Study: Buy ACC when above 200 SMA

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In this study, we evaluate the performance of strategy "Buy ACC when 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
126287.7245281762.223428.0310400.35-4099.84-9988.250.841.380.024584.17
237081.3145252055.566445.5126501.31-6202.82-40364.281.041.30.017824.03
330326.9545261957.786306.6424325.5-7033.98-32557.980.91.230.014673.93
419656.5145232251.117828.7425979.11-7291.12-28565.481.071.120.0086436.81
520889.0845261957.788227.4422236.73-10159.18-44917.370.811.110.0075464.2
633880.3345261957.789085.623771.06-10649.76-47639.220.851.170.012752.9
771755.2445281762.229043.7522323.76-10674.69-33285.270.851.40.0251594.56
879806.47452718609883.5226413.64-10391.59-28225.20.951.430.0291773.48
962035.8245261957.7810054.7825242.84-10494.13-37633.660.961.310.0211378.57
1053703.5145252055.5610545.5132245.43-10496.71-42063.611.260.0171193.41
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
atrnil38.7110083065194629.2322745.1250939.91-7202.77-15333.363.161.30.0211551.23
atrtrail34.6167245.3872284438.8910632.0249062.44-5237.53-15333.362.031.290.019933.96
atrtrail-15.5366232.1572284438.8910595.8336467.99-5237.53-15333.362.021.290.018919.89
atrtrail24.0360761.2572294340.289959.4932708.29-5303.81-15333.361.881.270.019843.91
atrnil26.1324949.7868234533.8215029.2533959.94-7127.18-15333.362.111.080.0064366.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.3. 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 29.23%, which is not acceptable. Avoid this strategy. Average return per trade is 0.78%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.3

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 May 2019 (7.4%), 14 Jun 2019 (-2.87%)
2017827 Jun 2017 (-2.29%), 30 Jun 2017 (6.97%), 21 Sep 2017 (-2.06%), 22 Sep 2017 (-2.28%), 25 Sep 2017 (-2.48%), 27 Sep 2017 (8.1%), 20 Nov 2017 (-2.35%), 30 Nov 2017 (6.04%)
2016412 Sep 2016 (-2.5%), 21 Oct 2016 (-2.29%), 27 Oct 2016 (-2.18%), 02 Nov 2016 (-2.08%)
2015316 Mar 2015 (-2.9%), 27 Mar 2015 (-2.83%), 17 Apr 2015 (-3.08%)
2014805 May 2014 (8.29%), 08 Jul 2014 (-3.12%), 01 Aug 2014 (8.66%), 23 Sep 2014 (-2.28%), 24 Sep 2014 (-2.44%), 25 Sep 2014 (-2.59%), 07 Oct 2014 (8.39%), 25 Nov 2014 (6.14%)
2013211 Jan 2013 (-2.02%), 21 Jan 2013 (-2.14%)
2012311 Apr 2012 (-3.42%), 25 Apr 2012 (-3.86%), 30 Oct 2012 (7.71%)
2011304 May 2011 (-2.91%), 24 Nov 2011 (7.61%), 20 Dec 2011 (10.08%)
2010704 Feb 2010 (-3.32%), 05 Feb 2010 (10.18%), 19 Apr 2010 (-2.56%), 23 Apr 2010 (-2.62%), 04 May 2010 (-2.81%), 07 May 2010 (-2.85%), 18 Oct 2010 (-2.76%)
2009119 Aug 2009 (-5.68%)
2007222 Feb 2007 (-3.57%), 18 Oct 2007 (-7.58%)
2006515 May 2006 (-5.32%), 18 May 2006 (-6.56%), 19 May 2006 (-7.67%), 07 Jun 2006 (25.47%), 12 Dec 2006 (14.68%)
2005114 Oct 2005 (9.97%)
2004222 Jan 2004 (18.13%), 17 May 2004 (-6.62%)
2003507 Jan 2003 (-2.75%), 20 Jan 2003 (-2.73%), 15 Sep 2003 (-4.26%), 17 Sep 2003 (-5.06%), 18 Sep 2003 (16.03%)
2002121 Mar 2002 (11.7%)
2001409 Mar 2001 (-5.81%), 12 Mar 2001 (-6.17%), 13 Mar 2001 (24.53%), 19 Dec 2001 (-5.23%)
1998108 Jun 1998 (-5.56%)
1997222 Aug 1997 (-3.85%), 25 Aug 1997 (-4.16%)
1996121 May 1996 (-3.22%)



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