Study: Buy ACC when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy ACC when below 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
1-89466.4106485845.284338.916028.88-5133.34-22931.90.850.7-0.026-844.02
2-88498.38106466043.46509.9628969.02-6465.94-32206.261.010.77-0.019-834.89
3-5526.66106614557.556334.6538988.38-8709.78-31530.010.730.99-0.001-52.14
4-7108.54106515548.118760.1754170.96-8252.31-37191.651.060.98-0.0011-67.06
513224.3106505647.1710913.6356333.68-9508.16-35311.371.151.020.0018124.76
6142400106574953.7712015.3768937.41-11070.94-32316.591.091.260.0171343.4
7157381106574953.7712547.4377664.05-11384.14-35758.941.11.280.0191484.73
8145249106565052.8313391.7985215.51-12093.83-48061.861.111.240.0161370.27
966009.54106555151.8914465.0981060.69-14305.3-51762.891.011.090.0066622.73
1020691.11106525449.0615692.9173941.39-14728.53-47443.51.071.030.0019195.2
Although, strategy looks good but profit factor on day 1 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
atrnil322.76843691130369427.6944492.74688700-8064.33-17946.75.522.110.0216489.93
atrnil218.39550009137508736.525143.54459134-8128.37-17946.73.091.780.024014.66
atrtrail24.21-86314.142066713932.5212691.6544168.23-6738.52-17946.71.880.91-0.0073-419
atrtrail34.75-1339892066614032.0412370.4452655.29-6788.84-17946.71.820.86-0.011-650.43
atrtrail-15.17-2241352066614032.0411004.5967352.02-6788.84-17946.71.620.76-0.019-1088.03

In the table above, row 1 shows the best exit criterion. Profit factor is 2.11. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 27.69%, which is not acceptable. Avoid this strategy. Average return per trade is 3.24%, which is very good. Sharpe Ratio is 0.021, 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:2.11

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019625 Jan 2019 (-2.63%), 18 Feb 2019 (8.23%), 17 Jun 2019 (8.83%), 21 Aug 2019 (-3.07%), 03 Sep 2019 (9.69%), 07 Oct 2019 (10.81%)
20181431 Jan 2018 (-1.91%), 02 Feb 2018 (-2.14%), 05 Feb 2018 (-2.33%), 07 Feb 2018 (-2.7%), 08 Mar 2018 (-2.36%), 28 Mar 2018 (6.84%), 09 May 2018 (-2.05%), 11 May 2018 (-2.15%), 15 May 2018 (-2.35%), 18 May 2018 (-2.37%), 21 May 2018 (-2.55%), 23 May 2018 (-2.52%), 05 Jun 2018 (8.78%), 23 Oct 2018 (13.06%)
2017103 Mar 2017 (6.68%)
2016707 Jan 2016 (-1.85%), 12 Jan 2016 (-1.97%), 15 Jan 2016 (-2.2%), 25 Feb 2016 (8.13%), 09 Nov 2016 (-2.78%), 15 Nov 2016 (-3.53%), 21 Nov 2016 (11.09%)
2015521 Apr 2015 (-3.14%), 30 Apr 2015 (-3.6%), 12 Jun 2015 (8.05%), 27 Jul 2015 (-2.45%), 31 Aug 2015 (-2.8%)
2014409 Jan 2014 (-2.5%), 14 Jan 2014 (-2.55%), 27 Jan 2014 (6.87%), 16 Dec 2014 (-2.31%)
20131329 Jan 2013 (-2.4%), 11 Feb 2013 (-2.62%), 04 Mar 2013 (-2.79%), 20 Mar 2013 (-3.14%), 20 Jun 2013 (-2.54%), 01 Aug 2013 (-3.07%), 19 Aug 2013 (-3.21%), 20 Aug 2013 (-3.48%), 21 Aug 2013 (-4.13%), 27 Aug 2013 (13.31%), 08 Nov 2013 (-2.77%), 11 Nov 2013 (-2.96%), 12 Nov 2013 (9.37%)
2012111 May 2012 (-3.54%)
2011309 Feb 2011 (9.91%), 05 May 2011 (-3.18%), 20 Jun 2011 (8.03%)
2010419 May 2010 (-3.03%), 27 May 2010 (9.78%), 09 Jul 2010 (-2.61%), 14 Jul 2010 (8.03%)
2009103 Nov 2009 (11.0%)
20081909 Jan 2008 (-4.04%), 11 Jan 2008 (-4.58%), 16 Jan 2008 (-5.43%), 21 Jan 2008 (-7.51%), 25 Apr 2008 (-3.94%), 02 May 2008 (-3.94%), 09 May 2008 (-3.81%), 13 May 2008 (-4.1%), 26 May 2008 (-3.92%), 02 Jun 2008 (-4.23%), 09 Jun 2008 (-4.65%), 27 Jun 2008 (-4.53%), 30 Jun 2008 (-5.55%), 01 Jul 2008 (-5.94%), 03 Jul 2008 (19.88%), 10 Oct 2008 (-6.33%), 17 Oct 2008 (-7.49%), 23 Oct 2008 (-8.97%), 27 Oct 2008 (30.25%)
2007523 Feb 2007 (-4.1%), 01 Mar 2007 (-5.07%), 05 Mar 2007 (-5.58%), 09 Mar 2007 (-6.89%), 15 Mar 2007 (24.79%)
1999305 Feb 1999 (-5.54%), 08 Feb 1999 (18.0%), 19 May 1999 (344.35%)
19981210 Jun 1998 (-6.38%), 11 Jun 1998 (-7.24%), 15 Jun 1998 (24.2%), 10 Aug 1998 (-4.64%), 12 Aug 1998 (-5.27%), 01 Sep 1998 (14.13%), 05 Oct 1998 (-4.37%), 13 Oct 1998 (-4.75%), 20 Oct 1998 (-5.08%), 22 Oct 1998 (17.29%), 28 Nov 1998 (-4.12%), 03 Dec 1998 (13.39%)
19971103 Feb 1997 (18.36%), 31 Mar 1997 (-5.5%), 01 Apr 1997 (18.83%), 12 May 1997 (-4.95%), 20 May 1997 (-4.78%), 26 May 1997 (14.76%), 28 Aug 1997 (-4.26%), 01 Sep 1997 (-4.52%), 02 Sep 1997 (-4.85%), 23 Sep 1997 (11.85%), 28 Oct 1997 (13.63%)
19962124 Jan 1996 (10.44%), 19 Mar 1996 (11.39%), 12 Jun 1996 (-6.64%), 26 Jun 1996 (-5.01%), 03 Jul 1996 (-4.47%), 16 Jul 1996 (-5.14%), 24 Jul 1996 (-5.18%), 16 Sep 1996 (-3.43%), 26 Sep 1996 (-3.72%), 01 Oct 1996 (-3.72%), 04 Oct 1996 (-3.84%), 07 Oct 1996 (-3.95%), 18 Oct 1996 (-3.95%), 04 Nov 1996 (-4.42%), 06 Nov 1996 (-4.55%), 18 Nov 1996 (-4.29%), 19 Nov 1996 (-4.64%), 20 Nov 1996 (-5.14%), 27 Nov 1996 (-5.62%), 28 Nov 1996 (-6.15%), 03 Dec 1996 (18.83%)



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