Study: Sell ACC when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell ACC when RSI is overbought" 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
111142.8199544554.553338.4318609.43-3758.49-18505.510.891.070.0045112.55
237047.5999584158.594477.2114946.62-5430.01-18491.260.821.170.012374.22
33123.0399475247.475992.4124877.02-5356.16-27446.051.121.010.0008231.55
421342999534653.548855.69181263-5563.53-23567.31.591.830.0222155.85
522084499524752.5310154.7179885-6536.19-33546.221.551.720.0222230.75
623931999514851.5211204.25180736-6918.71-28053.651.621.720.0232417.36
713956599475247.4712194.52181109-8338.02-39406.041.461.320.0131409.75
811785799465346.4613068.03180907-9118.34-42599.391.431.240.0111190.48
911526799455445.4514369.48180790-9839.99-42775.031.461.220.011164.32
1076085.7599465346.4614678.31181625-11304.09-42775.031.31.130.0066768.54
Although, strategy looks good but profit factor on day 3 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
atrtrail-14.0525560.972197214732.889889.31180526-4669.86-10763.662.121.040.0016116.72
atrnil24.7-69998.681915713429.8413463.9924250.29-6249.6-10763.662.150.92-0.0079-366.49
atrtrail23.22-81749.172227814435.147751.7321464.99-4766.55-10763.661.630.88-0.01-368.24
atrtrail33.55-96623.332197314633.338069.0832197.49-4696.34-10763.661.720.86-0.011-441.2
atrnil35.91-2641211863415218.2820450.9331341.09-6312.19-12125.143.240.72-0.027-1420

In the table above, row 1 shows the best exit criterion. Profit factor is 1.04. 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 32.88%, which is not acceptable. Avoid this strategy. Average return per trade is 0.058%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0016, 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:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019405 Mar 2019 (-2.67%), 08 Mar 2019 (-2.5%), 12 Mar 2019 (1.31%), 29 Mar 2019 (-2.45%)
2018326 Jul 2018 (-2.04%), 09 Aug 2018 (0.29%), 21 Aug 2018 (-0.87%)
20171101 Feb 2017 (0.79%), 06 Apr 2017 (-0.23%), 24 Apr 2017 (-1.73%), 27 Apr 2017 (0.43%), 04 May 2017 (-2.17%), 05 May 2017 (-2.22%), 08 May 2017 (-0.54%), 16 May 2017 (5.91%), 14 Jul 2017 (-1.8%), 18 Jul 2017 (0.75%), 03 Aug 2017 (0.48%)
20161021 Mar 2016 (-1.6%), 23 Mar 2016 (-1.86%), 01 Apr 2016 (-0.64%), 06 Apr 2016 (-1.54%), 11 Apr 2016 (-2.2%), 20 Apr 2016 (1.51%), 30 May 2016 (-1.45%), 01 Jun 2016 (-0.55%), 30 Jun 2016 (-0.04%), 21 Jul 2016 (0.06%)
2015519 Jan 2015 (-2.1%), 29 Jan 2015 (1.37%), 13 Feb 2015 (-1.9%), 18 Feb 2015 (-0.21%), 02 Mar 2015 (9.62%)
20141004 Mar 2014 (-2.31%), 05 Mar 2014 (-2.49%), 06 Mar 2014 (-2.56%), 07 Mar 2014 (-0.44%), 13 Mar 2014 (-2.83%), 19 Mar 2014 (-0.9%), 26 Mar 2014 (-2.57%), 28 Mar 2014 (-2.64%), 31 Mar 2014 (0.89%), 07 Apr 2014 (0.85%)
2012902 Feb 2012 (-2.57%), 06 Feb 2012 (-2.68%), 07 Feb 2012 (-2.83%), 09 Feb 2012 (0.63%), 15 Feb 2012 (5.0%), 13 Aug 2012 (0.71%), 27 Sep 2012 (-1.94%), 28 Sep 2012 (-1.17%), 04 Oct 2012 (1.31%)
2011830 Mar 2011 (-1.86%), 04 Apr 2011 (-2.27%), 06 Apr 2011 (0.36%), 07 Oct 2011 (-2.41%), 11 Oct 2011 (0.37%), 25 Oct 2011 (-2.26%), 28 Oct 2011 (0.87%), 04 Nov 2011 (6.63%)
20101504 Jan 2010 (-1.18%), 07 Jan 2010 (-0.65%), 13 Jan 2010 (-2.57%), 14 Jan 2010 (-2.58%), 15 Jan 2010 (11.29%), 05 Mar 2010 (-2.83%), 08 Mar 2010 (-2.78%), 10 Mar 2010 (5.02%), 07 Sep 2010 (-2.23%), 08 Sep 2010 (-1.12%), 13 Sep 2010 (0.5%), 17 Sep 2010 (-2.6%), 20 Sep 2010 (-0.95%), 27 Sep 2010 (-2.46%), 08 Nov 2010 (7.99%)
