Study: Buy WIPRO when there is Bullish Crossover in MACD and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy WIPRO when there is Bullish 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: 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
124930.6772343847.224487.0531480.45-3358.66-15999.331.341.20.012346.26
2-34997.8572353748.615523.8639429.31-6171.16-31710.810.90.85-0.01-486.08
3-12629.8772383452.787512.3854335.74-8767.66-44259.630.860.96-0.0026-175.41
4-20732.7672353748.619412.253650.18-9463.77-56718.860.990.94-0.004-287.95
566679.4872343847.2212808.4575986.66-9705.47-55282.531.321.180.011926.1
696918.2172373551.3913090.6474901.67-11069.58-52164.71.181.250.0151346.09
719580072393354.1714899.2596893.68-11674.86-48631.731.281.510.0272719.45
81647737236365015720.65120648-11143.64-72845.591.411.410.0212288.51
924105472393354.1717303.06125755-13144.39-81449.171.321.560.0283347.98
1033325672373551.3919791.34101530-11400.68-62476.261.741.840.044628.55
Although, strategy looks good but profit factor on day 2 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
atrnil311.2729559279255431.6532362.8888909.27-9508.88-36809.873.41.580.0343741.68
atrtrail-15.8815164082265631.7120374.07140052-6751.53-31086.323.021.40.0181849.27
atrnil27.7187757.6882285434.1521167.9659272.84-9350.84-36809.872.261.170.0131070.22
atrtrail35.2944581.8282265631.7116256.4388909.27-6751.53-31086.322.411.120.0069543.68
atrtrail24.83-26695.7183265731.3313756.2959272.84-6743.14-31086.322.040.93-0.0049-321.64

In the table above, row 1 shows the best exit criterion. Profit factor is 1.58. 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 31.65%, which is not acceptable. Avoid this strategy. Average return per trade is 1.87%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.034, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, Profit Factor:1.58

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019123 Jul 2019 (-2.3%)
2018207 Jun 2018 (-2.21%), 29 Jun 2018 (5.78%)
2017201 Sep 2017 (-1.47%), 07 Nov 2017 (-1.76%)
2016421 Jan 2016 (-2.21%), 19 Feb 2016 (-2.31%), 15 Sep 2016 (-2.01%), 22 Nov 2016 (7.44%)
2015208 May 2015 (9.03%), 20 Nov 2015 (-1.82%)
2014222 Jan 2014 (-2.61%), 27 May 2014 (-3.29%)
2013307 May 2013 (-4.02%), 02 Sep 2013 (-3.27%), 14 Oct 2013 (-2.86%)
2012203 Aug 2012 (8.32%), 01 Nov 2012 (-2.59%)
2011416 Feb 2011 (-3.34%), 28 Jun 2011 (-2.61%), 29 Aug 2011 (-4.32%), 02 Dec 2011 (9.65%)
2010215 Jan 2010 (-3.02%), 30 Nov 2010 (10.1%)
2009210 Jun 2009 (-5.3%), 26 Aug 2009 (10.53%)
2008604 Feb 2008 (-7.61%), 05 Feb 2008 (-8.63%), 25 Mar 2008 (-6.02%), 24 Jul 2008 (-6.48%), 22 Oct 2008 (-10.44%), 31 Oct 2008 (-12.12%)
2007220 Mar 2007 (-5.3%), 10 Apr 2007 (15.77%)
2006319 Jan 2006 (15.17%), 19 Jun 2006 (21.84%), 16 Nov 2006 (11.28%)
2005428 Jan 2005 (-3.69%), 29 Jul 2005 (-2.81%), 01 Aug 2005 (-2.88%), 20 Dec 2005 (-2.88%)
2004716 Feb 2004 (-4.5%), 04 Mar 2004 (-4.19%), 12 Mar 2004 (-4.17%), 15 Mar 2004 (-4.45%), 26 Mar 2004 (-4.19%), 05 Apr 2004 (12.17%), 03 Nov 2004 (10.04%)
2003505 May 2003 (-6.31%), 01 Oct 2003 (-4.64%), 13 Oct 2003 (-4.4%), 03 Nov 2003 (14.17%), 11 Dec 2003 (-3.75%)
2002307 Jan 2002 (-7.16%), 08 Aug 2002 (15.21%), 14 Oct 2002 (-4.26%)
2001505 Jan 2001 (-5.87%), 29 Mar 2001 (-12.28%), 17 Apr 2001 (44.45%), 13 Jul 2001 (-7.57%), 10 Oct 2001 (36.86%)
2000424 Jan 2000 (18.16%), 29 Mar 2000 (-8.53%), 14 Aug 2000 (24.0%), 25 Oct 2000 (24.08%)
1999301 Mar 1999 (-4.98%), 15 Mar 1999 (-4.89%), 12 Oct 1999 (-18.4%)
1998319 Mar 1998 (8.76%), 20 May 1998 (-4.29%), 21 May 1998 (13.95%)
1997708 Jan 1997 (11.89%), 12 Jun 1997 (-2.36%), 18 Jun 1997 (-2.72%), 25 Jun 1997 (9.09%), 09 Sep 1997 (-4.1%), 29 Sep 1997 (-3.4%), 18 Nov 1997 (36.8%)
1996117 Oct 1996 (-3.16%)



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