Study: Buy ACC when RSI is above 50 and there is Bullish Crossover in MACD

home > technical-strategy > acc > 30

In this study, we evaluate the performance of strategy "Buy ACC when RSI is above 50 and there is Bullish Crossover in MACD" 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
129927.27139588141.734238.4520916.22-2665.47-11111.111.591.140.0091215.3
281827.74139588141.736496.5847145.1-3641.65-16608.731.781.280.016588.69
384415.27139637645.327520.7255164.61-5123.55-17502.851.471.220.013607.3
4-6862.59139637645.327729.2362104.16-6497.42-23257.71.190.99-0.00096-49.37
535455.72139677248.28336.8758286.01-7265.48-35172.251.151.070.0045255.08
6-16610.58139716851.088374.651743.6-8988.34-64516.960.930.97-0.0019-119.5
776507.18139756453.969036.8854955.58-9394.67-64209.250.961.130.0082550.41
8-110156139726751.89714.8649001.92-12083.97-1778670.80.86-0.008-792.49
9-132119139746553.249703.8355244.73-13080.03-1762390.740.84-0.0094-950.5
10-97974.94139746553.2410000.6454551.47-12892.65-1772450.780.88-0.007-704.86
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
atrtrail24.7466151.52155609538.719070.6321496.84-5032.49-12690.551.81.140.011426.78
atrnil26.1469863.1152539934.8713476.921496.84-6509.22-14526.992.071.110.0094459.63
atrnil39.2670016.171423610625.3521122.2832245.26-6513.08-14526.993.241.10.008493.07
atrtrail35.3416973.01154599538.318390.8428735.76-5032.49-12690.551.671.040.0027110.21
atrtrail-15.6614410.82153589537.918491.3350861.53-5032.49-12690.551.691.030.002194.19

In the table above, row 1 shows the best exit criterion. Profit factor is 1.14. 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 38.71%, which is not acceptable. Avoid this strategy. Average return per trade is 0.21%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.011, 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:1.14

