Study: Sell WIPRO when below 200 SMA and near 50 SMA and below 50 SMA

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In this study, we evaluate the performance of strategy "Sell WIPRO when below 200 SMA and near 50 SMA and below 50 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
1-20787.8542727502531.67783.96-3301.52-22698.670.770.77-0.017-384.96
2-19156.3854262848.153869.1421545.55-4276.93-41972.310.90.84-0.0096-354.75
3-59151.5554252946.34726.1112469.52-6113.94-37837.110.770.67-0.029-1095.4
4-12402954233142.594418.8310627.9-7279.44-42412.80.610.45-0.052-2296.84
5-96263.3754292553.74935.4613377.1-9575.67-45091.690.520.6-0.035-1782.66
6-11363654292553.75565.3624971.14-11001.24-39554.120.510.59-0.038-2104.36
7-11832054292553.75635.3624481.51-11269.84-63016.90.50.58-0.035-2191.12
8-17211154272750638723448.11-12761.5-75755.120.50.5-0.044-3187.25
9-21219054262848.157082.9432193.49-14155.23-63160.730.50.46-0.053-3929.44
10-18748554233142.599677.1235934.71-13227.72-61035.080.730.54-0.043-3471.95
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
atrtrail24.6254128.0668264238.249920.0927908.51-4852.24-14319.472.041.270.019796
50trail22.2119378.3781295235.857707873.54-2845.22-3982.572.031.130.012239.24
50nil22.4616139.8680295136.255952.067873.54-3068.04-3982.571.941.10.0094201.75
atrtrail-16.0312523.7167234434.339468.2659150.6-4664.69-14319.472.031.060.0039186.92
atrtrail35.2112075.9968244435.299055.0933123.28-4664.69-14319.471.941.060.0046177.59
50trail-13.856512.1278215726.927738.1325886.42-2736.64-3982.572.831.040.002983.49
50nil33.26697.175205526.678746.4511800.09-3058.76-3982.572.861.040.003589.29
50trail32.735883.9280235728.757105.6911800.09-2763.98-3982.572.571.040.003273.55
atrnil26.282739.7961214034.4313309.8428803.99-6919.17-18628.131.921.010.0008644.91
atrnil38.45-99892.4955124321.8217220.6540684.8-7128.84-18628.132.420.67-0.033-1816.23

In the table above, row 1 shows the best exit criterion. Profit factor is 1.27. 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 38.24%, which is not acceptable. Avoid this strategy. Average return per trade is 0.4%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.019, 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:1.27

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019116 Oct 2019 (-1.76%)
2018316 Apr 2018 (-0.58%), 24 Apr 2018 (5.01%), 05 Jul 2018 (-1.3%)
2017227 Jan 2017 (3.85%), 09 Feb 2017 (-2.01%)
20161303 Feb 2016 (4.28%), 19 Feb 2016 (4.62%), 03 Mar 2016 (-0.41%), 02 May 2016 (0.55%), 25 May 2016 (-1.35%), 15 Jun 2016 (-1.4%), 27 Jun 2016 (-0.47%), 19 Jul 2016 (3.49%), 26 Jul 2016 (-1.89%), 02 Aug 2016 (4.0%), 19 Oct 2016 (2.97%), 25 Nov 2016 (0.44%), 23 Dec 2016 (-1.31%)
20151210 Jun 2015 (4.98%), 18 Jun 2015 (-2.72%), 30 Jun 2015 (-2.56%), 09 Jul 2015 (-2.35%), 28 Jul 2015 (-2.41%), 28 Aug 2015 (-1.07%), 08 Sep 2015 (-0.68%), 20 Oct 2015 (-1.57%), 29 Oct 2015 (4.28%), 30 Nov 2015 (-1.8%), 03 Dec 2015 (3.8%), 28 Dec 2015 (3.22%)
2013120 Jun 2013 (-1.94%)
2012712 Jan 2012 (-2.87%), 27 Jun 2012 (-2.08%), 29 Jun 2012 (4.45%), 29 Aug 2012 (-2.28%), 31 Aug 2012 (-2.35%), 03 Sep 2012 (-1.71%), 02 Nov 2012 (-2.04%)
2011307 Jul 2011 (4.6%), 08 Jul 2011 (7.08%), 11 Oct 2011 (-4.2%)
2010207 Jul 2010 (-2.99%), 01 Sep 2010 (-1.71%)
2009202 Jan 2009 (13.95%), 28 Jan 2009 (5.73%)
2008607 Jan 2008 (8.51%), 02 Apr 2008 (-3.47%), 18 Aug 2008 (-0.54%), 12 Sep 2008 (8.65%), 19 Sep 2008 (-5.22%), 22 Sep 2008 (11.04%)
2007408 Jun 2007 (-0.0%), 04 Oct 2007 (-3.13%), 08 Nov 2007 (2.01%), 14 Nov 2007 (8.89%)
2005118 May 2005 (-3.46%)
2003221 Jul 2003 (-5.03%), 14 Aug 2003 (-3.71%)
2002130 Aug 2002 (0.13%)
2001312 Jan 2001 (-3.66%), 10 Aug 2001 (-1.37%), 14 Nov 2001 (-6.47%)
2000427 Jul 2000 (4.4%), 18 Aug 2000 (-7.16%), 20 Sep 2000 (4.04%), 20 Nov 2000 (-3.73%)
1998105 Jan 1998 (-3.16%)



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