Study: Buy WIPRO when above 200 SMA and near 50 SMA and above 50 SMA

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In this study, we evaluate the performance of strategy "Buy WIPRO when above 200 SMA and near 50 SMA and above 50 SMA" 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
138469.3376453159.212802.410566.67-2827.06-9016.440.991.440.029506.18
271180.976463060.533960.2922505.56-3699.76-14760.611.071.640.035936.59
347193.1476443257.894696.9221966.67-4983.47-19058.170.941.30.02620.96
458787.3876453159.215288.1420050-5779.96-28741.840.911.330.021773.52
596080.9476443257.895985.8723235.87-5228.04-18093.561.141.570.0361264.22
613878576443257.896953.2439064.33-5223.68-24003.371.331.830.0431826.12
717625376472961.847763.1338440.55-6503.95-46360.161.191.930.0452319.11
820743676472961.849367.4638894.74-8028.77-53136.721.171.890.0462729.42
929368676482863.1610724.158008.31-7895.39-42788.931.362.330.0583864.29
1029791676453159.2112936.3950920.11-9168.44-36579.521.412.050.0523919.95
Although, strategy looks good but profit factor on day 3 is less than minimum accepted value so avoid this, see below for further analysis.
WIPRO Performance, X=9, Profit Factor:2.33

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Jan 2019 (5.32%)
2018431 Jan 2018 (-3.69%), 02 Nov 2018 (2.45%), 30 Nov 2018 (4.31%), 24 Dec 2018 (-0.75%)
2017917 Apr 2017 (0.4%), 04 May 2017 (2.12%), 13 Jun 2017 (-0.95%), 28 Jun 2017 (1.86%), 15 Sep 2017 (0.05%), 11 Oct 2017 (2.84%), 30 Oct 2017 (3.21%), 17 Nov 2017 (-1.1%), 18 Dec 2017 (7.01%)
2015213 Jan 2015 (6.22%), 01 Dec 2015 (-2.56%)
2014913 Feb 2014 (8.62%), 21 Mar 2014 (-0.4%), 11 Apr 2014 (-7.62%), 11 Jun 2014 (0.68%), 01 Aug 2014 (1.86%), 18 Aug 2014 (3.32%), 16 Sep 2014 (5.97%), 16 Oct 2014 (-2.28%), 24 Nov 2014 (-0.09%)
2013315 Feb 2013 (4.3%), 30 Oct 2013 (1.23%), 13 Nov 2013 (-2.59%)
2012328 Feb 2012 (4.16%), 14 Mar 2012 (0.55%), 28 Mar 2012 (2.15%)
2011321 Jan 2011 (-4.22%), 10 Mar 2011 (-4.0%), 15 Apr 2011 (0.11%)
2010828 Jan 2010 (-2.84%), 05 Mar 2010 (6.28%), 20 Apr 2010 (-3.02%), 15 Jun 2010 (-3.31%), 06 Jul 2010 (1.74%), 20 Aug 2010 (-2.0%), 08 Sep 2010 (7.09%), 04 Nov 2010 (-4.2%)
2009110 Jul 2009 (18.65%)
2006724 Apr 2006 (1.32%), 08 May 2006 (-9.43%), 17 Jul 2006 (0.92%), 12 Sep 2006 (1.29%), 06 Oct 2006 (7.06%), 03 Nov 2006 (4.6%), 12 Dec 2006 (6.98%)
2005811 Mar 2005 (-7.48%), 16 May 2005 (9.89%), 07 Jul 2005 (0.96%), 27 Jul 2005 (-0.03%), 11 Aug 2005 (0.27%), 31 Aug 2005 (4.26%), 18 Oct 2005 (-2.33%), 07 Nov 2005 (11.68%)
2004428 Jan 2004 (-2.38%), 10 Jun 2004 (0.79%), 07 Jul 2004 (0.71%), 27 Jul 2004 (7.37%)
2002523 Jan 2002 (2.08%), 07 Feb 2002 (-1.28%), 22 Feb 2002 (11.8%), 27 Mar 2002 (5.58%), 16 Apr 2002 (-11.31%)
2001121 Feb 2001 (-21.39%)
1999321 Apr 1999 (29.0%), 29 Jun 1999 (3.26%), 15 Jul 1999 (19.71%)
1998404 Aug 1998 (-2.4%), 24 Aug 1998 (-3.99%), 13 Oct 1998 (9.18%), 22 Dec 1998 (16.17%)
1996131 Jul 1996 (-2.88%)

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
50trail-13.7976693.62112357731.257873.6352523.67-2582.9-3964.963.051.390.018684.76
50nil33.2862623.78106307628.39634.2411761.17-2978.99-3964.963.231.280.021590.79
50trail22.2853510.79114427236.845926.767856.44-2714.07-3964.962.181.270.022469.39
50trail32.7652547.54113377632.746767.5111761.17-2603.29-3964.962.61.270.019465.02
atrnil27.6370138.0771284339.4412957.5929879.01-6806.38-12435.221.91.240.02987.86
50nil22.3840730.93111407136.046312.967856.44-2982.92-3973.962.121.190.017366.95
atrnil311.6752098.2363194430.1618802.4833856.17-6935.2-14939.52.711.170.014826.96
atrtrail-16.520118.8292365639.138552.0356650.08-5138.47-12435.221.661.070.0047218.68
atrtrail35.9513892.0992365639.138379.0727153.48-5138.47-12435.221.631.050.0037151
atrtrail25.072843.2294385640.437647.322570.78-5138.47-12435.221.491.010.0008230.25

