Study: Buy ACC when near 200 SMA and above 200 SMA

home > technical-strategy > acc > 5

In this study, we evaluate the performance of strategy "Buy ACC when near 200 SMA and above 200 SMA" 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
1-11327.3756312555.362970.0910912.83-4136-14976.940.720.89-0.0091-202.27
2-56883.356243242.864673.7120864.79-5282.88-15269.210.880.66-0.031-1015.77
3-63884.456243242.864828.8620178.45-5618.03-20614.410.860.64-0.032-1140.79
4-40176.2256253144.646611.826917.71-6628.1-20445.5410.8-0.016-717.43
5-50868.2256253144.647657.8828103.21-7816.62-27828.760.980.79-0.018-908.36
6-38044.6556263046.437884.9423364.14-8101.77-24686.630.970.84-0.014-679.37
7-80651.156243242.867909.4128015.11-8452.41-28019.730.940.7-0.026-1440.2
8-91150.1356233341.079628.3930336.31-9472.82-25303.631.020.71-0.027-1627.68
9-81141.945522334011662.7434856.63-10234.01-34247.521.140.76-0.021-1475.31
10-68197.755243143.6411234.7838633.82-10897.82-41557.481.030.8-0.017-1239.96

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.89. 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 55.36%, which is not acceptable. Avoid this strategy. Average return per trade is -0.1%, we advise you not to use this strategy.

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
200nil21.99-15019.388286031.825835.237986.89-2973.43-3987.761.960.92-0.0083-170.67
nilnil-11-11327.3756312555.362970.0910912.83-4136-14976.940.720.89-0.0091-202.27
200trail-12.83-25548.1386186820.938092.5527525.67-2517.85-3959.463.210.85-0.011-297.07
200nil32.65-33854.6181176420.999044.5711836.67-2931.44-3993.453.090.82-0.017-417.96
200trail21.83-33716.1889266329.215218.097986.89-2688.67-3959.461.940.8-0.02-378.83
200trail32.16-38842.6587206722.996758.2711836.67-2597.14-3959.462.60.78-0.021-446.47
atrnil36.9-71902.8858124620.6919369.5934326.23-6616.04-16528.892.930.76-0.023-1239.7
atrtrail34.23-86745.4171195226.769447.7533668.51-5120.24-16528.891.850.67-0.029-1221.77
atrnil25.5-1083896015452512677.9522884.15-6634.63-16528.891.910.64-0.042-1806.49
atrtrail23.9-10976571195226.768236.222445.67-5120.24-16528.891.610.59-0.043-1545.98
atrtrail-14.56-11349371195226.768039.9828904.27-5120.24-16528.891.570.57-0.043-1598.49

In the table above, row 1 shows the best exit criterion. Profit factor is 0.92. 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 31.82%, which is not acceptable. Avoid this strategy. Average return per trade is -0.085%, 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:0.916

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019904 Jan 2019 (2.06%), 07 Jan 2019 (-1.67%), 16 Jan 2019 (-1.6%), 18 Jun 2019 (-1.19%), 21 Jun 2019 (3.53%), 29 Jul 2019 (-1.99%), 20 Aug 2019 (-1.85%), 27 Aug 2019 (-1.6%), 03 Oct 2019 (-1.43%)
20181325 Jan 2018 (-1.76%), 06 Sep 2018 (-1.12%), 12 Sep 2018 (2.26%), 19 Sep 2018 (-1.86%), 25 Sep 2018 (3.99%), 27 Sep 2018 (-1.91%), 17 Oct 2018 (-1.42%), 16 Nov 2018 (-1.37%), 21 Nov 2018 (-1.33%), 30 Nov 2018 (2.04%), 12 Dec 2018 (2.96%), 26 Dec 2018 (-1.51%), 28 Dec 2018 (-1.6%)
2017117 Apr 2017 (3.08%)
2016202 Nov 2016 (2.36%), 04 Nov 2016 (-1.17%)
2015702 Jan 2015 (-1.28%), 28 Apr 2015 (-1.93%), 18 May 2015 (-1.55%), 20 May 2015 (2.14%), 29 May 2015 (-1.56%), 06 Jul 2015 (-1.52%), 15 Jul 2015 (-1.07%)
2013425 Jan 2013 (-1.31%), 30 Jan 2013 (-1.09%), 06 Feb 2013 (-1.59%), 09 Dec 2013 (-1.36%)
2012314 May 2012 (-1.09%), 14 Jun 2012 (2.0%), 25 Jun 2012 (3.88%)
2011410 Feb 2011 (3.95%), 08 Jun 2011 (-1.64%), 28 Jul 2011 (-1.15%), 06 Sep 2011 (2.14%)
20101007 May 2010 (3.36%), 18 May 2010 (-1.48%), 21 May 2010 (-1.64%), 09 Jun 2010 (-1.26%), 11 Jun 2010 (3.22%), 25 Jun 2010 (-1.13%), 29 Jun 2010 (-1.75%), 01 Jul 2010 (-1.5%), 20 Aug 2010 (-1.07%), 30 Aug 2010 (-1.08%)
2009516 Feb 2009 (-1.52%), 18 Feb 2009 (-1.98%), 20 Feb 2009 (-1.06%), 25 Feb 2009 (-1.83%), 19 Mar 2009 (3.7%)
2007426 Feb 2007 (-1.39%), 02 Jul 2007 (2.72%), 17 Aug 2007 (2.68%), 22 Aug 2007 (2.94%)
2004403 Jun 2004 (-1.64%), 01 Jul 2004 (-1.58%), 27 Oct 2004 (-1.49%), 01 Nov 2004 (3.18%)
2003520 Jan 2003 (-1.54%), 04 Mar 2003 (-1.9%), 05 Mar 2003 (-1.13%), 30 May 2003 (3.64%), 16 Jun 2003 (3.01%)
2002221 May 2002 (2.89%), 15 Jul 2002 (-1.39%)
2001709 Apr 2001 (-1.35%), 22 May 2001 (3.81%), 31 May 2001 (-1.75%), 08 Jun 2001 (2.45%), 02 Jul 2001 (-1.37%), 17 Jul 2001 (-1.89%), 14 Nov 2001 (2.53%)
1998708 Jan 1998 (-1.85%), 21 Jan 1998 (-1.22%), 23 Jan 1998 (-1.35%), 02 Feb 1998 (-1.62%), 10 Jul 1998 (-1.47%), 15 Jul 1998 (2.89%), 20 Jul 1998 (-1.43%)
1997122 Dec 1997 (2.27%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play