Study: Sell ACC when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)

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In this study, we evaluate the performance of strategy "Sell ACC when RSI is below 50 and there is Dead Cross (50 DMA < 200 DMA)" 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
116122.32167943.754933.5514156.32-2045.84-5259.262.411.880.0471007.65
244502.66169756.257332.1218306.77-3069.48-6810.692.393.070.092781.42
338655.15169756.257248.1115811.18-3796.83-6349.211.912.450.0832415.95
443568.141610662.57096.9915175.46-4566.96-8013.141.552.590.0922723.01
567261.3416124757356.916455.48-5255.37-8348.841.44.20.134203.83
680327.3116124758508.1922542.77-5442.74-11224.231.564.690.135020.46
71091361614287.58724.5629386.11-6503.92-7111.111.349.390.156821
810117416124759894.3528694.91-4389.61-9333.332.256.760.146323.36
984489.871610662.512221.1525127.79-6286.93-11703.71.943.240.115280.62
10119004161247512681.0126875.99-8291.97-13259.261.534.590.137437.76

From the table above, we see that best results are achieved by holding positions for 7 trading days. Profit factor is 9.39. Strategy is very good and impressively bearish. Percentage of profitable trades is 87.5%, which is excellent. Average return per trade is 3.41%, which is very good.
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=7, Profit Factor:9.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2016105 Dec 2016 (1.98%)
2015115 Jun 2015 (-2.95%)
2013106 Mar 2013 (0.37%)
2011124 Jun 2011 (0.72%)
2010107 Jul 2010 (4.67%)
2008129 Jan 2008 (2.57%)
2007126 Mar 2007 (1.61%)
2004119 Jul 2004 (0.04%)
2003125 Mar 2003 (-3.56%)
2002123 Jul 2002 (7.82%)
2001107 Jun 2001 (4.87%)
2000102 Mar 2000 (14.69%)
1999111 Jun 1999 (1.44%)
1998131 Jul 1998 (8.99%)
1996112 Jul 1996 (10.88%)
1995124 Nov 1995 (0.41%)

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-171091361614287.58724.5629386.11-6503.92-7111.111.349.390.156821
atrtrail2627231.761688508652.7318935.99-5248.76-6795.221.651.650.0431701.99
atrtrail36.6921296.691688507910.8428403.98-5248.76-6795.221.511.510.0321331.04
atrtrail-17.0617347.91688507417.2424455.19-5248.76-6795.221.411.410.0291084.24
atrnil213.25-110035164122514637.1918935.99-14048.65-68836.31.040.35-0.076-6877.19
atrnil317.25-1256031621412.527095.7728403.98-12842.45-68836.32.110.3-0.084-7850.17

In the table above, row 1 shows the best exit criterion. Profit factor is 9.39. Strategy is very good and impressively bearish. Percentage of profitable trades is 87.5%, which is excellent. Average return per trade is 3.41%, which is very good.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.