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

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In this study, we evaluate the performance of strategy "Buy WIPRO when near 200 SMA and above 200 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
1-33409.5564333151.562392.778279.27-3624.87-13709.10.660.7-0.028-522.02
2-57260.2964293545.313494.5510174.03-4531.49-13526.670.770.64-0.035-894.69
3-76146.4664273742.194717.1311685.84-5500.24-21051.420.860.63-0.037-1189.79
4-67516.8664283643.755692.1913932.42-6302.73-21322.390.90.7-0.028-1054.95
5-33777.3643232506220.8619900.72-7276.4-29787.230.850.85-0.013-527.77
6-88455.5364313348.446341.9916216.22-8638.1-39460.910.730.69-0.029-1382.12
7-10051664283643.756138.7718063.23-7566.72-46541.770.810.63-0.032-1570.56
8-44666.7164352954.695884.7221341.32-8642.48-35729.310.680.82-0.015-697.92
9-66628.3664343053.126910.3120038.05-10052.63-29241.060.690.78-0.019-1041.07
10-80192.864362856.257135.6521710.07-12038.43-48675.210.590.76-0.02-1253.01
Although, strategy looks good but profit factor on day 3 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
200trail22.1418618.81103376635.925372.157857.49-2729.56-3872.731.971.10.0093180.77
atrnil27.327312.2169254436.2312347.6426852.37-6394.97-15042.571.931.10.0085395.83
200nil22.3615014.72101366535.645659.157857.49-2903.3-3976.151.951.080.0073148.66
200trail-13.5510745.441002872286977.6331825.11-2564.28-3872.732.721.060.0039107.45
atrnil311.9313156.0961164526.2318962.4340278.56-6449.84-15042.572.941.050.0037215.67
atrtrail-16.16-320.4787335437.937899.3437084.24-4833.31-15042.571.631-8.9e-05-3.68
200nil33.36-5743.65962472258523.4711606.48-2920.93-3976.152.920.97-0.0024-59.83
200trail32.66-6785.47102307229.415928.0911182.85-2564.28-3872.732.310.96-0.0032-66.52
atrtrail24.69-19019.4388345438.647117.0322570.78-4833.31-15042.571.470.93-0.0061-216.13
atrtrail35.59-24711.8487335437.937160.220477.77-4833.31-15042.571.480.91-0.0079-284.04

In the table above, row 1 shows the best exit criterion. Profit factor is 1.1. 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 35.92%, which is not acceptable. Avoid this strategy. Average return per trade is 0.09%, which is low, don't trade solely on the basis of this study. Sharpe Ratio is 0.0093, 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:1.1

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Jul 2019 (-0.78%)
2018405 Mar 2018 (-1.8%), 12 Mar 2018 (2.98%), 13 Apr 2018 (-1.83%), 18 Apr 2018 (2.32%)
2017616 Mar 2017 (-1.32%), 21 Mar 2017 (1.14%), 13 Apr 2017 (-0.87%), 21 Apr 2017 (-1.16%), 24 Apr 2017 (2.58%), 26 Apr 2017 (2.58%)
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%)
2015809 Jan 2015 (2.83%), 14 Jan 2015 (2.2%), 17 Apr 2015 (-1.64%), 22 Jul 2015 (-1.49%), 19 Aug 2015 (-1.67%), 16 Sep 2015 (2.16%), 12 Oct 2015 (-1.05%), 01 Dec 2015 (-1.14%)
20141108 May 2014 (-1.0%), 15 May 2014 (-1.44%), 10 Jun 2014 (0.64%), 25 Jun 2014 (3.83%), 01 Aug 2014 (2.85%), 20 Oct 2014 (3.37%), 27 Oct 2014 (2.7%), 07 Nov 2014 (2.11%), 09 Dec 2014 (-1.53%), 22 Dec 2014 (-1.37%), 30 Dec 2014 (2.19%)
2013215 Jul 2013 (-1.53%), 26 Jul 2013 (2.89%)
20121009 Jan 2012 (-0.81%), 13 Jan 2012 (3.87%), 24 May 2012 (2.26%), 04 Jun 2012 (3.43%), 13 Jun 2012 (-1.19%), 19 Jun 2012 (-1.56%), 22 Jun 2012 (-1.38%), 30 Nov 2012 (-1.06%), 19 Dec 2012 (-1.09%), 24 Dec 2012 (2.45%)
20111101 Feb 2011 (3.57%), 07 Feb 2011 (-1.13%), 21 Mar 2011 (2.69%), 06 May 2011 (-1.2%), 13 May 2011 (-1.1%), 18 May 2011 (-1.81%), 31 May 2011 (-1.29%), 06 Jun 2011 (-1.26%), 07 Dec 2011 (2.87%), 16 Dec 2011 (-1.56%), 19 Dec 2011 (-1.67%)
20101421 May 2010 (-1.8%), 11 Jun 2010 (2.0%), 28 Jun 2010 (-1.45%), 06 Jul 2010 (-1.68%), 08 Jul 2010 (2.07%), 14 Jul 2010 (3.29%), 24 Aug 2010 (-1.56%), 07 Sep 2010 (-1.26%), 29 Oct 2010 (3.93%), 18 Nov 2010 (-1.43%), 22 Nov 2010 (-1.36%), 23 Nov 2010 (-1.03%), 29 Nov 2010 (-1.09%), 30 Nov 2010 (-1.5%)
2008102 Sep 2008 (-1.06%)
2007105 Apr 2007 (-1.21%)
2006431 May 2006 (-1.11%), 20 Jul 2006 (-1.44%), 24 Jul 2006 (2.11%), 25 Jul 2006 (2.29%)
2005829 Mar 2005 (-1.63%), 12 Apr 2005 (-1.15%), 25 Apr 2005 (-1.06%), 16 May 2005 (-1.27%), 20 May 2005 (3.13%), 14 Jul 2005 (1.67%), 24 Aug 2005 (3.6%), 29 Aug 2005 (2.64%)
2004303 Jun 2004 (-1.06%), 11 Jun 2004 (-1.39%), 15 Jun 2004 (3.27%)
2003823 Jan 2003 (-1.85%), 03 Feb 2003 (-1.62%), 04 Feb 2003 (-1.17%), 07 Feb 2003 (-1.39%), 17 Feb 2003 (-1.73%), 20 Feb 2003 (-1.79%), 22 Mar 2003 (-1.03%), 12 Sep 2003 (-1.39%)
2001122 Feb 2001 (-1.37%)
2000205 Jul 2000 (-1.29%), 04 Sep 2000 (-1.94%)
1997104 Jun 1997 (2.86%)
1996123 Sep 1996 (-1.85%)



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