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

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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 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
119830.69251114447519.1817260.05-4491.45-16001.791.671.320.021793.23
2-17105.0525817329133.8826450.78-5304.47-16309.821.720.81-0.015-684.2
3-43465.2625817329834.3236787.56-7184.7-38871.371.370.64-0.028-1738.61
4-90571.67258173212178.1236787.56-11058.62-76470.261.10.52-0.039-3622.87
5-88719.27258173215627.9334196.89-12573.1-85964.041.240.58-0.033-3548.77
6-97357.052510154010264.731606.22-13333.6-1037680.770.51-0.035-3894.28
7-111983251213489165.6925388.6-17074.68-1029490.540.5-0.039-4479.31
8-185509251114446845.1526424.87-18629-1296270.370.29-0.056-7420.38
9-198652251015409887.4736787.56-19835.09-1274580.50.33-0.058-7946.07
10-1883632510154010132.8340932.64-19312.77-1194800.520.35-0.057-7534.53

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.32. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, 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.

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-1119830.69251114447519.1817260.05-4491.45-16001.791.671.320.021793.23
atrtrail35.07-57683.362762122.2215115.5234258.15-7065.55-22146.332.140.61-0.038-2136.42
atrtrail24.79-65179.73287212511885.2524557.36-7065.55-22146.331.680.56-0.047-2327.85
atrtrail-15.33-65964.052762122.2213735.429867.43-7065.55-22146.331.940.56-0.045-2443.11
atrnil27.63-1509962772025.9315949.8224649.46-13132.23-74299.591.210.43-0.061-5592.44
atrnil38.72-192817254211620615.6734258.15-13108.55-74299.591.570.3-0.083-7712.68

In the table above, row 1 shows the best exit criterion. Profit factor is 1.32. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 44%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, 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.
WIPRO Performance, X=1, Profit Factor:1.32

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018126 Jul 2018 (-1.14%)
2017212 Jun 2017 (1.59%), 14 Sep 2017 (-0.81%)
2016229 Feb 2016 (-2.92%), 27 Oct 2016 (-0.09%)
2015112 Jun 2015 (-0.66%)
2014119 May 2014 (-2.61%)
2013124 Oct 2013 (-2.18%)
2012127 Feb 2012 (1.07%)
2011114 Jul 2011 (-0.8%)
2010112 Aug 2010 (-0.81%)
2008210 Mar 2008 (2.31%), 24 Oct 2008 (6.59%)
2007102 Apr 2007 (-2.99%)
2004319 Feb 2004 (0.47%), 09 Mar 2004 (-2.27%), 23 Mar 2004 (1.36%)
2003123 Oct 2003 (-4.27%)
2002110 Jan 2002 (5.12%)
2001111 Apr 2001 (6.77%)
2000115 Sep 2000 (8.63%)
1999123 Sep 1999 (-8.0%)
1997127 May 1997 (0.45%)
1996227 Jun 1996 (-1.88%), 29 Nov 1996 (6.99%)



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