Study: Buy WIPRO when RSI is below 50 and there is Bullish Crossover in MACD

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In this study, we evaluate the performance of strategy "Buy WIPRO when RSI is below 50 and there is Bullish Crossover in MACD" 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
113088.5770304042.864324.2931480.45-2916-15999.851.481.110.0065186.98
2-24248.2670323845.715202.5939429.31-5019.24-31710.811.040.87-0.0081-346.4
3-21339.5270393155.715836.7754335.74-8031.4-44260.960.730.91-0.0053-304.85
425967.7670363451.437752.5653650.18-7444.84-52392.041.041.10.0061370.97
568197.4470343648.579976.1475986.66-7527.54-48684.841.331.250.013974.25
611956270393155.719330.3374170.84-7881.3-48980.381.181.490.0251708.03
715123869383155.0711672.7667491.2-9429.91-61060.621.241.520.0272191.85
892329.6569373253.621160352782.27-10530.66-72845.591.11.270.0161338.11
914198869402957.9712450.5862562.53-12277.07-81449.171.011.40.0222057.8
1012979369373253.6213425.3778274.97-11467.06-75071.111.171.350.0191881.06
Although, strategy looks good but profit factor on day 2 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
atrnil311.0921991374215328.3832364.4388909.27-8674.34-36809.873.731.480.0272971.8
atrtrail36.0990291.377527483615074.3188909.27-6598.23-31086.322.281.290.0151203.88
atrnil27.6610097976274935.5319668.8159272.84-8777.12-36809.872.241.230.0161328.68
atrtrail-16.7171651.127527483614383.9367987.45-6598.23-31086.322.181.230.013955.35
atrtrail25.4251003.2376284836.8413132.859272.84-6598.23-31086.321.991.160.01671.1

In the table above, row 1 shows the best exit criterion. Profit factor is 1.48. 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 28.38%, which is not acceptable. Avoid this strategy. Average return per trade is 1.49%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.027, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, Profit Factor:1.48

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019302 Apr 2019 (-2.42%), 23 Jul 2019 (-2.3%), 30 Aug 2019 (-2.24%)
2018723 Feb 2018 (-2.26%), 12 Mar 2018 (-1.98%), 05 Apr 2018 (-2.56%), 17 May 2018 (-2.41%), 18 May 2018 (-2.59%), 07 Jun 2018 (-2.21%), 29 Jun 2018 (5.78%)
2017115 Dec 2017 (5.66%)
2016521 Jan 2016 (-2.21%), 22 Feb 2016 (-2.32%), 20 May 2016 (-1.7%), 15 Sep 2016 (-2.01%), 22 Nov 2016 (7.44%)
2015208 May 2015 (9.03%), 30 Dec 2015 (-1.66%)
2014314 May 2014 (-2.91%), 27 May 2014 (-3.29%), 14 Nov 2014 (-2.23%)
2013107 May 2013 (-4.02%)
2012228 May 2012 (-2.75%), 03 Aug 2012 (8.32%)
2011416 Feb 2011 (-3.34%), 19 May 2011 (-2.63%), 28 Jun 2011 (-2.61%), 29 Aug 2011 (-4.32%)
2010518 Feb 2010 (9.85%), 27 May 2010 (-3.27%), 11 Jun 2010 (-3.02%), 09 Sep 2010 (6.56%), 30 Nov 2010 (10.1%)
2009230 Jan 2009 (-7.09%), 06 Mar 2009 (14.06%)
2008324 Jul 2008 (-6.48%), 22 Oct 2008 (-10.44%), 31 Oct 2008 (-12.12%)
2007720 Mar 2007 (-5.3%), 10 Apr 2007 (15.77%), 28 May 2007 (-3.56%), 06 Jul 2007 (-3.01%), 13 Aug 2007 (-3.73%), 28 Aug 2007 (-4.49%), 30 Nov 2007 (12.18%)
2006119 Jun 2006 (21.84%)
2005205 Apr 2005 (-3.35%), 26 Apr 2005 (-4.35%)
2004616 Feb 2004 (-4.5%), 04 Mar 2004 (-4.19%), 12 Mar 2004 (-4.17%), 15 Mar 2004 (-4.45%), 26 Mar 2004 (-4.19%), 05 Apr 2004 (12.17%)
2003206 Feb 2003 (-4.3%), 05 May 2003 (-6.31%)
2002309 May 2002 (-4.41%), 24 May 2002 (-4.23%), 08 Aug 2002 (15.21%)
2001429 Mar 2001 (-12.28%), 17 Apr 2001 (44.45%), 13 Jul 2001 (-7.57%), 10 Oct 2001 (36.86%)
2000312 Apr 2000 (-10.0%), 14 Aug 2000 (24.0%), 25 Oct 2000 (24.08%)
1999112 Oct 1999 (-18.4%)
1998317 Sep 1998 (-3.27%), 24 Sep 1998 (-3.28%), 10 Dec 1998 (7.79%)
1997208 Jan 1997 (11.89%), 18 Nov 1997 (36.8%)
1996117 Oct 1996 (-3.16%)
1995115 Dec 1995 (-1.99%)



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