Study: Buy ACC when there is bullish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ACC when there is bullish divergence in RSI 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
1-25142.6241212502890.1913448.68-4985.4-13995.280.580.58-0.037-1047.61
2-18783.152491537.58197.5724097.1-6170.75-32206.261.330.8-0.015-782.63
3-68020.772491537.59811.8525814.09-10421.83-31530.010.940.56-0.045-2834.2
4-1053112481633.3310986.0533451.75-12074.95-27228.170.910.45-0.066-4387.95
5-1024782481633.3313535.2434635.88-13172.49-33799.621.030.51-0.054-4269.92
6-1108232491537.512964.7853404.38-15167.08-35761.590.850.51-0.051-4617.64
7-92758.0724111345.8310392.1744168.15-15928.61-39954.670.650.55-0.045-3864.92
8-35254.224111345.8314974.963706.34-15382.93-37433.160.970.82-0.015-1468.93
9-61301.232491537.517060.4369863.82-14323.01-32177.641.190.71-0.025-2554.22
10-19955.822481633.3322788.7976198.93-12641.63-43921.11.80.9-0.0075-831.49
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
atrnil366.234381593082226.6781387.48463900-9679.11-16969.58.413.060.03514605.31
atrnil2592487633192229.0351503.03309267-9762.01-16969.55.282.160.0298024.61
atrtrail25.6346718.1941152636.5916483.3548976.64-7712.77-12303.712.141.230.0161139.47
atrtrail-16.4933908.0341142734.1517687.0669961.44-7915.22-13783.252.231.160.0098827.03
atrtrail35.9518824.8241142734.1516609.6948976.64-7915.22-13783.252.11.090.0062459.14

In the table above, row 1 shows the best exit criterion. Profit factor is 3.06. Strategy is very good and impressively bullish. Percentage of profitable trades is 26.67%, which is not acceptable. Avoid this strategy. Average return per trade is 7.3%, which is very good. Sharpe Ratio is 0.035, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
ACC Performance, Profit Factor:3.06

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018228 May 2018 (-2.54%), 05 Jun 2018 (8.78%)
2016209 Nov 2016 (-2.78%), 23 Nov 2016 (10.61%)
2013229 Aug 2013 (-4.31%), 04 Sep 2013 (12.94%)
2008323 Jan 2008 (-8.48%), 23 May 2008 (-3.96%), 09 Jun 2008 (-4.65%)
2007307 Mar 2007 (-6.3%), 12 Mar 2007 (-7.37%), 04 Apr 2007 (16.5%)
1999127 May 1999 (231.95%)
1997130 May 1997 (13.67%)
19961420 Jun 1996 (-5.42%), 27 Jun 1996 (-4.82%), 10 Jul 1996 (-4.31%), 16 Jul 1996 (-5.14%), 24 Jul 1996 (-5.18%), 26 Sep 1996 (-3.72%), 01 Oct 1996 (-3.72%), 29 Oct 1996 (-4.43%), 05 Nov 1996 (-4.41%), 14 Nov 1996 (-4.04%), 26 Nov 1996 (-5.09%), 27 Nov 1996 (-5.62%), 28 Nov 1996 (-6.15%), 06 Dec 1996 (17.94%)
1995215 Nov 1995 (-4.03%), 21 Nov 1995 (13.15%)



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