Study: Buy ACC when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy ACC when near 200 SMA and above 200 SMA and ADX is Trending" 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
128255.92113861.93525.910912.83-2197.6-3968.311.62.610.0781345.52
222098.252112957.145632.0820864.79-5054.07-10670.191.111.490.0291052.3
331634.0821111052.387901.4920178.45-5528.23-14057.611.431.570.0351506.38
436912.732112957.147668.4626917.71-6123.2-18693.971.251.670.0361757.75
531038.092113861.98581.4328103.21-10065.05-27828.760.851.390.0251478
662728.262113861.910109.3725253.53-8586.69-19107.741.181.910.0512987.06
734597.6621101147.6212743.426973.23-8439.67-28019.731.511.370.0251647.51
838913.4321101147.6214353.2730336.31-9510.85-23213.621.511.370.0261853.02
930785.921101147.6216271.7734317.09-11993.8-34247.521.361.230.0171466
107795.6321101147.6214927.5636750.35-12861.82-41557.481.161.060.0041371.22

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.61. 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 61.9%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
ACC Performance, X=1, Profit Factor:2.61

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019121 Jun 2019 (0.34%)
2018330 Jan 2018 (-0.74%), 06 Sep 2018 (0.92%), 25 Sep 2018 (1.17%)
2017117 Apr 2017 (-0.69%)
2016102 Nov 2016 (1.47%)
2015228 Apr 2015 (-1.98%), 18 May 2015 (-0.8%)
2013130 Jan 2013 (-0.12%)
2011110 Feb 2011 (2.21%)
2010321 May 2010 (-0.92%), 09 Jun 2010 (1.26%), 25 Jun 2010 (1.09%)
2007226 Feb 2007 (1.94%), 22 Aug 2007 (2.19%)
2004203 Jun 2004 (0.43%), 01 Jul 2004 (-1.76%)
2003230 May 2003 (2.68%), 16 Jun 2003 (5.46%)
2001209 Apr 2001 (-1.77%), 14 Nov 2001 (1.74%)

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
nilnil-1128255.92113861.93525.910912.83-2197.6-3968.311.62.610.0781345.52
200trail-13.5222802.592772025.9310574.9924441.42-2561.12-3862.864.131.450.025844.54
200nil22.361849328111739.296274.757986.89-2972.31-3862.862.111.370.029660.46
atrtrail34.5610181.41258173211682.533668.51-4898.74-16528.892.381.120.0077407.26
200trail22.173184.4129101934.485449.837986.89-2700.73-3862.862.021.060.0054109.81
200nil33.54-372.2624618259195.5111836.67-3085.85-3993.452.980.99-0.00058-15.51
atrtrail-15.28-651.02258173210328.4528904.27-4898.74-16528.892.110.99-0.00056-26.04
200trail32.61-525.552882028.576785.3611836.67-2740.42-3862.862.480.99-0.00081-18.77
atrnil37.57-5003.922151623.8121417.833668.51-7005.81-16528.893.060.96-0.0037-238.28
atrtrail24.12-10512.7225817329095.7422445.67-4898.74-16528.891.860.87-0.01-420.51
atrnil25.45-30535.12261627.2713592.9722445.67-7005.81-16528.891.940.73-0.028-1387.96

In the table above, row 1 shows the best exit criterion. Profit factor is 2.61. 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 61.9%, which is good. Average return per trade is 0.67%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.078, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

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