Study: Sell WIPRO when there is Bearish Crossover in MACD and ADX is Trending

home > technical-strategy > wipro > 27

In this study, we evaluate the performance of strategy "Sell WIPRO when there is Bearish Crossover in MACD 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: 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
136779.7979433654.434129.8414213.18-3911.2-16001.791.061.260.017465.57
261959.879423753.166344.4230246.63-5527.18-33281.121.151.30.018784.3
3-36392.1278374147.446652.5236787.56-6891.1-40503.50.970.87-0.0087-466.57
4-13272778344443.598593.0536787.56-9656.59-76470.260.890.69-0.025-1701.62
5-16854078344443.598790.6844807.34-10623.26-85964.040.830.64-0.028-2160.77
6-6237.2578334542.3113955.27115675-10372.47-1037681.350.99-0.00076-79.96
7-93572.9178354344.8711809.81117577-11788.75-10294910.82-0.011-1199.65
8-22870378344443.5910929.34118631-13643.19-1296270.80.62-0.025-2932.09
9-27581778344443.5911749.73119698-15347.9-1274580.770.59-0.029-3536.11
10-32784878324641.0312719.24123713-15975.29-1194800.80.55-0.034-4203.18
Although, strategy looks good but profit factor on day 1 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
atrtrail34.59-11800986275931.49063.1830456.15-6147.72-22146.331.470.67-0.03-1372.2
atrtrail24.28-13095888286031.828397.2624557.36-6101.36-22146.331.380.64-0.036-1488.16
atrtrail-14.95-13110785275831.768456.6233991.71-6197.16-22146.331.360.64-0.033-1542.43
atrnil26.4-32620087246327.5912515.2924649.46-9945.51-74299.591.260.48-0.059-3749.43
atrnil37.94-38766684156917.8618403.7730456.15-9619.16-74299.591.910.42-0.068-4615.07

In the table above, row 1 shows the best exit criterion. Profit factor is 0.67. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, Profit Factor:0.675

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019215 Feb 2019 (1.15%), 08 May 2019 (0.94%)
2018323 Jan 2018 (8.55%), 25 Jul 2018 (-1.36%), 25 Sep 2018 (0.48%)
2017605 Apr 2017 (1.69%), 09 Jun 2017 (2.1%), 08 Aug 2017 (-1.71%), 13 Sep 2017 (3.93%), 14 Sep 2017 (-1.64%), 15 Nov 2017 (-0.3%)
2016329 Feb 2016 (-2.6%), 01 Mar 2016 (-1.77%), 27 Oct 2016 (5.73%)
2015223 Feb 2015 (-2.24%), 12 Jun 2015 (-2.87%)
2014307 Jan 2014 (-0.6%), 27 Jan 2014 (0.08%), 19 May 2014 (-3.62%)
2013320 Aug 2013 (-2.02%), 05 Sep 2013 (0.17%), 24 Oct 2013 (-3.6%)
2012307 Jan 2012 (1.02%), 24 Feb 2012 (1.45%), 20 Sep 2012 (-2.43%)
2011605 Jan 2011 (7.14%), 11 Apr 2011 (-2.77%), 14 Jul 2011 (-0.08%), 17 Nov 2011 (-3.03%), 20 Dec 2011 (-3.37%), 21 Dec 2011 (-1.01%)
2010407 Jan 2010 (-0.13%), 22 Jan 2010 (2.88%), 12 Aug 2010 (-2.59%), 19 Oct 2010 (8.97%)
2009521 May 2009 (-4.66%), 15 Jun 2009 (2.98%), 17 Aug 2009 (-3.42%), 03 Sep 2009 (-1.4%), 07 Oct 2009 (0.0%)
2008310 Mar 2008 (-3.65%), 20 May 2008 (-0.18%), 24 Oct 2008 (-7.54%)
2007202 Apr 2007 (-6.16%), 12 Apr 2007 (-5.02%)
2006317 Jan 2006 (-4.05%), 18 Jan 2006 (-5.12%), 07 Dec 2006 (1.31%)
2005105 Dec 2005 (-3.27%)
2004605 Jan 2004 (-1.82%), 19 Feb 2004 (1.66%), 09 Mar 2004 (-4.31%), 22 Mar 2004 (-1.59%), 29 Apr 2004 (-3.49%), 08 Dec 2004 (-2.47%)
2003516 Sep 2003 (-0.02%), 06 Oct 2003 (-2.52%), 22 Oct 2003 (-2.69%), 15 Nov 2003 (-3.54%), 09 Dec 2003 (-3.89%)
2002310 Jan 2002 (-3.05%), 24 Oct 2002 (-0.12%), 05 Dec 2002 (-4.21%)
2001211 Apr 2001 (-11.07%), 18 Dec 2001 (-6.46%)
2000411 Jan 2000 (-7.59%), 25 Feb 2000 (-5.14%), 14 Sep 2000 (15.23%), 18 Dec 2000 (14.39%)
1999602 Feb 1999 (-1.09%), 11 Mar 1999 (-5.28%), 12 Mar 1999 (-5.07%), 22 Mar 1999 (1.01%), 11 Aug 1999 (0.42%), 23 Sep 1999 (12.28%)
1998312 Mar 1998 (-3.05%), 28 Apr 1998 (-5.55%), 05 Jun 1998 (-4.91%)
1997626 May 1997 (6.69%), 16 Jun 1997 (-2.68%), 17 Jun 1997 (-2.72%), 20 Aug 1997 (11.69%), 16 Sep 1997 (-1.06%), 14 Oct 1997 (-0.34%)
1996227 Jun 1996 (-1.45%), 29 Nov 1996 (8.42%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play