Study: Sell WIPRO when near 200 SMA and below 200 SMA

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In this study, we evaluate the performance of strategy "Sell WIPRO when near 200 SMA and below 200 SMA" 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
1-22256.5664372757.812706.2812500-4532.92-16002.350.60.82-0.014-347.76
2-3966.2164352954.694174.6719285.71-5175.16-33283.780.810.97-0.0018-61.97
3-21262.2964372757.814756.2420167.78-7305.3-51946.480.650.89-0.007-332.22
43790.0964372757.815640.3141747.43-7588.94-35683.980.741.020.001359.22
5-29945.9264313348.447723.5859617.92-8162.93-54538.70.950.89-0.0071-467.91
6-56220.8964333151.567308.4343481.04-9593.52-74901.670.760.81-0.013-878.45
7-12124564362856.257015.6526195.51-13350.28-97155.010.530.68-0.02-1894.45
8-14530064293545.319473.8946948.24-12001.23-1206480.790.65-0.021-2270.32
9-20930664303446.888959.7843374.68-14061.74-1257550.640.56-0.029-3270.4
10-18377164313348.449639.548181.98-14624.12-1378760.660.62-0.025-2871.43
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
atrtrail35.3375897.2881315038.279884.735177.97-4610.57-12434.512.141.330.021937
atrnil39.4588819.9160174328.3322092.4581425.7-6668.65-12434.513.311.310.0191480.33
atrtrail24.6549341.4781315038.279028.0754283.8-4610.57-12434.511.961.210.014609.15
atrtrail-15.9917561.4381305137.048344.8935177.97-4564.42-12434.511.831.080.0052216.81
200trail-13.611683.5798267226.537584.9826857.14-2576.75-3851.282.941.060.004119.22
atrnil27.06-1722.2364214332.8113626.4254283.8-6694.81-12434.512.040.99-0.00049-26.91
200trail32.54-2031.911002872286571.0411571.91-2583.63-3851.282.540.99-0.00091-20.32
200nil33.21-11734.4189226724.728774.6511571.91-3056.37-3939.932.870.94-0.0052-131.85
200trail22.21-30281.84101317030.695034.027714.61-2661.95-3851.281.890.84-0.016-299.82
200nil22.54-41430.4892276529.355888.417714.61-3083.35-3939.931.910.79-0.022-450.33

In the table above, row 1 shows the best exit criterion. Profit factor is 1.33. 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 38.27%, which is not acceptable. Avoid this strategy. Average return per trade is 0.47%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.021, 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:1.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019319 Jul 2019 (-1.21%), 02 Aug 2019 (-0.49%), 08 Aug 2019 (6.74%)
2018909 Feb 2018 (-3.0%), 06 Mar 2018 (-1.31%), 19 Mar 2018 (-2.2%), 22 Mar 2018 (2.57%), 02 Apr 2018 (0.19%), 16 Apr 2018 (-0.58%), 18 Jul 2018 (6.24%), 14 Aug 2018 (-0.09%), 20 Aug 2018 (-2.01%)
2017203 Mar 2017 (0.12%), 15 Mar 2017 (-1.91%)
20161129 Jan 2016 (6.31%), 21 Mar 2016 (-1.47%), 05 Apr 2016 (-0.29%), 21 Apr 2016 (2.4%), 01 Jun 2016 (1.82%), 17 Jun 2016 (-1.37%), 24 Jun 2016 (0.82%), 29 Jun 2016 (-1.56%), 15 Jul 2016 (5.17%), 28 Jul 2016 (-0.32%), 02 Aug 2016 (5.99%)
2015821 Apr 2015 (9.54%), 15 Jul 2015 (-0.56%), 21 Jul 2015 (-2.23%), 05 Aug 2015 (-0.15%), 12 Aug 2015 (-1.15%), 20 Aug 2015 (6.97%), 14 Oct 2015 (0.36%), 02 Dec 2015 (2.35%)
2014407 May 2014 (-3.19%), 28 May 2014 (1.22%), 10 Dec 2014 (0.76%), 19 Dec 2014 (-1.32%)
2013112 Apr 2013 (12.67%)
2012716 May 2012 (-0.69%), 12 Jun 2012 (-2.88%), 27 Jun 2012 (-2.08%), 29 Jun 2012 (6.67%), 29 Nov 2012 (-2.73%), 04 Dec 2012 (2.05%), 20 Dec 2012 (-1.96%)
2011808 Feb 2011 (-1.63%), 24 Feb 2011 (-3.62%), 04 May 2011 (-1.95%), 11 May 2011 (-1.45%), 23 May 2011 (-1.3%), 30 May 2011 (7.22%), 22 Dec 2011 (-3.45%), 28 Dec 2011 (-3.32%)
2010625 May 2010 (-3.43%), 08 Jun 2010 (-1.11%), 25 Jun 2010 (0.59%), 07 Jul 2010 (-2.99%), 01 Sep 2010 (-1.71%), 01 Dec 2010 (-3.33%)
2008417 Apr 2008 (0.48%), 28 Apr 2008 (-5.36%), 06 Aug 2008 (4.14%), 04 Sep 2008 (0.74%)
2007405 Mar 2007 (-5.95%), 04 Apr 2007 (-3.32%), 24 Apr 2007 (-4.69%), 11 Dec 2007 (0.68%)
2006122 May 2006 (-6.22%)
2005222 Apr 2005 (13.76%), 17 May 2005 (-2.65%)
2004108 Jul 2004 (-3.92%)
2003405 Feb 2003 (-1.07%), 18 Feb 2003 (-0.41%), 05 Mar 2003 (3.97%), 04 Sep 2003 (-4.4%)
2002207 Jun 2002 (-3.74%), 26 Jun 2002 (9.72%)
2000224 Jan 2000 (-6.05%), 25 Apr 2000 (17.59%)
1998130 Mar 1998 (-1.47%)
1996125 Jul 1996 (13.36%)



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