Study: Sell WIPRO when RSI is overbought

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In this study, we evaluate the performance of strategy "Sell WIPRO when RSI is overbought" 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
1-29875.6790464451.114105.7916000.08-4971.41-16002.460.830.86-0.011-331.95
2-10183390434747.785411.5230719.33-7117.64-33285.520.760.7-0.025-1131.48
3-14839590434747.786150.4144260.99-8784.31-51948.360.70.64-0.028-1648.83
4-40656190385242.227900.3756719.98-13591.82-72104.220.580.42-0.052-4517.34
5-51694090405044.448617.2854091.55-17232.62-77474.770.50.4-0.058-5743.78
6-60209190385242.2210515.5961970.6-19263.15-86686.810.550.4-0.059-6689.9
7-79795890405044.449712.1950963.5-23728.91-1096250.410.33-0.068-8866.2
8-88308790395143.3310894.0443632.04-25646.16-1343970.420.32-0.064-9812.07
9-95529590424846.679947.7156141.1-28606.23-1463020.350.3-0.063-10614.39
10-93360690414945.5611102.2755252.44-28342.83-1646010.390.33-0.059-10373.4

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.86. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 51.11%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.

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
nilnil-11-29875.6790464451.114105.7916000.08-4971.41-16002.460.830.86-0.011-331.95
atrnil23.85-5481682295517424.0213314.1526098.21-7358.88-12847.61.810.57-0.053-2393.75
atrtrail22.75-5917482506318725.29560.1525347.26-6385.23-12847.61.50.5-0.06-2366.99
atrtrail33.09-6181492486118724.69245.336111.04-6321.46-12847.61.460.48-0.062-2492.54
atrtrail-13.51-6365822486118724.68943.1345006.73-6321.46-12847.61.410.46-0.064-2566.86
atrnil35.53-7838232223418815.3217679.9336111.04-7366.71-13049.12.40.43-0.076-3530.74

In the table above, row 1 shows the best exit criterion. Profit factor is 0.86. Profit factor is showing that this strategy doesn't give any edge over rendomness and it is only as good as tossing a coin and doing the trade. Percentage of profitable trades is 51.11%, which is not acceptable. Avoid this strategy. Average return per trade is -0.17%, we advise you not to use this strategy.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, X=1, Profit Factor:0.863

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019331 Jan 2019 (-0.64%), 15 Feb 2019 (0.13%), 15 Apr 2019 (2.36%)
2018412 Jul 2018 (-0.5%), 24 Aug 2018 (-1.27%), 07 Sep 2018 (-0.09%), 25 Sep 2018 (2.76%)
2017426 May 2017 (0.82%), 21 Jul 2017 (-1.92%), 31 Aug 2017 (0.89%), 29 Dec 2017 (-0.73%)
2016118 Apr 2016 (-2.15%)
2015223 Jan 2015 (0.54%), 09 Feb 2015 (0.8%)
2014326 Feb 2014 (0.96%), 08 Sep 2014 (0.79%), 07 Oct 2014 (4.03%)
2013911 Jan 2013 (0.19%), 06 Mar 2013 (-1.69%), 12 Jul 2013 (-1.68%), 30 Jul 2013 (-4.58%), 14 Aug 2013 (0.78%), 29 Aug 2013 (-2.14%), 15 Oct 2013 (3.06%), 10 Dec 2013 (-0.37%), 26 Dec 2013 (-1.18%)
2012309 Feb 2012 (-0.84%), 14 Sep 2012 (1.72%), 30 Nov 2012 (-0.34%)
2011231 Mar 2011 (0.86%), 08 Dec 2011 (1.89%)
2010614 Jan 2010 (0.7%), 09 Aug 2010 (2.09%), 24 Sep 2010 (0.55%), 13 Oct 2010 (-1.46%), 16 Dec 2010 (-1.61%), 31 Dec 2010 (1.67%)
2009926 Mar 2009 (0.96%), 23 Apr 2009 (0.21%), 18 May 2009 (7.58%), 17 Jul 2009 (-7.09%), 31 Jul 2009 (-0.16%), 14 Aug 2009 (2.84%), 28 Aug 2009 (2.65%), 22 Sep 2009 (1.77%), 21 Dec 2009 (-0.2%)
2007124 Dec 2007 (-0.1%)
2006319 Jan 2006 (-0.14%), 16 Oct 2006 (-0.8%), 22 Nov 2006 (0.4%)
2005326 May 2005 (-1.1%), 20 Jun 2005 (0.04%), 18 Nov 2005 (0.65%)
2004205 Nov 2004 (0.11%), 25 Nov 2004 (-3.43%)
2003301 Sep 2003 (-2.5%), 13 Oct 2003 (2.72%), 01 Dec 2003 (3.11%)
2002214 Nov 2002 (-4.6%), 29 Nov 2002 (-2.53%)
2001126 Nov 2001 (-4.84%)
2000521 Jan 2000 (-8.0%), 07 Feb 2000 (7.44%), 21 Feb 2000 (8.0%), 30 Aug 2000 (0.32%), 08 Dec 2000 (0.42%)
1999804 Jan 1999 (-8.0%), 18 Jan 1999 (0.55%), 03 Mar 1999 (4.11%), 05 May 1999 (3.91%), 19 Jul 1999 (3.83%), 02 Aug 1999 (-0.47%), 14 Dec 1999 (6.04%), 28 Dec 1999 (-5.48%)
1998723 Feb 1998 (0.86%), 19 Mar 1998 (-3.72%), 02 Apr 1998 (-1.17%), 20 Apr 1998 (-0.03%), 06 May 1998 (0.86%), 21 May 1998 (-2.15%), 04 Jun 1998 (4.97%)
1997802 May 1997 (-4.32%), 12 Jun 1997 (1.68%), 26 Jun 1997 (0.83%), 10 Jul 1997 (-2.72%), 25 Jul 1997 (-6.97%), 08 Aug 1997 (-4.26%), 08 Sep 1997 (-2.59%), 29 Sep 1997 (-0.85%)
1996123 Apr 1996 (-7.96%)



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