In the table above, row 1 shows the best exit criterion. Profit factor is 1.39. 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 31.25%, which is not acceptable. Avoid this strategy. Average return per trade is 0.34%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.39

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019301 Jan 2019 (-1.34%), 09 Jan 2019 (-1.74%), 11 Jan 2019 (-1.66%)
2018631 Jan 2018 (-1.25%), 02 Nov 2018 (-1.21%), 12 Nov 2018 (-0.95%), 30 Nov 2018 (0.33%), 24 Dec 2018 (-1.66%), 26 Dec 2018 (-0.12%)
20171417 Apr 2017 (-0.25%), 27 Apr 2017 (-1.1%), 04 May 2017 (2.58%), 13 Jun 2017 (-1.6%), 28 Jun 2017 (-1.12%), 03 Jul 2017 (-1.34%), 04 Jul 2017 (-1.39%), 15 Sep 2017 (0.63%), 11 Oct 2017 (-0.95%), 16 Oct 2017 (-1.08%), 19 Oct 2017 (0.73%), 30 Oct 2017 (1.63%), 17 Nov 2017 (-1.55%), 18 Dec 2017 (5.24%)
2015213 Jan 2015 (-1.51%), 01 Dec 2015 (-1.85%)
20141213 Feb 2014 (5.87%), 21 Mar 2014 (-1.2%), 11 Apr 2014 (-0.05%), 11 Jun 2014 (0.13%), 01 Aug 2014 (0.81%), 11 Aug 2014 (1.02%), 26 Aug 2014 (4.57%), 16 Sep 2014 (3.72%), 16 Oct 2014 (-1.6%), 21 Oct 2014 (-0.53%), 24 Nov 2014 (0.77%), 05 Dec 2014 (-1.41%)
2013515 Feb 2013 (-1.16%), 18 Feb 2013 (0.46%), 30 Oct 2013 (0.06%), 05 Nov 2013 (0.84%), 20 Nov 2013 (-1.2%)
2012528 Feb 2012 (1.18%), 14 Mar 2012 (-0.9%), 19 Mar 2012 (-1.65%), 27 Mar 2012 (-1.18%), 28 Mar 2012 (-1.42%)
2011521 Jan 2011 (-1.65%), 10 Mar 2011 (-1.89%), 15 Apr 2011 (-1.73%), 19 Apr 2011 (1.44%), 27 Apr 2011 (-1.17%)
20101128 Jan 2010 (-1.3%), 05 Mar 2010 (5.36%), 20 Apr 2010 (-1.06%), 22 Apr 2010 (-1.97%), 15 Jun 2010 (-0.54%), 22 Jun 2010 (-1.9%), 06 Jul 2010 (-1.27%), 14 Jul 2010 (2.86%), 20 Aug 2010 (-0.99%), 08 Sep 2010 (-1.42%), 04 Nov 2010 (-0.92%)
2009110 Jul 2009 (17.08%)
20061124 Apr 2006 (-0.52%), 05 May 2006 (-1.98%), 09 May 2006 (-0.85%), 17 Jul 2006 (-1.95%), 20 Jul 2006 (-1.03%), 24 Jul 2006 (6.1%), 12 Sep 2006 (1.8%), 06 Oct 2006 (9.4%), 03 Nov 2006 (-0.85%), 09 Nov 2006 (0.51%), 12 Dec 2006 (-1.54%)
20051311 Mar 2005 (-1.5%), 16 May 2005 (-1.54%), 07 Jul 2005 (0.05%), 20 Jul 2005 (-1.09%), 27 Jul 2005 (-1.68%), 03 Aug 2005 (-1.63%), 11 Aug 2005 (-1.62%), 18 Aug 2005 (-1.08%), 25 Aug 2005 (-1.97%), 31 Aug 2005 (1.81%), 18 Oct 2005 (-1.24%), 25 Oct 2005 (-1.9%), 07 Nov 2005 (15.26%)
2004528 Jan 2004 (-1.63%), 10 Jun 2004 (-1.01%), 07 Jul 2004 (-1.54%), 14 Jul 2004 (1.78%), 27 Jul 2004 (3.33%)
2002923 Jan 2002 (-1.56%), 07 Feb 2002 (-1.32%), 13 Feb 2002 (-0.54%), 15 Feb 2002 (-1.65%), 22 Feb 2002 (-1.45%), 25 Feb 2002 (-0.64%), 27 Mar 2002 (-1.01%), 08 Apr 2002 (-1.7%), 16 Apr 2002 (3.43%)
2001121 Feb 2001 (-1.96%)
1999321 Apr 1999 (-1.04%), 29 Jun 1999 (0.18%), 15 Jul 1999 (26.26%)
1998504 Aug 1998 (1.83%), 13 Aug 1998 (-1.63%), 24 Aug 1998 (-1.72%), 13 Oct 1998 (8.75%), 22 Dec 1998 (-1.16%)
1996131 Jul 1996 (-0.11%)



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