Study: Sell WIPRO when RSI is above 50 and there is Bearish Crossover in MACD

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In this study, we evaluate the performance of strategy "Sell WIPRO when RSI is above 50 and there is Bearish Crossover in MACD" 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
160031.52108614756.483354.9114213.18-3076.98-160001.091.420.026555.85
288471.83108614756.485305.930246.63-5004-33281.121.061.380.022819.18
3-14036.43107555251.45238.4334383.89-5810.58-40503.50.90.95-0.0032-131.18
4-67031.92107505746.736664.8136023.05-7022.32-29846.150.950.83-0.014-626.47
5-59732.73107525548.66950.8644807.34-7657.77-25454.550.910.86-0.011-558.25
691984.45107476043.9311675.19115675-7612.49-29353.231.531.20.011859.67
738982.09107495845.7911227.85117577-8813.49-33117.741.271.080.0045364.32
8-30784.2107505746.7311163.8118631-10332.88-42155.891.080.95-0.0034-287.7
9-29170.69107466142.9913319.46119698-10522.39-59824.181.270.95-0.003-272.62
10-82089.65107485944.8613365.86123713-12265.27-80613.171.090.89-0.0077-767.19

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.42. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 56.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.

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-1160031.52108614756.483354.9114213.18-3076.98-160001.091.420.026555.85
atrtrail24.1-27427.37118427635.598578.1930434.01-5101.46-15174.91.680.93-0.0058-232.44
atrtrail34.44-32902.78117417635.048637.8830456.15-5092.84-15174.91.70.91-0.0065-281.22
atrtrail-14.75-60785.4117417635.047957.8140424.37-5092.84-15174.91.560.84-0.012-519.53
atrnil26.03-165618118358329.6613073.6330434.01-7508.37-16256.661.740.73-0.029-1403.54
atrnil38.15-180853116239319.8321526.0345651.01-7268.3-16256.662.960.73-0.026-1559.08

In the table above, row 1 shows the best exit criterion. Profit factor is 1.42. Strategy is showing mildly bearish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 56.48%, which is not acceptable. Avoid this strategy. Average return per trade is 0.28%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.026, 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.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, X=1, Profit Factor:1.42

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019315 Feb 2019 (0.13%), 08 May 2019 (-0.07%), 13 Nov 2019 (0.14%)
2018523 Jan 2018 (0.41%), 25 Jul 2018 (1.2%), 17 Aug 2018 (-1.79%), 25 Sep 2018 (2.76%), 12 Nov 2018 (-0.87%)
2017720 Jan 2017 (-0.39%), 05 Apr 2017 (-0.79%), 09 Jun 2017 (1.97%), 08 Aug 2017 (0.31%), 13 Sep 2017 (4.21%), 02 Nov 2017 (-0.44%), 16 Nov 2017 (0.84%)
2016129 Jun 2016 (-0.61%)
2015323 Feb 2015 (-0.5%), 29 Jul 2015 (0.5%), 08 Oct 2015 (-0.43%)
2014507 Jan 2014 (0.55%), 27 Jan 2014 (0.52%), 14 Jul 2014 (0.55%), 15 Sep 2014 (1.55%), 10 Oct 2014 (0.03%)
2013422 Jan 2013 (-0.75%), 19 Mar 2013 (0.85%), 20 Aug 2013 (1.41%), 05 Sep 2013 (0.09%)
2012507 Jan 2012 (1.4%), 01 Feb 2012 (-3.45%), 24 Feb 2012 (2.99%), 20 Sep 2012 (-1.33%), 11 Dec 2012 (1.25%)
2011405 Jan 2011 (-0.14%), 11 Apr 2011 (-2.7%), 17 Nov 2011 (-1.73%), 20 Dec 2011 (-2.78%)
2010507 Jan 2010 (1.5%), 22 Jan 2010 (0.71%), 26 Mar 2010 (0.26%), 13 Aug 2010 (0.2%), 19 Oct 2010 (0.11%)
2009721 May 2009 (1.73%), 15 Jun 2009 (1.36%), 17 Aug 2009 (-0.69%), 03 Sep 2009 (-0.13%), 07 Oct 2009 (1.23%), 04 Nov 2009 (-0.38%), 26 Nov 2009 (1.06%)
2008120 May 2008 (0.28%)
2007331 Jan 2007 (-1.48%), 02 Nov 2007 (1.43%), 19 Dec 2007 (-1.98%)
2006817 Jan 2006 (-2.83%), 08 Feb 2006 (-0.95%), 07 Mar 2006 (2.96%), 10 Apr 2006 (3.66%), 18 Jul 2006 (5.54%), 25 Aug 2006 (-0.49%), 05 Oct 2006 (1.26%), 07 Dec 2006 (1.25%)
2005327 Jun 2005 (1.82%), 17 Oct 2005 (2.42%), 05 Dec 2005 (-1.19%)
2004505 Jan 2004 (2.77%), 29 Apr 2004 (-0.71%), 16 Aug 2004 (-1.1%), 25 Oct 2004 (-0.71%), 08 Dec 2004 (0.16%)
2003609 Jan 2003 (7.08%), 16 Sep 2003 (0.26%), 06 Oct 2003 (0.47%), 22 Oct 2003 (2.87%), 15 Nov 2003 (-2.19%), 09 Dec 2003 (-2.77%)
2002324 Sep 2002 (-3.46%), 24 Oct 2002 (1.95%), 05 Dec 2002 (-1.71%)
2001516 Feb 2001 (-0.74%), 31 May 2001 (0.22%), 14 Aug 2001 (-1.29%), 04 Sep 2001 (3.3%), 18 Dec 2001 (1.14%)
2000511 Jan 2000 (-3.12%), 25 Feb 2000 (-1.83%), 13 Jul 2000 (1.8%), 14 Sep 2000 (7.11%), 18 Dec 2000 (5.64%)
1999502 Feb 1999 (-2.72%), 11 Mar 1999 (-8.0%), 18 May 1999 (-0.4%), 08 Jun 1999 (-2.54%), 11 Aug 1999 (-0.76%)
1998612 Mar 1998 (-1.49%), 28 Apr 1998 (-1.82%), 05 Jun 1998 (1.6%), 13 Jul 1998 (0.29%), 05 Aug 1998 (0.12%), 02 Nov 1998 (-1.22%)
1997526 May 1997 (5.97%), 16 Jun 1997 (-2.8%), 20 Aug 1997 (0.6%), 16 Sep 1997 (0.76%), 14 Oct 1997 (1.62%)
1996304 Apr 1996 (-0.0%), 10 May 1996 (0.4%), 28 Jun 1996 (3.73%)
1995111 Aug 1995 (-2.05%)



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