Study: Sell ACC when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell ACC when RSI is above 50 and there is Bearish Crossover in MACD" 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
1-5176.7491424946.153613.6917538.15-3203.09-10912.831.130.97-0.0024-56.89
2-47292.0891405143.965625.3224713.81-5339.31-20864.791.050.83-0.015-519.69
3-3108.9891405143.967477.7321253.24-5925.85-22892.911.260.99-0.00082-34.16
4-23386.891424946.157485.9725009.99-6893.83-29387.761.090.93-0.0055-257
5-19719.6491464550.557062.6723502.3-7657.83-27456.310.920.94-0.0045-216.7
623541.8891504154.957379.4520870.08-8425.14-20971.710.881.070.0055258.7
769573.5391504154.958058.7629390.51-8130.84-26973.230.991.210.015764.54
838453.1791474451.659416.1236165.59-9184.19-43050.611.031.10.0066422.56
995540.8991494253.8510753.9147998.57-10271.45-40199.571.051.220.0151049.9
1069532.2191504154.9510857.3657164.01-11544.77-48039.910.941.150.01764.09
Although, strategy looks good but profit factor on day 2 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
atrtrail34.415445.02110387234.5510423.1538407.42-5286.59-15014.641.971.040.003140.41
atrnil37.614354.52108297926.8519155.1338407.42-6849.93-15014.642.81.030.0022132.91
atrnil25.494521.61108387035.1912821.6225604.94-6895.71-15014.641.861.010.0008641.87
atrtrail23.86-13711.38110387234.559655.8825604.94-5286.59-15014.641.830.96-0.003-124.65
atrtrail-14.95-27030.42110367432.7310072.1446815.08-5265.24-15014.641.910.93-0.005-245.73

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 34.55%, which is not acceptable. Avoid this strategy. Average return per trade is 0.07%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.003, 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
2019208 Apr 2019 (-2.32%), 22 Apr 2019 (0.88%)
2018423 Jan 2018 (5.33%), 29 Aug 2018 (-2.52%), 29 Nov 2018 (-2.83%), 26 Dec 2018 (-1.65%)
2017416 Feb 2017 (2.72%), 18 May 2017 (2.57%), 11 Aug 2017 (-2.34%), 08 Nov 2017 (0.49%)
2016422 Apr 2016 (-2.22%), 14 Jun 2016 (-1.73%), 05 Jul 2016 (-1.73%), 03 Aug 2016 (-1.82%)
2015204 Feb 2015 (-2.57%), 10 Mar 2015 (3.45%)
2014425 Mar 2014 (-2.61%), 09 Apr 2014 (0.4%), 19 Jun 2014 (-1.29%), 11 Sep 2014 (0.93%)
2013315 May 2013 (-2.51%), 25 Oct 2013 (-0.91%), 31 Dec 2013 (7.49%)
2012722 Feb 2012 (1.81%), 26 Mar 2012 (-2.41%), 12 Jul 2012 (-1.45%), 17 Aug 2012 (-1.83%), 23 Aug 2012 (1.64%), 10 Oct 2012 (-2.54%), 16 Oct 2012 (2.21%)
2011404 Jan 2011 (7.76%), 16 Aug 2011 (-2.66%), 17 Oct 2011 (-1.64%), 15 Nov 2011 (6.9%)
2010422 Jan 2010 (8.69%), 17 Mar 2010 (0.14%), 29 Sep 2010 (-1.04%), 16 Nov 2010 (1.82%)
2009516 Jan 2009 (-0.79%), 25 Feb 2009 (0.88%), 19 Mar 2009 (-3.96%), 06 May 2009 (3.03%), 17 Jun 2009 (5.03%)
2008211 Apr 2008 (-1.84%), 30 Dec 2008 (-7.51%)
2007324 May 2007 (9.69%), 25 Jul 2007 (1.53%), 09 Oct 2007 (-5.03%)
2006814 Feb 2006 (-3.09%), 23 Mar 2006 (-3.14%), 27 Apr 2006 (-4.11%), 31 Aug 2006 (-2.39%), 11 Sep 2006 (-2.56%), 12 Sep 2006 (-2.61%), 05 Oct 2006 (-0.9%), 08 Dec 2006 (9.54%)
20051311 Jan 2005 (-2.8%), 20 Jan 2005 (-3.79%), 16 Feb 2005 (-0.74%), 20 May 2005 (-2.46%), 16 Jun 2005 (-1.37%), 28 Jun 2005 (5.86%), 01 Aug 2005 (-1.16%), 25 Aug 2005 (-2.77%), 09 Sep 2005 (-1.09%), 07 Oct 2005 (8.29%), 12 Dec 2005 (-2.99%), 16 Dec 2005 (-3.27%), 21 Dec 2005 (10.7%)
2004715 Jan 2004 (0.6%), 20 Feb 2004 (0.99%), 03 May 2004 (-3.85%), 10 May 2004 (-1.54%), 26 Aug 2004 (-1.92%), 03 Sep 2004 (-2.26%), 23 Dec 2004 (-2.2%)
2003703 Jan 2003 (0.74%), 16 Jun 2003 (-2.54%), 09 Jul 2003 (-3.1%), 18 Jul 2003 (1.6%), 25 Aug 2003 (-4.24%), 17 Nov 2003 (1.12%), 05 Dec 2003 (-0.38%)
2002110 Dec 2002 (-1.85%)
2001215 Feb 2001 (-1.34%), 10 Dec 2001 (13.68%)
2000205 Jan 2000 (19.2%), 20 Dec 2000 (1.86%)
1999521 Jan 1999 (-4.93%), 18 Mar 1999 (-4.79%), 19 Mar 1999 (-4.84%), 13 Apr 1999 (-0.99%), 26 Apr 1999 (-2.03%)
1998907 Jan 1998 (8.59%), 17 Mar 1998 (-4.22%), 18 Mar 1998 (-2.74%), 30 Mar 1998 (-2.72%), 13 Apr 1998 (-3.71%), 15 Apr 1998 (-2.52%), 14 May 1998 (-4.57%), 28 May 1998 (-3.96%), 28 Jul 1998 (14.47%)
1997622 Jan 1997 (-4.28%), 17 Mar 1997 (13.62%), 15 Jul 1997 (-4.71%), 16 Jul 1997 (-1.05%), 11 Aug 1997 (-3.91%), 12 Aug 1997 (11.79%)
1996215 Apr 1996 (-2.99%), 16 Apr 1996 (-3.21%)



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