Study: Sell WIPRO when there is bearish divergence in RSI and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell WIPRO when there is bearish divergence in RSI 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
1-61519.5437172045.953431.3115999.18-5992.59-20012.160.570.49-0.051-1662.69
2-93196.2337152240.546991.7530718.39-9003.3-33284.280.780.53-0.045-2518.82
3-11166637181948.658627.0444260.78-14050.17-51948.360.610.58-0.037-3018.01
4-24429637172045.958794.1241403.78-19689.79-72104.220.450.38-0.062-6602.59
5-26399537211656.767850.8149967.97-26803.9-91186.410.290.38-0.06-7135.01
6-33728237211656.768843.7538003.73-32687.58-1144810.270.36-0.06-9115.74
7-43820537201754.057796.2430034.75-34948.83-1396410.220.26-0.069-11843.39
8-47229337181948.659475.2643631.56-33834.1-1668140.280.27-0.066-12764.68
9-62686937162143.249662.1142665.62-37212.5-1938930.260.2-0.073-16942.4
10-69295737152240.5411162.9253224.04-39109.11-1729610.290.19-0.08-18728.55
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
atrtrail23.03-84806.3164234135.949645.2525347.26-7479.2-12847.61.290.72-0.028-1325.1
atrtrail33.42-93574.5764234135.949264.0236111.04-7479.2-12847.61.240.69-0.03-1462.1
atrtrail-13.89-12050264234135.948093.2736259.59-7479.2-12847.61.080.61-0.041-1882.84
atrnil24.25-14812161164526.2313362.925347.26-8042.83-13584.141.660.59-0.049-2428.21
atrnil35.85-20403361115018.0318054.3736111.04-8052.62-13584.142.240.49-0.063-3344.8

In the table above, row 1 shows the best exit criterion. Profit factor is 0.72. 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:0.723

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019308 Feb 2019 (0.25%), 26 Feb 2019 (4.26%), 26 Apr 2019 (4.06%)
2018310 Jan 2018 (1.11%), 20 Jul 2018 (4.44%), 18 Sep 2018 (4.32%)
2017331 Jul 2017 (-2.24%), 01 Aug 2017 (0.84%), 08 Sep 2017 (2.5%)
2015210 Feb 2015 (-1.7%), 19 Feb 2015 (-0.73%)
2013730 Jul 2013 (-3.32%), 08 Aug 2013 (-3.44%), 14 Aug 2013 (0.61%), 28 Aug 2013 (-3.28%), 03 Sep 2013 (2.34%), 19 Dec 2013 (-2.35%), 26 Dec 2013 (-2.45%)
2010305 Jan 2010 (4.74%), 18 Jan 2010 (5.93%), 29 Dec 2010 (5.08%)
2009906 Apr 2009 (-4.58%), 06 May 2009 (-5.52%), 07 May 2009 (2.68%), 18 May 2009 (12.67%), 28 Jul 2009 (-4.04%), 07 Aug 2009 (-3.83%), 11 Aug 2009 (-0.99%), 24 Aug 2009 (-3.53%), 01 Sep 2009 (-0.05%)
2004119 Nov 2004 (-2.04%)
2002126 Nov 2002 (-3.59%)
2001110 Dec 2001 (-3.11%)
2000721 Jan 2000 (-6.42%), 08 Feb 2000 (-6.03%), 09 Feb 2000 (-5.77%), 10 Feb 2000 (-5.62%), 11 Feb 2000 (-5.36%), 14 Feb 2000 (-5.22%), 22 Feb 2000 (12.04%)
1999718 Jan 1999 (-4.46%), 19 Jan 1999 (-4.9%), 21 Jan 1999 (-4.74%), 22 Jan 1999 (-4.81%), 25 Jan 1999 (-4.78%), 28 Jan 1999 (10.89%), 05 Aug 1999 (7.48%)
1998903 Mar 1998 (-3.16%), 05 Mar 1998 (1.66%), 31 Mar 1998 (-3.13%), 22 Apr 1998 (-4.34%), 23 Apr 1998 (2.13%), 14 May 1998 (-4.76%), 21 May 1998 (-4.65%), 26 May 1998 (-4.26%), 03 Jun 1998 (11.75%)
1997819 May 1997 (0.62%), 26 Jun 1997 (-2.45%), 14 Jul 1997 (-3.56%), 21 Jul 1997 (-3.85%), 25 Jul 1997 (-3.96%), 28 Jul 1997 (-3.9%), 12 Aug 1997 (-2.41%), 14 Aug 1997 (8.53%)



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