Study: Sell ACC when there is Bearish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell ACC when there is Bearish Crossover in MACD and ADX is Trending" 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
150998.0979394049.375372.7820238.58-3963.51-14711.731.361.320.02645.55
22685.4579364345.577524.5725720.2-6237.19-24327.961.211.010.0007433.99
360598.1879364345.579014.0427134.72-6137.37-31397.911.471.230.016767.07
439684.9379354444.39756.7537191.65-6859.12-35993.041.421.130.0091502.34
519358.7679403950.638767.1635311.37-8495.58-38782.951.031.060.0043245.05
658672.2379453456.968499.328463-9523.41-35001.810.891.180.013742.69
741744.3479413851.99056.6435758.94-8673.1-35861.751.041.130.0089528.41
8-2310.1379394049.3710199.7738339.48-10002.52-43050.611.020.99-0.00043-29.24
994363.1679413851.912044.3647998.57-10511.99-40199.571.151.240.0151194.47
1059789.2679433654.4311625.757164.01-12225.44-48039.910.951.140.009756.83

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 49.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, which is low, don't trade solely on the basis of this study.

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
nilnil-1150998.0979394049.375372.7820238.58-3963.51-14711.731.361.320.02645.55
atrtrail24.175649.4596366037.511677.1126183.13-5745.44-19243.92.031.220.016788.02
atrtrail34.7619166.4793345936.5610332.3538407.42-5629.38-19243.91.841.060.0042206.09
atrtrail-15.231786.492326034.7810602.9646815.08-5625.14-19243.91.881.010.0003719.42
atrnil223.43-23179077265133.7713582.1622210.48-11469.13-2295671.180.6-0.022-3010.25
atrnil326.4-28914775175822.6720038.9127815.2-10858.76-2295671.850.54-0.027-3855.29

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 49.37%, which is not acceptable. Avoid this strategy. Average return per trade is 0.32%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019208 Apr 2019 (-0.85%), 08 Jul 2019 (-3.48%)
2018323 Jan 2018 (2.94%), 23 Mar 2018 (-0.3%), 29 Aug 2018 (-0.65%)
2017316 Feb 2017 (-0.68%), 18 May 2017 (-0.3%), 11 Aug 2017 (-1.38%)
2016422 Apr 2016 (-0.62%), 14 Jun 2016 (-1.31%), 05 Jul 2016 (-0.97%), 03 Aug 2016 (0.15%)
2015204 Feb 2015 (-0.58%), 10 Mar 2015 (0.63%)
2014525 Mar 2014 (-1.76%), 09 Apr 2014 (-1.17%), 26 May 2014 (1.33%), 19 Jun 2014 (1.13%), 11 Sep 2014 (-0.14%)
2013311 Feb 2013 (1.5%), 04 Mar 2013 (-2.87%), 18 Mar 2013 (2.5%)
2012422 Feb 2012 (1.96%), 12 Jul 2012 (-0.02%), 17 Aug 2012 (-2.37%), 10 Oct 2012 (-1.22%)
2010322 Jan 2010 (2.19%), 19 May 2010 (-0.17%), 29 Sep 2010 (1.52%)
2009206 May 2009 (2.75%), 17 Jun 2009 (8.77%)
2008407 Mar 2008 (-4.45%), 09 Jun 2008 (-0.24%), 27 Jun 2008 (9.35%), 17 Nov 2008 (7.01%)
2007324 May 2007 (0.33%), 25 Jul 2007 (3.76%), 10 Dec 2007 (-1.03%)
2006323 Mar 2006 (-0.32%), 27 Apr 2006 (-2.04%), 08 Dec 2006 (6.22%)
2005711 Jan 2005 (0.25%), 16 Feb 2005 (0.5%), 20 May 2005 (-0.07%), 01 Aug 2005 (-1.14%), 25 Aug 2005 (-2.98%), 09 Sep 2005 (-0.05%), 12 Dec 2005 (-5.07%)
2004415 Jan 2004 (5.18%), 15 Jun 2004 (3.57%), 14 Jul 2004 (-1.29%), 23 Dec 2004 (-1.48%)
2003403 Jan 2003 (1.38%), 16 Jun 2003 (-5.46%), 09 Jul 2003 (-4.57%), 25 Aug 2003 (-3.14%)
2002110 Dec 2002 (0.22%)
2001215 Feb 2001 (2.45%), 10 Dec 2001 (1.35%)
2000305 Jan 2000 (0.74%), 21 Jul 2000 (10.12%), 20 Dec 2000 (0.38%)
1999519 Jan 1999 (-5.51%), 13 Apr 1999 (3.83%), 28 Apr 1999 (-0.86%), 19 May 1999 (-7.36%), 28 Oct 1999 (1.88%)
1998430 Mar 1998 (0.97%), 15 Apr 1998 (1.03%), 13 May 1998 (-6.74%), 28 May 1998 (-0.05%)
1997422 Jan 1997 (1.0%), 17 Mar 1997 (2.04%), 15 Jul 1997 (-4.58%), 19 Sep 1997 (4.8%)
1996417 Jan 1996 (0.4%), 18 Oct 1996 (1.36%), 05 Nov 1996 (1.28%), 19 Nov 1996 (5.97%)



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