Study: Buy ACC when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ACC when there is Bullish 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: 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
125365.1385355041.184498.3517513.13-2641.54-7758.731.71.190.013298.41
2-61216.0485384744.714500.1514358.05-4940.88-17570.860.910.74-0.025-720.19
3-43560.1585404547.065816.0118750.98-6137.79-19031.850.950.84-0.014-512.47
4-56059.6685414448.246925.1136251.06-7727.02-23257.70.90.84-0.014-659.53
5-20501.8785434250.59762049174.97-8289.57-33799.620.920.94-0.0043-241.2
660838.3785454052.948729.8439575.45-8300.11-35761.591.051.180.012715.75
718664985463954.1210895.9144017.95-8065.72-39954.671.351.590.0342195.87
8-6401485463954.1211025.1848875.58-14645.44-1778670.750.89-0.0063-753.11
9-23609.7185483756.4710998.0556206.38-14905.84-1762390.740.96-0.0023-277.76
1016763.6885493657.6511681.9367073.78-15434.75-1772450.761.030.0016197.22
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
atrnil28.45-6130.993326134.4115653.0334094.15-8311.93-75979.831.880.99-0.00095-65.92
atrnil311.01-13993.8792227023.9125187.3451141.22-8115.93-75979.833.10.98-0.0018-152.11
atrtrail-15.54-32341.7697376038.149527.7967408.21-6414.5-16938.231.490.92-0.0057-333.42
atrtrail35.27-33264.9297376038.149502.8451141.22-6414.5-16938.231.480.91-0.0065-342.94
atrtrail24.71-45433.7297376038.149173.9634094.15-6414.5-16938.231.430.88-0.01-468.39

In the table above, row 1 shows the best exit criterion. Profit factor is 0.99. 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 34.41%, which is not acceptable. Avoid this strategy. Average return per trade is -0.033%, 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:0.988

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019316 Apr 2019 (-2.35%), 27 Jun 2019 (-2.67%), 10 Jul 2019 (5.54%)
2018523 Feb 2018 (-2.54%), 14 Mar 2018 (-2.3%), 03 Apr 2018 (-2.19%), 04 Jun 2018 (-2.84%), 07 Jun 2018 (-2.85%)
2017209 Oct 2017 (5.07%), 08 Dec 2017 (-1.93%)
2016501 Feb 2016 (-2.22%), 28 Jun 2016 (-1.78%), 21 Jul 2016 (-1.87%), 22 Jul 2016 (-1.91%), 29 Nov 2016 (-3.27%)
2015212 Feb 2015 (5.2%), 13 May 2015 (-3.49%)
2014404 Feb 2014 (4.68%), 27 Mar 2014 (5.14%), 13 May 2014 (-2.8%), 20 Oct 2014 (5.01%)
2013519 Feb 2013 (-2.73%), 08 Mar 2013 (-2.68%), 10 Apr 2013 (5.54%), 10 Sep 2013 (8.17%), 28 Nov 2013 (5.49%)
2012201 Aug 2012 (-2.22%), 12 Oct 2012 (-2.63%)
2011314 Feb 2011 (-3.45%), 26 May 2011 (4.97%), 05 Jul 2011 (-2.52%)
2010103 Jun 2010 (-2.95%)
2009218 May 2009 (10.14%), 12 Nov 2009 (6.57%)
2008730 Jan 2008 (-7.45%), 11 Mar 2008 (-5.26%), 05 Jun 2008 (-4.4%), 11 Jun 2008 (-4.51%), 10 Jul 2008 (-5.8%), 03 Nov 2008 (-8.47%), 01 Dec 2008 (17.05%)
2007422 Mar 2007 (-6.49%), 19 Jun 2007 (7.11%), 27 Aug 2007 (9.8%), 14 Dec 2007 (-4.36%)
2006430 Jan 2006 (7.31%), 07 Apr 2006 (-3.19%), 10 Apr 2006 (-3.64%), 15 Jun 2006 (15.27%)
2005718 Jan 2005 (-3.29%), 04 Feb 2005 (-2.95%), 07 Feb 2005 (-3.06%), 17 Aug 2005 (5.51%), 03 Oct 2005 (-2.33%), 14 Dec 2005 (-3.2%), 20 Dec 2005 (-3.25%)
2004311 Jun 2004 (-4.34%), 25 Jun 2004 (11.0%), 29 Dec 2004 (4.28%)
2003411 Feb 2003 (6.02%), 18 Jun 2003 (-2.75%), 11 Jul 2003 (6.38%), 30 Jul 2003 (-3.75%)
2002207 Aug 2002 (-3.44%), 31 Dec 2002 (-2.37%)
2001224 Jan 2001 (7.82%), 27 Sep 2001 (12.25%)
2000226 May 2000 (-7.26%), 19 Oct 2000 (9.98%)
1999320 Apr 1999 (-5.41%), 07 May 1999 (9.58%), 09 Jun 1999 (-37.99%)
1998725 Mar 1998 (-3.76%), 03 Apr 1998 (-3.65%), 05 May 1998 (-3.46%), 06 May 1998 (-3.97%), 15 May 1998 (-4.43%), 07 Sep 1998 (8.3%), 30 Oct 1998 (10.0%)
1997403 Jun 1997 (8.61%), 16 Sep 1997 (-3.81%), 29 Sep 1997 (-3.56%), 11 Nov 1997 (-3.95%)
1996718 Apr 1996 (-3.15%), 04 Jul 1996 (-4.43%), 11 Oct 1996 (-3.53%), 23 Oct 1996 (-4.02%), 24 Oct 1996 (-4.46%), 13 Nov 1996 (-3.93%), 10 Dec 1996 (11.25%)
1995317 May 1995 (5.73%), 18 Jul 1995 (5.71%), 24 Nov 1995 (-4.23%)



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