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

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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 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
118393.54402020502831.2610566.67-1911.58-5749.731.481.480.03459.84
244257.27402218554431.8822505.56-2958.01-10488.661.51.830.041106.43
350143.3140231757.55523.7221966.67-4523.66-19058.171.221.650.0371253.58
491790.18402614656651.9320050-5797.15-24099.721.152.130.0582294.75
5125683402812706941.1323235.87-5722.44-13219.51.212.830.0823142.06
615625440271367.58107.539064.33-4819.1-152791.683.490.0853906.35
7196453402812709958.6738440.55-6865.77-17197.681.453.380.0964911.33
82511844028127011958.9438894.74-6972.21-13553.951.7240.116279.6
932727340271367.515079.6458008.31-6144.43-15243.82.455.10.118181.82
1033568940271367.51635250920.11-8139.65-19186.212.014.170.18392.21
Although, strategy looks good but profit factor on day 1 is less than minimum accepted value so avoid this, see below for further analysis.
WIPRO Performance, X=9, Profit Factor:5.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Jan 2019 (5.32%)
2018212 Nov 2018 (-1.52%), 30 Nov 2018 (4.31%)
2017604 May 2017 (2.12%), 04 Jul 2017 (2.63%), 25 Sep 2017 (-1.75%), 11 Oct 2017 (2.84%), 30 Oct 2017 (3.21%), 18 Dec 2017 (7.01%)
2015213 Jan 2015 (6.22%), 01 Dec 2015 (-2.56%)
2014521 Mar 2014 (-0.4%), 11 Apr 2014 (-7.62%), 11 Jun 2014 (0.68%), 18 Aug 2014 (3.32%), 24 Nov 2014 (-0.09%)
2012127 Mar 2012 (4.1%)
2011110 Mar 2011 (-4.0%)
2010405 Mar 2010 (6.28%), 15 Jun 2010 (-3.31%), 06 Jul 2010 (1.74%), 08 Sep 2010 (7.09%)
2009110 Jul 2009 (18.65%)
2006205 May 2006 (-5.91%), 09 Oct 2006 (7.93%)
2005611 Mar 2005 (-7.48%), 16 May 2005 (9.89%), 27 Jul 2005 (-0.03%), 11 Aug 2005 (0.27%), 31 Aug 2005 (4.26%), 07 Nov 2005 (11.68%)
2004210 Jun 2004 (0.79%), 27 Jul 2004 (7.37%)
2002207 Feb 2002 (-1.28%), 22 Feb 2002 (11.8%)
1999221 Apr 1999 (29.0%), 15 Jul 1999 (19.71%)
1998324 Aug 1998 (-3.99%), 13 Oct 1998 (9.18%), 22 Dec 1998 (16.17%)

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-14.2811411754183633.3311773.9352523.67-2717.04-3964.964.332.170.0422113.28
atrtrail-16.4679692.7148222645.839558.256650.08-5022.6-12435.221.91.610.0311660.26
atrtrail35.5668585.648222645.839053.3327153.48-5022.6-12435.221.81.530.0321428.87
atrnil39.4678084.0139142535.917030.7727153.48-6413.87-13008.312.661.490.0352002.15
50trail22.343245.8354223240.746213.937689.25-2920.64-3964.962.131.460.036800.85
atrnil26.5560485.7140172342.511917.6226016.62-6178.86-12435.221.931.430.0331512.14
50nil22.3440139.1753213239.626506.477689.25-3015.52-3973.962.161.420.033757.34
50trail32.9438826.4754183633.337591.111533.87-2717.04-3964.962.791.40.027719.01
50nil33.439794.79501535309774.0611533.87-3051.89-3973.963.21.370.028795.9
atrtrail24.6932410.2648222645.83740918102.32-5022.6-12435.221.481.250.019675.21

In the table above, row 1 shows the best exit criterion. Profit factor is 2.17. 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 33.33%, which is not acceptable. Avoid this strategy. Average return per trade is 1.06%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.042, 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:2.17

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019209 Jan 2019 (-1.74%), 11 Jan 2019 (-1.66%)
2018212 Nov 2018 (-0.95%), 30 Nov 2018 (0.33%)
2017804 May 2017 (2.58%), 04 Jul 2017 (-1.39%), 25 Sep 2017 (-1.97%), 11 Oct 2017 (-0.95%), 16 Oct 2017 (-1.08%), 19 Oct 2017 (0.73%), 30 Oct 2017 (1.63%), 18 Dec 2017 (5.24%)
2015213 Jan 2015 (-1.51%), 01 Dec 2015 (-1.85%)
2014721 Mar 2014 (-1.2%), 11 Apr 2014 (-0.05%), 11 Jun 2014 (0.13%), 18 Aug 2014 (0.16%), 26 Aug 2014 (4.57%), 24 Nov 2014 (0.77%), 05 Dec 2014 (-1.41%)
2012227 Mar 2012 (-1.18%), 28 Mar 2012 (-1.42%)
2011110 Mar 2011 (-1.89%)
2010605 Mar 2010 (5.36%), 15 Jun 2010 (-0.54%), 22 Jun 2010 (-1.9%), 06 Jul 2010 (-1.27%), 14 Jul 2010 (2.86%), 08 Sep 2010 (-1.42%)
2009110 Jul 2009 (17.08%)
2006205 May 2006 (-1.98%), 09 Oct 2006 (9.12%)
2005911 Mar 2005 (-1.5%), 16 May 2005 (-1.54%), 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%), 07 Nov 2005 (15.26%)
2004210 Jun 2004 (-1.01%), 27 Jul 2004 (3.33%)
2002507 Feb 2002 (-1.32%), 13 Feb 2002 (-0.54%), 15 Feb 2002 (-1.65%), 22 Feb 2002 (-1.45%), 25 Feb 2002 (-0.64%)
1999221 Apr 1999 (-1.04%), 15 Jul 1999 (26.26%)
1998324 Aug 1998 (-1.72%), 13 Oct 1998 (8.75%), 22 Dec 1998 (-1.16%)



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