Study: Buy WIPRO when RSI is above 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy WIPRO when RSI is above 50 and there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy 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. 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
1-121863137696850.363568.4716002.35-5413.05-1567980.660.67-0.013-889.51
2-97865.73137696850.365075.7933283.78-6589.63-1533410.770.78-0.0099-714.35
3-50312.03137706751.096484.6951946.93-7525.97-1496070.860.9-0.0046-367.24
4-162362137686949.647090.8642098-9341.17-1496140.760.75-0.014-1185.13
5-106059137696850.368058.354538.7-9736.49-1510760.830.84-0.0091-774.15
6-42864.89137706751.099605.9274901.67-10675.81-1521540.90.94-0.0034-312.88
720124.02137696850.3611313.2996893.68-11183.72-1530891.011.030.0015146.89
826817.49137667148.1812308.75120648-11064.23-1555421.111.030.0019195.75
962184.73137667148.1813500.95125755-11674.33-1563151.161.080.0042453.9
10201377137696850.3614586.59101530-11839.66-1530631.231.250.0141469.91
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
atrtrail-15.592453931535010332.6815414.72140052-5100.42-19825.863.021.470.021603.88
atrnil39.22200129138449431.8820363.1345049.4-7402.65-19825.862.751.290.0221450.21
atrnil26.58127688149608940.2713137.5430032.93-7422.07-19825.861.771.190.016856.96
atrtrail34.7274121.861565210433.3311678.7945049.4-5126.68-19825.862.281.140.0095475.14
atrtrail24.325647.061585410434.189996.3530032.93-5136.11-19825.861.951.010.0008535.74

In the table above, row 1 shows the best exit criterion. Profit factor is 1.47. 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 32.68%, which is not acceptable. Avoid this strategy. Average return per trade is 0.8%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.02, 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, Profit Factor:1.47

