Study: Buy WIPRO when there is Golden Cross (50 DMA > 200 DMA)

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In this study, we evaluate the performance of strategy "Buy WIPRO when there is Golden Cross (50 DMA > 200 DMA)" 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
162281.441916384.214520.0814764.21-3346.61-6657.741.357.20.133277.97
225183.41912763.165166.6217696.22-5259.43-14252.50.981.680.0391325.44
34454.571912763.165605.7517737.86-8973.49-21248.410.621.070.0051234.45
4-17659.981910952.637171.8413315.51-9930.93-32764.170.720.8-0.016-929.47
5-55055.631981142.117681.5419678.35-10591.63-46142.90.730.53-0.044-2897.66
6-32795.851981142.119892.9219216.49-10176.29-43320.430.970.71-0.025-1726.1
7-39535.631981142.1111010.325187.63-11601.64-51781.120.950.69-0.026-2080.82
8-19529.791981142.1110287.1123175.26-9256.97-39961.471.110.81-0.016-1027.88
919655.631981142.1112909.0823142.27-7601.54-32088.81.71.240.0161034.51
1031590.651991047.3713759.8838762.89-9224.83-45521.291.491.340.021662.67

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 7.2. Strategy is very good and impressively bullish. Percentage of profitable trades is 84.21%, which is excellent. Average return per trade is 1.64%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
WIPRO Performance, X=1, Profit Factor:7.2

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018114 Sep 2018 (-0.09%)
2017119 Apr 2017 (0.3%)
2014104 Aug 2014 (0.16%)
2013216 Jan 2013 (2.56%), 22 Aug 2013 (0.79%)
2012120 Jan 2012 (0.5%)
2010105 Aug 2010 (0.41%)
2009126 May 2009 (1.4%)
2008104 Jun 2008 (6.44%)
2006121 Aug 2006 (0.27%)
2005124 Jun 2005 (0.61%)
2003117 Oct 2003 (-3.33%)
2002203 Jan 2002 (6.45%), 12 Dec 2002 (2.2%)
2001131 Jan 2001 (-1.6%)
2000118 Feb 2000 (7.38%)
1998128 Apr 1998 (1.82%)
1997102 Jul 1997 (2.08%)
1996130 Jul 1996 (2.79%)

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
nilnil-1162281.441916384.214520.0814764.21-3346.61-6657.741.357.20.133277.97
atrtrail35.3771737.281910952.6310460.8140841.64-3652.31-10114.62.863.180.0683775.65
atrtrail-16.1663027.11910952.639589.7943841.17-3652.31-10114.62.632.920.063317.22
atrtrail25.2644326.521910952.637719.7327227.76-3652.31-10114.62.112.350.0592332.97
atrnil37.9586277.361971236.8425478.2640841.64-7672.54-15996.333.321.940.0554540.91
atrnil27.5326828.081971236.8416985.5127227.76-7672.54-15996.332.211.290.0231412

In the table above, row 1 shows the best exit criterion. Profit factor is 7.2. Strategy is very good and impressively bullish. Percentage of profitable trades is 84.21%, which is excellent. Average return per trade is 1.64%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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