Study: Buy WIPRO when RSI is above 50 and 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 RSI is above 50 and 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
1-23059.1140192147.53652.916002.35-4403.06-15999.330.830.75-0.022-576.48
2-35098.7640192147.54964.6333283.78-6163.18-30718.240.810.73-0.02-877.47
3-30907.28401822458191.4151946.48-8106.94-44259.631.010.83-0.012-772.68
4-85828.4401624409319.835683.98-9789.38-56718.860.950.63-0.03-2145.71
5-47426.384016244013084.2854538.7-10698.95-55282.531.220.82-0.014-1185.66
6-20995.064014263519765.4474901.67-11450.43-52164.71.730.93-0.0052-524.88
744496.6340172342.518839.0996893.68-11989.91-40336.611.571.160.011112.42
873076.5940152537.521160.38120648-9773.16-27562.562.171.30.0161826.91
91142154016244023663.6125755-11016.78-29640.622.151.430.0222855.38
101870184016244026799.75101530-10074.1-36122.992.661.770.0384675.44
Although, strategy looks good but profit factor on day 4 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-14.6783824.1546113523.9127449.51140052-6232.01-17253.514.41.380.0151822.26
atrnil37.6523647.543113225.5826059.5345049.4-8218.98-17253.513.171.090.0072549.94
atrtrail34.15-49275.9446113523.9115349.545049.4-6232.01-17253.512.460.77-0.018-1071.22
atrnil25.89-67546.3846123426.0917174.430032.93-8048.21-17253.512.130.75-0.026-1468.4
atrtrail23.81-88496.5547113623.412354.3330032.93-6233.17-17253.511.980.61-0.04-1882.91

In the table above, row 1 shows the best exit criterion. Profit factor is 1.38. 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 23.91%, which is not acceptable. Avoid this strategy. Average return per trade is 0.91%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.015, 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:1.38

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2017201 Sep 2017 (0.33%), 07 Nov 2017 (-1.63%)
2016119 Feb 2016 (-2.31%)
2015120 Nov 2015 (-1.73%)
2014122 Jan 2014 (-2.52%)
2013202 Sep 2013 (-3.27%), 14 Oct 2013 (-1.02%)
2012205 Jan 2012 (-2.92%), 01 Nov 2012 (-0.69%)
2011102 Dec 2011 (2.72%)
2010115 Jan 2010 (-1.43%)
2009310 Jun 2009 (-5.3%), 26 Aug 2009 (-1.44%), 30 Sep 2009 (-1.96%)
2008304 Feb 2008 (-7.61%), 05 Feb 2008 (-8.63%), 25 Mar 2008 (-1.87%)
2007116 Apr 2007 (-4.47%)
2006219 Jan 2006 (1.59%), 16 Nov 2006 (2.06%)
2005428 Jan 2005 (-0.95%), 29 Jul 2005 (-2.81%), 01 Aug 2005 (-1.75%), 20 Dec 2005 (-2.88%)
2004103 Nov 2004 (10.0%)
2003501 Oct 2003 (-4.64%), 13 Oct 2003 (-4.4%), 03 Nov 2003 (-2.74%), 27 Nov 2003 (2.51%), 11 Dec 2003 (-0.76%)
2002207 Jan 2002 (-6.98%), 14 Oct 2002 (-1.25%)
2001105 Jan 2001 (-5.87%)
2000324 Jan 2000 (19.4%), 29 Mar 2000 (-8.53%), 16 Aug 2000 (27.69%)
1999201 Mar 1999 (-0.65%), 15 Mar 1999 (-1.95%)
1998319 Mar 1998 (70.03%), 20 May 1998 (-4.29%), 21 May 1998 (12.87%)
1997512 Jun 1997 (-2.36%), 18 Jun 1997 (-2.72%), 25 Jun 1997 (1.76%), 09 Sep 1997 (-2.02%), 29 Sep 1997 (-2.72%)



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