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019216 Jan 2019 (-0.06%), 04 Jun 2019 (0.45%)
2018613 Mar 2018 (-2.01%), 14 Aug 2018 (-2.02%), 16 Aug 2018 (17.32%), 30 Oct 2018 (-2.16%), 19 Nov 2018 (-2.87%), 03 Dec 2018 (-0.64%)
2017813 Feb 2017 (-0.57%), 08 May 2017 (-0.56%), 10 Jul 2017 (-2.28%), 11 Jul 2017 (9.52%), 01 Sep 2017 (0.33%), 11 Oct 2017 (-0.61%), 06 Nov 2017 (-0.84%), 18 Dec 2017 (5.25%)
2016619 Feb 2016 (-2.31%), 12 Apr 2016 (3.23%), 09 Jun 2016 (2.06%), 30 Jun 2016 (-0.3%), 09 Aug 2016 (-1.76%), 28 Dec 2016 (0.4%)
2015618 Jun 2015 (-0.94%), 13 Jul 2015 (0.97%), 14 Aug 2015 (-0.69%), 14 Sep 2015 (2.96%), 20 Nov 2015 (-1.73%), 29 Dec 2015 (-1.6%)
2014622 Jan 2014 (-2.52%), 24 Feb 2014 (2.0%), 02 Apr 2014 (-2.73%), 23 Jul 2014 (-1.36%), 22 Aug 2014 (4.36%), 23 Sep 2014 (-0.55%)
2013622 Feb 2013 (5.42%), 03 Apr 2013 (-1.4%), 02 Sep 2013 (-3.27%), 14 Oct 2013 (-1.02%), 18 Nov 2013 (-2.43%), 04 Dec 2013 (9.66%)
2012605 Jan 2012 (-2.92%), 23 Jan 2012 (-1.82%), 03 Feb 2012 (2.6%), 29 Mar 2012 (-0.28%), 29 May 2012 (-2.13%), 01 Nov 2012 (-0.69%)
2011425 Mar 2011 (2.83%), 18 May 2011 (-2.29%), 10 Oct 2011 (0.04%), 02 Dec 2011 (2.72%)
2010514 Jan 2010 (-2.13%), 17 Feb 2010 (7.44%), 14 Jun 2010 (-0.33%), 09 Jul 2010 (-0.65%), 08 Sep 2010 (-2.19%)
2009710 Jun 2009 (-5.3%), 14 Jul 2009 (23.32%), 26 Aug 2009 (-1.44%), 30 Sep 2009 (-1.96%), 27 Oct 2009 (0.02%), 12 Nov 2009 (0.76%), 15 Dec 2009 (2.76%)
2008504 Feb 2008 (-7.61%), 05 Feb 2008 (-8.63%), 25 Mar 2008 (-1.87%), 16 Apr 2008 (-2.98%), 01 Sep 2008 (-0.76%)
2007711 Jan 2007 (0.26%), 15 Feb 2007 (-2.5%), 16 Apr 2007 (-4.47%), 09 Jul 2007 (-2.89%), 27 Sep 2007 (5.45%), 03 Dec 2007 (-2.57%), 24 Dec 2007 (-1.15%)
20061019 Jan 2006 (1.59%), 02 Mar 2006 (-3.18%), 30 Mar 2006 (-3.29%), 19 Apr 2006 (-4.0%), 31 Jul 2006 (4.32%), 22 Sep 2006 (-2.29%), 27 Sep 2006 (-1.44%), 11 Oct 2006 (6.09%), 16 Nov 2006 (2.06%), 27 Dec 2006 (-1.44%)
20051228 Jan 2005 (-0.95%), 03 Mar 2005 (0.72%), 25 Apr 2005 (-4.45%), 20 Jun 2005 (-2.48%), 29 Jul 2005 (-2.81%), 01 Aug 2005 (-1.75%), 10 Aug 2005 (-1.9%), 25 Aug 2005 (-3.2%), 31 Aug 2005 (2.28%), 04 Oct 2005 (-2.13%), 08 Nov 2005 (10.65%), 20 Dec 2005 (-2.88%)
2004624 May 2004 (-6.16%), 18 Jun 2004 (5.19%), 19 Jul 2004 (-0.24%), 20 Aug 2004 (2.31%), 04 Oct 2004 (-1.06%), 03 Nov 2004 (10.0%)
2003806 Jan 2003 (-2.97%), 31 Jul 2003 (-0.04%), 21 Aug 2003 (-3.51%), 01 Oct 2003 (-4.64%), 10 Oct 2003 (-2.65%), 03 Nov 2003 (-2.74%), 27 Nov 2003 (2.51%), 11 Dec 2003 (-0.76%)
2002807 Jan 2002 (-6.98%), 06 Feb 2002 (-5.89%), 07 Feb 2002 (-2.76%), 04 Mar 2002 (3.38%), 10 Apr 2002 (-0.54%), 11 Jun 2002 (-3.23%), 11 Oct 2002 (-1.3%), 12 Nov 2002 (7.27%)
2001405 Jan 2001 (-5.87%), 08 Jan 2001 (-3.98%), 19 Jan 2001 (-5.6%), 27 Aug 2001 (-4.33%)
2000424 Jan 2000 (19.4%), 29 Mar 2000 (-8.53%), 11 Apr 2000 (-9.91%), 16 Aug 2000 (27.69%)
1999601 Mar 1999 (-0.65%), 15 Mar 1999 (-1.95%), 30 Apr 1999 (19.24%), 04 Jun 1999 (-4.14%), 05 Jul 1999 (6.27%), 21 Sep 1999 (-3.88%)
1998719 Mar 1998 (70.03%), 20 May 1998 (-4.29%), 21 May 1998 (12.87%), 01 Jul 1998 (-2.42%), 30 Jul 1998 (-4.23%), 16 Sep 1998 (-3.16%), 13 Oct 1998 (6.66%)
1997622 Apr 1997 (22.42%), 12 Jun 1997 (-2.36%), 18 Jun 1997 (-2.72%), 25 Jun 1997 (1.76%), 09 Sep 1997 (-2.02%), 29 Sep 1997 (-2.72%)
1996702 Feb 1996 (2.5%), 19 Mar 1996 (-0.15%), 10 Apr 1996 (-1.57%), 18 Apr 1996 (21.66%), 11 Jun 1996 (4.34%), 18 Jul 1996 (-3.72%), 19 Jul 1996 (-2.04%)
1995125 Sep 1995 (-0.02%)



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