Study: Buy ACC when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy ACC when RSI is below 50 and there is Bullish Crossover in MACD" 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
138646.9480374346.254105.6217513.13-2633.98-7758.731.561.340.02483.09
2-24316.63804040503976.2617013.23-4584.18-17570.860.870.87-0.011-303.96
312076.32804040505568.7715243.28-5266.86-19031.851.061.060.0044150.95
4273.02803644456622.327585.12-5412.04-23239.011.2218.8e-053.41
54480.85804040507072.8335813.37-6960.8-33799.621.021.020.001256.01
612257380463457.58628.4244376.18-8068.66-35761.591.071.450.0261532.16
723638080463457.510876.4144017.95-7762.8-39954.671.41.90.0462954.74
82090268044365512198.5348875.58-9103.04-38102.661.341.640.0352612.82
924920480493161.2511756.3856206.38-10543.85-32177.641.111.760.0413115.05
1027322180473358.7513338.9367073.78-10718.45-43921.11.241.770.043415.26
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
atrtrail-16.4311940186384844.1911112.0667408.21-6309.52-16938.231.761.390.0211388.39
atrtrail35.989872.6586384844.191033551141.22-6309.52-16938.231.641.30.0191045.03
atrtrail25.1682630.5186394745.359860.434094.15-6423.94-16938.231.531.270.019960.82
atrnil29.85-9589.681295235.815350.6534094.15-8745.35-75979.831.760.98-0.0017-118.39
atrnil312.65-10165581176420.9925397.9851141.22-8334.7-75979.833.050.81-0.015-1255

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 44.19%, which is not acceptable. Avoid this strategy. Average return per trade is 0.69%, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019607 Feb 2019 (-2.82%), 21 Feb 2019 (-2.54%), 27 Jun 2019 (-2.6%), 10 Jul 2019 (2.33%), 13 Aug 2019 (0.34%), 24 Oct 2019 (0.49%)
2018523 Feb 2018 (-1.88%), 14 Mar 2018 (-2.3%), 03 Apr 2018 (-2.19%), 04 Jun 2018 (-2.84%), 07 Jun 2018 (-1.56%)
2016301 Feb 2016 (-2.22%), 04 Mar 2016 (16.12%), 29 Nov 2016 (1.87%)
2015613 May 2015 (0.73%), 22 Jun 2015 (-1.02%), 18 Aug 2015 (2.07%), 04 Sep 2015 (0.47%), 06 Oct 2015 (1.14%), 27 Nov 2015 (-1.38%)
2014304 Feb 2014 (2.39%), 20 Oct 2014 (4.32%), 31 Dec 2014 (0.62%)
2013519 Feb 2013 (-1.81%), 08 Mar 2013 (-0.79%), 10 Apr 2013 (6.57%), 10 Sep 2013 (5.69%), 28 Nov 2013 (6.59%)
2012207 May 2012 (-3.5%), 28 May 2012 (-3.11%)
2011314 Feb 2011 (-1.53%), 26 May 2011 (1.76%), 05 Jul 2011 (-0.42%)
2010103 Jun 2010 (-2.83%)
2009208 Sep 2009 (-3.7%), 12 Nov 2009 (5.37%)
2008630 Jan 2008 (-7.45%), 05 Jun 2008 (-4.4%), 11 Jun 2008 (-3.2%), 10 Jul 2008 (-5.8%), 03 Nov 2008 (-8.47%), 01 Dec 2008 (25.44%)
2007222 Mar 2007 (-6.49%), 14 Nov 2007 (2.74%)
2006115 Jun 2006 (0.05%)
2004530 Mar 2004 (7.58%), 11 Jun 2004 (-4.34%), 25 Jun 2004 (-0.93%), 23 Jul 2004 (7.69%), 04 Nov 2004 (8.8%)
2003311 Feb 2003 (1.23%), 28 Mar 2003 (0.68%), 06 May 2003 (-2.92%)
2002403 Apr 2002 (-3.28%), 18 Apr 2002 (-2.94%), 07 Jun 2002 (-0.47%), 07 Aug 2002 (-3.44%)
2001321 May 2001 (0.52%), 28 Jun 2001 (-0.24%), 27 Sep 2001 (2.35%)
2000408 Feb 2000 (-5.97%), 22 Mar 2000 (-8.33%), 09 Aug 2000 (-0.16%), 19 Oct 2000 (-3.3%)
1999309 Jun 1999 (11.3%), 11 Oct 1999 (2.69%), 26 Nov 1999 (8.89%)
1998407 Sep 1998 (-1.34%), 30 Oct 1998 (8.04%), 16 Dec 1998 (-3.69%), 17 Dec 1998 (19.04%)
1997522 Apr 1997 (1.59%), 03 Jun 1997 (2.36%), 16 Sep 1997 (-3.68%), 29 Sep 1997 (-3.56%), 11 Nov 1997 (-3.95%)
1996604 Jul 1996 (-1.85%), 11 Oct 1996 (-3.53%), 23 Oct 1996 (-4.02%), 24 Oct 1996 (-4.46%), 13 Nov 1996 (-3.93%), 10 Dec 1996 (33.7%)
1995417 May 1995 (4.02%), 18 Jul 1995 (2.52%), 18 Aug 1995 (1.04%), 24 Nov 1995 (-4.23%)



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