Study: Buy WIPRO when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50

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In this study, we evaluate the performance of strategy "Buy WIPRO when near 200 SMA and above 200 SMA and above 50 SMA and above 20 SMA and RSI is above 50" 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
1-28068.782391439.131845.774281.12-3191.48-13709.10.580.37-0.07-1220.38
2-49720.842381534.782323.266349.81-4553.79-11575.560.510.27-0.1-2161.78
3-36951.922391439.133379.736519.89-4812.11-13817.870.70.45-0.064-1606.61
4-54576.582381534.784667.738525.15-6127.89-19749.530.760.41-0.072-2372.89
5-41930.8323101343.484583.827751.27-6751.47-11697.750.680.52-0.06-1823.08
6-63922.5723101343.483972.729959.37-7973.06-18636.360.50.38-0.08-2779.24
7-75562.352381534.784513.788497.72-7444.84-21900.850.610.32-0.093-3285.32
8-58810.852391439.136604.8717389.98-8446.76-22044.680.780.5-0.054-2556.99
9-94049.6923101343.486341.3719772.38-12112.57-28828.80.520.4-0.07-4089.12
10-72278.5923121152.177923.8915881.14-15215.03-43600.920.520.57-0.045-3142.55
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
200trail22.06-92.5932112134.385473.667656.43-2871.56-3872.731.911-0.00015-2.89
200trail-13.28-149.1632102231.256130.7931825.11-2793.5-3872.732.191-0.00015-4.66
200trail32.66-3801.5932102231.255765.5511182.85-2793.5-3872.732.060.94-0.0055-118.8
200nil22.61-7875.8731102132.265792.197656.43-3133.22-3976.151.850.88-0.012-254.06
200nil33.35-12200.33172422.588845.5411484.65-3088.29-3976.152.860.84-0.016-393.56
atrtrail-15.2-19360.2130111936.676535.4128440.82-4802.62-15042.571.360.79-0.017-645.34
atrtrail34.83-19817.7830111936.676493.8119003.3-4802.62-15042.571.350.78-0.019-660.59
atrtrail24.27-28015.5430111936.675748.5612668.87-4802.62-15042.571.20.69-0.03-933.85
atrnil37.38-41797.612652119.2315960.8719003.3-5790.57-15042.572.760.66-0.037-1607.6
atrnil25.73-44377.472671926.929888.1912668.87-5978.67-15042.571.650.61-0.047-1706.83

In the table above, row 1 shows the best exit criterion. Profit factor is 1. 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 34.38%, which is not acceptable. Avoid this strategy. Average return per trade is -0.0014%, 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, Profit Factor:0.998

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018213 Apr 2018 (-1.83%), 18 Apr 2018 (2.32%)
2017216 Mar 2017 (-1.32%), 21 Mar 2017 (1.14%)
2016601 Feb 2016 (-1.69%), 30 Mar 2016 (-0.79%), 11 Apr 2016 (3.73%), 21 Jun 2016 (-1.26%), 30 Jun 2016 (2.31%), 01 Aug 2016 (-1.63%)
2015422 Jul 2015 (-1.49%), 19 Aug 2015 (-1.67%), 16 Sep 2015 (2.16%), 01 Dec 2015 (-1.14%)
2014125 Jun 2014 (3.83%)
2013215 Jul 2013 (-1.53%), 26 Jul 2013 (2.89%)
2012330 Nov 2012 (-1.06%), 19 Dec 2012 (-1.09%), 24 Dec 2012 (2.45%)
2011307 Dec 2011 (2.87%), 16 Dec 2011 (-1.56%), 19 Dec 2011 (-1.67%)
2010306 Jul 2010 (-1.68%), 14 Jul 2010 (3.29%), 08 Sep 2010 (-1.79%)
2008102 Sep 2008 (-1.06%)
2005216 May 2005 (-1.27%), 20 May 2005 (3.13%)
2003112 Sep 2003 (-1.39%)
2000205 Jul 2000 (-1.29%), 04 Sep 2000 (-1.94%)



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