20091113 Feb 2009 (1.71%), 22 Apr 2009 (-4.31%), 24 Apr 2009 (0.77%), 18 May 2009 (-5.07%), 19 May 2009 (-0.0%), 29 May 2009 (-5.38%), 01 Jun 2009 (0.41%), 05 Jun 2009 (0.02%), 10 Jun 2009 (12.44%), 05 Aug 2009 (7.74%), 14 Dec 2009 (-0.1%)
2008116 Dec 2008 (2.78%)
2007908 May 2007 (0.72%), 04 Jul 2007 (-3.57%), 11 Jul 2007 (-3.64%), 13 Jul 2007 (-3.47%), 17 Jul 2007 (-3.85%), 19 Jul 2007 (8.53%), 27 Sep 2007 (-3.52%), 03 Oct 2007 (-3.67%), 04 Oct 2007 (-0.88%)
20062502 Feb 2006 (-1.56%), 07 Feb 2006 (0.27%), 28 Feb 2006 (-2.74%), 01 Mar 2006 (-3.07%), 02 Mar 2006 (-3.46%), 07 Mar 2006 (-1.17%), 09 Mar 2006 (-3.7%), 10 Mar 2006 (-1.07%), 24 Mar 2006 (-3.04%), 27 Mar 2006 (-2.04%), 03 Apr 2006 (-2.56%), 05 Apr 2006 (-2.85%), 07 Apr 2006 (-3.19%), 10 Apr 2006 (-3.64%), 12 Apr 2006 (-2.6%), 17 Apr 2006 (-3.73%), 19 Apr 2006 (0.86%), 26 Apr 2006 (-0.44%), 29 Apr 2006 (-4.26%), 21 Aug 2006 (-0.53%), 05 Sep 2006 (1.41%), 16 Nov 2006 (-0.33%), 27 Nov 2006 (-1.89%), 29 Nov 2006 (-1.38%), 04 Dec 2006 (13.68%)
20051703 Jan 2005 (-2.08%), 04 Jan 2005 (-2.12%), 05 Jan 2005 (-1.19%), 07 Jan 2005 (2.03%), 19 Jan 2005 (2.89%), 11 Jul 2005 (-2.56%), 12 Jul 2005 (-2.6%), 13 Jul 2005 (-2.66%), 14 Jul 2005 (-2.8%), 19 Jul 2005 (-1.61%), 25 Jul 2005 (1.32%), 18 Aug 2005 (-0.36%), 31 Aug 2005 (-0.83%), 25 Nov 2005 (-2.69%), 29 Nov 2005 (-0.6%), 01 Dec 2005 (-0.92%), 13 Dec 2005 (0.46%)
20041301 Jan 2004 (-3.35%), 05 Jan 2004 (0.04%), 08 Jan 2004 (-3.7%), 09 Aug 2004 (-0.4%), 24 Nov 2004 (-1.1%), 02 Dec 2004 (-2.2%), 03 Dec 2004 (-2.3%), 06 Dec 2004 (-1.4%), 08 Dec 2004 (-2.42%), 09 Dec 2004 (-1.92%), 16 Dec 2004 (-1.07%), 27 Dec 2004 (-2.16%), 29 Dec 2004 (-1.67%)
20031629 May 2003 (-1.99%), 02 Jun 2003 (-0.59%), 09 Jun 2003 (1.64%), 18 Jun 2003 (-0.07%), 25 Jun 2003 (-2.91%), 27 Jun 2003 (1.38%), 10 Jul 2003 (-1.63%), 14 Jul 2003 (-2.3%), 16 Jul 2003 (5.63%), 30 Jul 2003 (-1.52%), 01 Aug 2003 (-0.33%), 19 Aug 2003 (-0.38%), 04 Nov 2003 (-1.94%), 11 Nov 2003 (3.5%), 26 Dec 2003 (-3.09%), 29 Dec 2003 (0.39%)
2002413 May 2002 (7.94%), 15 Nov 2002 (-1.98%), 21 Nov 2002 (-2.73%), 28 Nov 2002 (0.93%)
2001724 Jan 2001 (-3.3%), 31 Jan 2001 (-3.87%), 02 Feb 2001 (-2.64%), 09 Feb 2001 (0.42%), 21 Nov 2001 (-0.47%), 28 Nov 2001 (-4.54%), 03 Dec 2001 (-1.71%)
2000703 Nov 2000 (-2.21%), 27 Nov 2000 (-4.81%), 28 Nov 2000 (-4.73%), 01 Dec 2000 (-5.1%), 06 Dec 2000 (-4.63%), 07 Dec 2000 (-1.82%), 13 Dec 2000 (3.87%)
19991207 Jan 1999 (-3.8%), 08 Jan 1999 (-3.8%), 11 Jan 1999 (11.49%), 09 Mar 1999 (-4.25%), 10 Mar 1999 (0.55%), 23 Mar 1999 (2.72%), 01 Apr 1999 (0.26%), 13 May 1999 (-4.37%), 14 May 1999 (90.26%), 20 Oct 1999 (24.1%), 23 Dec 1999 (-5.17%), 24 Dec 1999 (5.2%)
1998727 Feb 1998 (-2.98%), 02 Mar 1998 (1.2%), 05 Mar 1998 (4.92%), 05 May 1998 (6.44%), 20 May 1998 (3.5%), 29 Dec 1998 (-3.47%), 30 Dec 1998 (0.39%)
19971214 Jan 1997 (-3.83%), 15 Jan 1997 (-3.79%), 16 Jan 1997 (9.99%), 01 Mar 1997 (-4.62%), 05 Mar 1997 (24.95%), 27 Jun 1997 (-4.45%), 01 Jul 1997 (-4.24%), 02 Jul 1997 (0.87%), 07 Jul 1997 (2.95%), 05 Aug 1997 (-3.29%), 06 Aug 1997 (6.37%), 26 Dec 1997 (6.53%)
1996312 Feb 1996 (-4.45%), 14 Feb 1996 (1.01%), 26 Feb 1996 (3.63%)



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