Study: Sell WIPRO when RSI is below 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell WIPRO when RSI is below 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 WIPRO 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
18738.72115556047.833883.8417260.05-3414.54-16001.791.141.040.00375.99
2-88568.65115496642.615504.4326450.78-5428.57-32910.941.010.75-0.021-770.16
3-141123115496642.616483.6736787.56-6951.87-38871.370.930.69-0.026-1227.16
4-127223115536246.097387.2736787.56-8366.91-76470.260.880.75-0.019-1106.29
5-175427115486741.748301.5734196.89-8565.7-85964.040.970.69-0.024-1525.45
6-187499115536246.097902.9931606.22-9779.97-1037680.810.69-0.024-1630.43
7-211531115565948.77371.1339566.38-10581.59-1029490.70.66-0.027-1839.4
8-272898115526345.228296.2658818.23-11179.42-1296270.740.61-0.029-2373.03
9-162148115536246.0910976.0974761.01-11998.07-1274580.910.78-0.015-1409.98
10-117012115506543.4812749.1260364.83-11607.2-1194801.10.84-0.011-1017.49

From the table above, we see that best results are achieved by holding positions for 1 trading days. 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 47.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.038%, 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.

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-118738.72115556047.833883.8417260.05-3414.54-16001.791.141.040.00375.99
atrtrail34.94-21332.12122418133.6110944.5968613.25-5803.21-22146.331.890.95-0.0032-174.85
atrtrail24.49-55445.31124448035.489467.4845742.17-5900.18-22146.331.60.88-0.0099-447.14
atrtrail-15.3-85715.17122418133.619374.2764719.86-5803.21-22146.331.620.82-0.014-702.58
atrnil26.78-218869119368330.2514123.4545742.17-8762.81-74299.591.610.7-0.028-1839.24
atrnil38.8-244149111238820.7222145.3768613.25-8562.41-74299.592.590.68-0.029-2199.54

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 47.83%, which is not acceptable. Avoid this strategy. Average return per trade is 0.038%, 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.
WIPRO Performance, X=1, Profit Factor:1.04

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019320 Jun 2019 (0.38%), 14 Aug 2019 (0.74%), 13 Sep 2019 (-0.71%)
2018708 Mar 2018 (0.05%), 26 Mar 2018 (-0.02%), 26 Apr 2018 (1.85%), 21 May 2018 (-0.04%), 26 Jul 2018 (-1.14%), 21 Nov 2018 (2.24%), 21 Dec 2018 (-1.43%)
2017212 Jun 2017 (1.59%), 14 Sep 2017 (-0.81%)
20161007 Jan 2016 (-1.08%), 09 Feb 2016 (0.94%), 29 Feb 2016 (-2.92%), 08 Apr 2016 (-2.95%), 07 Jun 2016 (-0.88%), 28 Jun 2016 (-2.24%), 18 Jul 2016 (0.49%), 11 Aug 2016 (-0.14%), 27 Oct 2016 (-0.09%), 26 Dec 2016 (-2.0%)
2015512 Jun 2015 (-0.66%), 06 Jul 2015 (-0.68%), 28 Jul 2015 (-1.47%), 24 Aug 2015 (0.56%), 11 Dec 2015 (-0.2%)
2014707 Mar 2014 (1.43%), 22 Apr 2014 (1.1%), 16 May 2014 (4.13%), 15 Jul 2014 (0.1%), 31 Jul 2014 (1.54%), 16 Sep 2014 (-1.41%), 09 Dec 2014 (0.85%)
2013421 Jan 2013 (-0.3%), 09 Apr 2013 (-2.17%), 24 Oct 2013 (-2.18%), 20 Nov 2013 (0.96%)
2012327 Feb 2012 (1.07%), 13 Apr 2012 (-0.39%), 05 Jul 2012 (0.88%)
2011421 Mar 2011 (-0.12%), 13 Jun 2011 (-0.32%), 14 Jul 2011 (-0.8%), 05 Oct 2011 (-1.78%)
2010309 Jun 2010 (-2.11%), 28 Jun 2010 (1.28%), 12 Aug 2010 (-0.81%)
2009319 Jan 2009 (1.4%), 03 Feb 2009 (0.29%), 17 Feb 2009 (0.21%)
2008603 Jan 2008 (-0.09%), 10 Mar 2008 (2.31%), 11 Apr 2008 (-4.54%), 22 Aug 2008 (-0.3%), 11 Sep 2008 (1.68%), 24 Oct 2008 (6.59%)
2007908 Jan 2007 (-0.24%), 23 Feb 2007 (1.56%), 02 Apr 2007 (-2.99%), 08 May 2007 (-0.57%), 18 Jun 2007 (0.29%), 27 Jul 2007 (-0.17%), 21 Aug 2007 (-1.44%), 12 Sep 2007 (-0.85%), 05 Nov 2007 (-0.44%)
2006508 Mar 2006 (-0.8%), 12 Apr 2006 (0.33%), 19 Jul 2006 (-2.53%), 04 Oct 2006 (-2.76%), 31 Oct 2006 (0.15%)
2005722 Feb 2005 (0.59%), 15 Mar 2005 (0.11%), 12 Apr 2005 (0.05%), 08 Aug 2005 (-1.64%), 23 Aug 2005 (0.97%), 22 Sep 2005 (-0.49%), 18 Oct 2005 (1.34%)
2004619 Feb 2004 (0.47%), 09 Mar 2004 (-2.27%), 23 Mar 2004 (1.36%), 01 Jun 2004 (-0.17%), 07 Jul 2004 (3.02%), 13 Aug 2004 (-1.09%)
2003610 Jan 2003 (-0.5%), 07 Mar 2003 (0.4%), 28 Mar 2003 (5.24%), 18 Jul 2003 (3.44%), 06 Aug 2003 (-1.35%), 23 Oct 2003 (-4.27%)
2002610 Jan 2002 (5.12%), 20 Feb 2002 (0.24%), 22 Apr 2002 (2.86%), 22 May 2002 (0.67%), 07 Jun 2002 (-4.53%), 25 Jun 2002 (2.02%)
2001317 Jan 2001 (-5.59%), 11 Apr 2001 (6.77%), 03 Sep 2001 (-5.78%)
2000403 Apr 2000 (8.0%), 18 Apr 2000 (5.22%), 15 Sep 2000 (8.63%), 19 Dec 2000 (1.36%)
1999214 Jun 1999 (0.8%), 23 Sep 1999 (-8.0%)
1998204 Aug 1998 (-3.17%), 22 Sep 1998 (-4.14%)
1997204 Apr 1997 (3.2%), 27 May 1997 (0.45%)
1996519 Jan 1996 (-1.9%), 15 Mar 1996 (-3.29%), 27 Jun 1996 (-1.88%), 30 Jul 1996 (-2.79%), 29 Nov 1996 (6.99%)
1995131 Oct 1995 (0.46%)



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