Study: Buy WIPRO when RSI is above 50 and ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy WIPRO when RSI is above 50 and ADX is Trending and there is Golden Cross (50 DMA > 200 DMA)" 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
122731.61118372.735632.1814764.21-7441.96-15486.420.762.020.0542066.51
29733.45116554.557654.8917696.22-7239.18-15393.551.061.270.019884.86
3-2954.92116554.559096.5517737.86-11506.84-21248.410.790.95-0.0045-268.63
4-25941.67116554.559438.4713315.51-16514.5-32764.170.570.69-0.032-2358.33
5-48821.79115645.4510863.1819678.35-17189.62-46142.90.630.53-0.052-4438.34
6-43686.95114736.3615582.0319216.49-15145.01-43320.431.030.59-0.045-3971.54
7-48345.75114736.3616878.8225187.63-16551.57-51781.121.020.58-0.044-4395.07
8-40982.7114736.3614495.7123175.26-14137.93-39961.471.030.59-0.045-3725.7
95609.96115645.4515701.8223142.27-12149.85-32088.81.291.080.0063510
1017577.44115645.4520767.3638762.89-14376.56-45521.291.441.20.0151597.95

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 2.02. 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 72.73%, which is good. Average return per trade is 1.03%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.054, which is low, don't trade solely on the basis of this study. Maximum losing trade is greater than maximum winning trade which is not good and there can be a huge drawdown before profitability. Win loss ratio is less than 1 which is bad, avoid this strategy.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
WIPRO Performance, X=1, Profit Factor:2.02

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Sep 2018 (-0.09%)
2013217 Jan 2013 (-7.74%), 22 Aug 2013 (0.79%)
2010105 Aug 2010 (0.41%)
2009126 May 2009 (1.4%)
2003117 Oct 2003 (-3.33%)
2002203 Jan 2002 (6.45%), 12 Dec 2002 (2.2%)
2000118 Feb 2000 (7.38%)
1998128 Apr 1998 (1.82%)
1997102 Jul 1997 (2.08%)

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
atrtrail34.3671954.83116554.5515641.1440841.64-4378.41-10114.63.574.290.0956541.35
atrtrail-15.7363244.65116554.5514189.4543841.17-4378.41-10114.63.243.890.0845749.51
atrtrail24.1844544.06116554.5511072.6827227.76-4378.41-10114.62.533.030.0834049.46
atrnil35.2796959.17115645.4528935.6840841.64-7953.21-15996.333.643.030.0948814.47
atrnil2548733.03115645.4519290.4627227.76-7953.21-15996.332.432.020.0644430.28
nilnil-1122731.61118372.735632.1814764.21-7441.96-15486.420.762.020.0542066.51

In the table above, row 1 shows the best exit criterion. Profit factor is 4.29. Strategy is very good and impressively bullish. Percentage of profitable trades is 54.55%, which is not acceptable. Avoid this strategy. Average return per trade is 3.27%, which is very good. Sharpe Ratio is 0.095, 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:4.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Sep 2018 (-0.71%)
2013217 Jan 2013 (-2.3%), 22 Aug 2013 (10.25%)
2010105 Aug 2010 (-1.06%)
2009126 May 2009 (20.42%)
2003117 Oct 2003 (-5.06%)
2002203 Jan 2002 (1.25%), 12 Dec 2002 (-1.81%)
2000118 Feb 2000 (2.3%)
1998128 Apr 1998 (2.26%)
1997102 Jul 1997 (10.45%)



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