%)
2008707 Mar 2008 (-5.5%), 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%)
2007708 Jan 2007 (-2.81%), 24 Jan 2007 (-2.99%), 12 Feb 2007 (9.78%), 08 Oct 2007 (-5.02%), 18 Oct 2007 (-3.41%), 10 Dec 2007 (-4.4%), 18 Dec 2007 (1.42%)
2006221 Jul 2006 (-4.84%), 11 Dec 2006 (11.57%)
2005411 Apr 2005 (-1.96%), 29 Apr 2005 (-2.91%), 27 Jun 2005 (6.03%), 10 Oct 2005 (2.53%)
2004616 Jan 2004 (-4.84%), 23 Feb 2004 (-2.29%), 11 Mar 2004 (1.63%), 11 May 2004 (-4.31%), 15 Jun 2004 (-0.28%), 14 Jul 2004 (-4.41%)
2003506 Jan 2003 (-0.65%), 05 Mar 2003 (8.71%), 21 Apr 2003 (1.5%), 22 Oct 2003 (-4.06%), 08 Dec 2003 (-3.95%)
20021125 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%)
2001410 May 2001 (-0.95%), 07 Jun 2001 (0.71%), 25 Jul 2001 (-4.07%), 20 Aug 2001 (9.62%)
2000518 Feb 2000 (0.23%), 25 Apr 2000 (24.88%), 21 Jul 2000 (4.46%), 08 Sep 2000 (-4.56%), 11 Sep 2000 (13.53%)
1999419 Jan 1999 (-5.17%), 19 May 1999 (-9.62%), 06 Sep 1999 (15.69%), 28 Oct 1999 (4.37%)
1998413 May 1998 (-4.6%), 27 Jul 1998 (-4.96%), 05 Oct 1998 (-4.34%), 26 Nov 1998 (11.82%)
1997425 Feb 1997 (-4.52%), 07 May 1997 (14.24%), 19 Sep 1997 (2.16%), 27 Oct 1997 (3.17%)
1996617 Jan 1996 (1.4%), 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%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play