Study: Sell ACC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)

home > technical-strategy > acc > 51

In this study, we evaluate the performance of strategy "Sell ACC when ADX is Trending and there is Dead Cross (50 DMA < 200 DMA)" 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
1893.35125741.673236.044545.45-2183.84-6234.751.481.060.004974.45
224732.9127558.335923.4811257.83-3346.29-9714.241.772.480.0722061.08
334657.94127558.338066.221628.12-4361.09-10800.61.852.590.0732888.16
433669.88128466.677092.0619178.14-5766.66-6313.471.232.460.0792805.82
548890.21293756510.8118554.05-3235.7-8598.22.016.040.134074.18
649809.04129375622919810.66-2083.98-3336.942.998.970.144150.75
741140.721210283.334504.3816757.68-1951.53-2918.922.3111.540.153428.39
851601.221293756713.425014.23-2939.79-4807.212.286.850.124300.1
966516.2127558.3312022.9828518.42-3528.93-6810.853.414.770.125543.02
1010427412937513091.8728324.44-4517.5-8223.422.98.690.168689.53
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
ACC Performance, X=7, Profit Factor:11.5

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Mar 2018 (-0.49%)
2016105 Dec 2016 (1.98%)
2015116 Jun 2015 (-1.46%)
2013106 Mar 2013 (0.37%)
2011124 Jun 2011 (0.72%)
2008129 Jan 2008 (2.57%)
2007126 Mar 2007 (1.61%)
2002124 Jul 2002 (1.49%)
1999111 Jun 1999 (1.44%)
1997114 Oct 1997 (3.55%)
1996111 Jul 1996 (8.38%)
1995124 Nov 1995 (0.41%)

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
atrtrail26.3819462.39137653.857579.8216599.04-5599.39-7681.661.351.580.0381497.11
atrtrail36.6917051.88137653.857235.4622541.67-5599.39-7681.661.291.510.0321311.68
atrtrail-16.7716268.62137653.857123.5621758.41-5599.39-7681.661.271.480.0311251.43
atrnil317.08-80466.741331023.0820444.0224898.56-14179.88-68836.31.440.43-0.057-6189.75
atrnil213.46-1009111331023.0813629.3516599.04-14179.88-68836.30.960.29-0.078-7762.37

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 53.85%, which is not acceptable. Avoid this strategy. Average return per trade is 0.75%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.038, 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:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018106 Mar 2018 (4.63%)
2016105 Dec 2016 (-2.92%)
2015116 Jun 2015 (-2.7%)
2013106 Mar 2013 (-2.79%)
2011124 Jun 2011 (0.24%)
2008129 Jan 2008 (2.99%)
2007126 Mar 2007 (-1.34%)
2002124 Jul 2002 (1.46%)
1999111 Jun 1999 (-3.2%)
1997214 Oct 1997 (-3.84%), 15 Oct 1997 (7.51%)
1996111 Jul 1996 (8.3%)
1995124 Nov 1995 (1.39%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play