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019416 Apr 2019 (-2.35%), 22 May 2019 (5.43%), 09 Aug 2019 (-1.41%), 13 Sep 2019 (-2.43%)
2018524 Jul 2018 (6.84%), 16 Oct 2018 (-3.78%), 02 Nov 2018 (1.0%), 30 Nov 2018 (-0.67%), 13 Dec 2018 (0.08%)
2017629 Mar 2017 (3.27%), 20 Jun 2017 (-1.75%), 10 Jul 2017 (4.11%), 13 Sep 2017 (-1.89%), 09 Oct 2017 (5.07%), 08 Dec 2017 (-1.93%)
2016819 Feb 2016 (-2.26%), 03 Mar 2016 (-2.6%), 26 May 2016 (4.18%), 28 Jun 2016 (-0.53%), 21 Jul 2016 (-1.87%), 22 Jul 2016 (0.29%), 31 Aug 2016 (-2.17%), 01 Sep 2016 (-1.53%)
2015712 Feb 2015 (1.02%), 07 Apr 2015 (-2.69%), 19 Aug 2015 (-2.13%), 03 Sep 2015 (-2.65%), 09 Sep 2015 (-2.05%), 05 Oct 2015 (-2.49%), 16 Dec 2015 (-1.24%)
2014727 Mar 2014 (5.14%), 13 May 2014 (0.77%), 04 Jun 2014 (6.78%), 21 Jul 2014 (-2.51%), 07 Aug 2014 (1.46%), 21 Oct 2014 (4.88%), 04 Dec 2014 (-0.63%)
2013616 May 2013 (-0.92%), 30 May 2013 (-2.43%), 28 Jun 2013 (-1.51%), 11 Sep 2013 (7.92%), 29 Nov 2013 (5.39%), 27 Dec 2013 (-2.51%)
2012731 Jul 2012 (0.78%), 22 Aug 2012 (-1.88%), 12 Sep 2012 (0.23%), 12 Oct 2012 (-2.63%), 06 Nov 2012 (-2.28%), 03 Dec 2012 (-2.28%), 31 Dec 2012 (-1.57%)
2011615 Feb 2011 (-1.98%), 10 Aug 2011 (-2.0%), 02 Sep 2011 (4.88%), 25 Oct 2011 (4.52%), 02 Dec 2011 (-2.43%), 27 Dec 2011 (-3.03%)
2010416 Feb 2010 (6.14%), 27 Jul 2010 (-2.47%), 02 Nov 2010 (5.74%), 10 Dec 2010 (-1.74%)
2009601 Jan 2009 (3.11%), 03 Feb 2009 (10.75%), 17 Mar 2009 (8.72%), 18 May 2009 (1.57%), 15 Jul 2009 (2.4%), 16 Sep 2009 (2.18%)
2008211 Mar 2008 (-5.26%), 04 Sep 2008 (-1.43%)
2007615 Jan 2007 (-0.4%), 08 Feb 2007 (-3.03%), 19 Jun 2007 (-1.4%), 27 Aug 2007 (9.8%), 11 Oct 2007 (-2.38%), 14 Dec 2007 (-4.36%)
20061130 Jan 2006 (0.62%), 28 Feb 2006 (5.48%), 01 Mar 2006 (6.14%), 07 Apr 2006 (-3.19%), 10 Apr 2006 (-3.64%), 26 Jul 2006 (8.8%), 05 Sep 2006 (-1.63%), 22 Sep 2006 (-2.29%), 06 Nov 2006 (-2.62%), 07 Nov 2006 (5.37%), 29 Dec 2006 (-3.14%)
20051518 Jan 2005 (-2.13%), 04 Feb 2005 (-2.95%), 07 Feb 2005 (0.85%), 05 Apr 2005 (-1.1%), 13 Apr 2005 (-1.98%), 05 May 2005 (5.44%), 10 Jun 2005 (-2.02%), 23 Jun 2005 (-1.99%), 04 Jul 2005 (-1.98%), 17 Aug 2005 (-0.99%), 29 Aug 2005 (0.33%), 30 Sep 2005 (-0.75%), 02 Nov 2005 (6.45%), 14 Dec 2005 (-3.2%), 20 Dec 2005 (-3.25%)
2004709 Feb 2004 (-2.01%), 05 Mar 2004 (-2.32%), 31 Mar 2004 (8.25%), 05 May 2004 (-3.65%), 26 Jul 2004 (7.68%), 31 Aug 2004 (0.94%), 29 Dec 2004 (4.28%)
2003812 Feb 2003 (-3.0%), 18 Jun 2003 (-2.75%), 11 Jul 2003 (0.77%), 30 Jul 2003 (-1.24%), 30 Sep 2003 (0.74%), 31 Oct 2003 (8.06%), 03 Dec 2003 (-3.58%), 22 Dec 2003 (6.28%)
20021004 Jan 2002 (-4.91%), 11 Feb 2002 (-0.54%), 01 Mar 2002 (-4.38%), 04 Mar 2002 (-4.53%), 02 Apr 2002 (-3.19%), 12 Jun 2002 (-2.98%), 28 Jun 2002 (0.0%), 07 Oct 2002 (-2.11%), 05 Nov 2002 (7.31%), 31 Dec 2002 (-2.37%)
2001624 Jan 2001 (7.82%), 18 May 2001 (-2.93%), 11 Jun 2001 (-4.56%), 27 Jun 2001 (-1.23%), 03 Aug 2001 (-1.16%), 28 Sep 2001 (-5.89%)
2000126 May 2000 (-6.35%)
1999617 Feb 1999 (-1.07%), 22 Mar 1999 (0.61%), 20 Apr 1999 (-5.41%), 07 May 1999 (9.58%), 08 Oct 1999 (0.09%), 25 Nov 1999 (-5.63%)
1998625 Feb 1998 (5.4%), 25 Mar 1998 (-3.56%), 03 Apr 1998 (-3.65%), 05 May 1998 (-3.46%), 06 May 1998 (-3.69%), 15 May 1998 (2.24%)
1997412 Feb 1997 (-4.16%), 28 Feb 1997 (9.53%), 23 Apr 1997 (-1.86%), 05 Aug 1997 (-0.49%)
1996531 Jan 1996 (7.98%), 02 Feb 1996 (8.18%), 29 Mar 1996 (6.91%), 17 Apr 1996 (-3.15%), 04 Jun 1996 (-2.52%)
1995206 Apr 1995 (-2.41%), 18 May 1995 (5.56%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play