Study: Buy ACC when RSI is above 50 and 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 RSI is above 50 and 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
1-11357.2842142833.334506.7114350.82-2658.97-11111.111.690.85-0.012-270.41
2-19167.4542172540.485094.8514358.05-4231.2-11223.511.20.82-0.016-456.37
3-16382.9242202247.625623.518750.98-5856.95-15316.050.960.87-0.011-390.07
4-45344.7342222052.386015.6836251.06-8884.49-23257.70.680.74-0.022-1079.64
5-35890.8142222052.386528.8849174.97-8976.31-21113.820.730.8-0.015-854.54
629102.4242222052.388074.7529933.68-7427.1-18578.111.091.20.014692.91
799550.024221215011193.1638185.17-6452.69-20373.11.731.730.0412370.24
8-12091642231954.768976.9130907.42-17230.79-1778670.520.63-0.02-2878.95
9-10445142231954.769249.3433302.63-16693.98-1762390.550.67-0.017-2486.92
10-70617.3142241857.149842.6534684.48-17046.71-1772450.580.77-0.012-1681.36
Although, strategy looks good but profit factor on day 4 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
atrnil39.2925312.0445113424.4422964.530426.03-6685.22-14526.993.441.110.0086562.49
atrnil25.8511644.9647163134.0413882.8120284.02-6789.68-14526.992.041.060.0049247.77
atrtrail24.41-34709.0549202940.826925.0219603.7-5972.74-12690.551.160.8-0.018-708.35
atrtrail34.86-58518.0849202940.825734.5728735.76-5972.74-12690.550.960.66-0.031-1194.25
atrtrail-14.96-59729.249202940.825674.0138424.03-5972.74-12690.550.950.66-0.031-1218.96

In the table above, row 1 shows the best exit criterion. Profit factor is 1.11. 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 24.44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.0086, 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:1.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Apr 2019 (-2.35%)
2017209 Oct 2017 (-2.53%), 08 Dec 2017 (-1.93%)
2016328 Jun 2016 (-1.78%), 21 Jul 2016 (-1.87%), 22 Jul 2016 (-1.91%)
2015112 Feb 2015 (7.8%)
2014327 Mar 2014 (-2.57%), 13 May 2014 (-2.8%), 21 Oct 2014 (-2.44%)
2013111 Sep 2013 (11.88%)
2012201 Aug 2012 (-2.22%), 12 Oct 2012 (-2.63%)
2011115 Feb 2011 (-3.36%)
2009118 May 2009 (15.21%)
2008111 Mar 2008 (-5.26%)
2007319 Jun 2007 (10.67%), 27 Aug 2007 (14.7%), 14 Dec 2007 (-4.36%)
2006330 Jan 2006 (10.96%), 07 Apr 2006 (-3.19%), 10 Apr 2006 (-3.64%)
2005618 Jan 2005 (-3.29%), 04 Feb 2005 (-2.95%), 07 Feb 2005 (-3.06%), 17 Aug 2005 (8.26%), 14 Dec 2005 (-3.2%), 20 Dec 2005 (-3.25%)
2004129 Dec 2004 (6.41%)
2003318 Jun 2003 (-2.75%), 11 Jul 2003 (-3.19%), 30 Jul 2003 (-3.75%)
2002131 Dec 2002 (-2.37%)
2001224 Jan 2001 (11.72%), 28 Sep 2001 (-5.89%)
2000126 May 2000 (-7.26%)
1999320 Apr 1999 (-5.41%), 07 May 1999 (14.37%), 08 Oct 1999 (14.32%)
1998525 Mar 1998 (-3.76%), 03 Apr 1998 (-3.65%), 05 May 1998 (-3.46%), 06 May 1998 (-3.97%), 15 May 1998 (-4.43%)
1996118 Apr 1996 (-3.15%)



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