Study: Sell ACC when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell ACC when there is bearish divergence in RSI" 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
1-47829.635161945.712497.319891.34-4620.34-16005.410.540.46-0.058-1366.56
2-78714.3635102528.574979.2110432.96-5140.26-25428.310.970.39-0.069-2248.98
3-62777.9635122334.294156.589393.85-4898.13-16378.470.850.44-0.062-1793.66
4-63639.8235132237.144459.7411004.77-5528.02-16050.50.810.48-0.057-1818.28
5-89914.6335122334.294565.6910376.84-6291.43-19757.190.730.38-0.077-2568.99
6-52685.7735122334.296315.4320207.54-5585.69-15374.11.130.59-0.042-1505.31
7-52857.0435132237.147506.5115008.57-6838.26-17252.41.10.65-0.036-1510.2
8-36988.7335161945.718393.0619554.43-9014.61-29840.260.930.78-0.019-1056.82
9-66470.8335152042.867949.5324103.4-9285.69-32270.320.860.64-0.034-1899.17
10-36036.7535161945.718749.1932659.75-9264.41-40704.60.940.8-0.017-1029.62
Although, strategy looks good but profit factor on day 5 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
atrnil24.74-4805.4957183931.5813389.6821464.99-6303.07-10763.662.120.98-0.0018-84.31
atrtrail23.38-7015.4565214432.319473.5721464.99-4680.92-10763.662.020.97-0.0028-107.93
atrtrail33.68-29865.3565204530.778848.3832197.49-4596.29-10763.661.930.86-0.012-459.47
atrtrail-13.94-51905.4765204530.777746.3727355.56-4596.29-10763.661.690.75-0.022-798.55
atrnil36.25-1195385794815.7920565.7332197.49-6346.45-10763.663.240.61-0.042-2097.16

In the table above, row 1 shows the best exit criterion. Profit factor is 0.98. 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 31.58%, which is not acceptable. Avoid this strategy. Average return per trade is -0.042%, 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:0.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018109 Aug 2018 (-2.79%)
2017304 May 2017 (-2.17%), 05 May 2017 (-2.22%), 08 May 2017 (4.81%)
2016106 Apr 2016 (-2.3%)
2015229 Jan 2015 (4.28%), 13 Feb 2015 (-2.56%)
2014413 Mar 2014 (-2.83%), 19 Mar 2014 (-2.79%), 02 Apr 2014 (-2.73%), 10 Apr 2014 (5.06%)
2012113 Feb 2012 (6.2%)
2011225 Oct 2011 (-2.26%), 04 Nov 2011 (4.79%)
2010406 Jan 2010 (-2.45%), 13 Jan 2010 (-2.57%), 17 Sep 2010 (-2.6%), 20 Sep 2010 (-2.56%)
2009329 May 2009 (-5.38%), 01 Jun 2009 (-5.21%), 10 Jun 2009 (10.73%)
2007217 Jul 2007 (-3.85%), 20 Jul 2007 (7.9%)
20061009 Mar 2006 (-3.7%), 16 Mar 2006 (-3.35%), 27 Mar 2006 (-3.01%), 18 Apr 2006 (-3.97%), 19 Apr 2006 (7.8%), 29 Apr 2006 (-4.26%), 05 Sep 2006 (4.45%), 27 Nov 2006 (-2.75%), 29 Nov 2006 (-2.78%), 04 Dec 2006 (5.7%)
2005606 Jan 2005 (-2.65%), 07 Jan 2005 (5.27%), 19 Jan 2005 (6.45%), 21 Jul 2005 (-3.28%), 31 Aug 2005 (-2.57%), 13 Dec 2005 (6.31%)
2004508 Jan 2004 (-3.7%), 03 Dec 2004 (-2.3%), 07 Dec 2004 (-2.43%), 08 Dec 2004 (-2.42%), 17 Dec 2004 (-2.36%)
2003319 Jun 2003 (-2.82%), 30 Jun 2003 (-2.94%), 19 Aug 2003 (-3.88%)
2002126 Nov 2002 (-2.83%)
2001212 Feb 2001 (7.78%), 29 Nov 2001 (-4.52%)
2000211 Dec 2000 (-4.45%), 15 Dec 2000 (8.5%)
1999307 Jan 1999 (-3.8%), 12 Jan 1999 (8.48%), 01 Apr 1999 (-4.87%)
1998120 May 1998 (7.9%)
1996122 Feb 1996 (8.07%)



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