Study: Buy WIPRO when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy WIPRO when below 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
114346987513658.626489.8847656.97-5208.75-13975.91.251.770.041649.07
261509.987503757.476298.6244809.14-6849.22-26987.950.921.240.015707.01
331939.5287434449.439448.3937271.23-8507.76-38578.311.111.090.0062367.12
4-78789.7387424548.2810650.3543216.28-11691.21-48192.770.910.85-0.012-905.63
5-90454.1187454251.729939.759056.35-12803.35-59617.920.780.83-0.013-1039.7
6-27644.487493856.3210428.2860641.16-14174.48-45783.130.740.95-0.0038-317.75
7-48507.2787474054.0211577.5185118.27-14816.26-64950.690.780.92-0.0058-557.55
8-45196.2787503757.4712140.41101577-17627.48-74088.460.690.93-0.0048-519.5
9-55606.3387493856.3213429.14103284-18779.85-80540.120.720.92-0.0056-639.15
10-92436.2787513658.6212257.6597404.86-19932.68-64122.720.610.87-0.0096-1062.49

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 1.77. 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 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.82%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, which is low, don't trade solely on the basis of this study.

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-1114346987513658.626489.8847656.97-5208.75-13975.91.251.770.041649.07
atrnil310.24498061524410828.9537421.75255562-11081.03-40464.643.381.380.0192959.25
atrnil26.211702741565510135.2623659.95170375-11198.24-40464.642.111.150.00971091.5
atrtrail34.8974052.29170681024015435.44119099-9564.29-40464.641.611.080.0047435.6
atrtrail24.1836900.45170681024014889.0979399.26-9564.29-40464.641.561.040.0027217.06
atrtrail-15.44-1598.771696410537.8715347.46139988-9369.87-40464.641.641-9.7e-05-9.46

In the table above, row 1 shows the best exit criterion. Profit factor is 1.77. 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 58.62%, which is not acceptable. Avoid this strategy. Average return per trade is 0.82%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.04, 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, X=1, Profit Factor:1.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019412 Jul 2019 (0.37%), 14 Aug 2019 (-0.74%), 12 Sep 2019 (0.33%), 01 Oct 2019 (1.01%)
2018509 Feb 2018 (1.39%), 26 Mar 2018 (0.02%), 03 May 2018 (-0.57%), 18 May 2018 (-1.51%), 05 Jun 2018 (1.57%)
2016807 Jan 2016 (1.08%), 10 Feb 2016 (-2.64%), 06 May 2016 (1.11%), 20 Jul 2016 (0.58%), 18 Aug 2016 (-0.95%), 08 Sep 2016 (1.41%), 27 Oct 2016 (0.09%), 10 Nov 2016 (-0.58%)
2015320 Apr 2015 (0.48%), 24 Aug 2015 (-0.56%), 09 Nov 2015 (-0.75%)
2014207 May 2014 (0.96%), 10 Dec 2014 (-1.06%)
2013212 Apr 2013 (-1.22%), 31 May 2013 (-0.82%)
2012412 Jan 2012 (2.44%), 16 May 2012 (0.1%), 09 Jul 2012 (-0.36%), 24 Jul 2012 (-2.1%)
2011510 Feb 2011 (0.55%), 03 May 2011 (0.08%), 15 Jun 2011 (-1.97%), 03 Aug 2011 (-1.44%), 18 Aug 2011 (-2.38%)
2010409 Jun 2010 (2.11%), 01 Jul 2010 (2.79%), 25 Aug 2010 (0.06%), 19 Nov 2010 (4.35%)
2009102 Mar 2009 (-1.23%)
2008714 Jan 2008 (-0.23%), 10 Mar 2008 (-2.31%), 25 Jun 2008 (6.32%), 14 Jul 2008 (-6.18%), 15 Sep 2008 (-3.06%), 30 Sep 2008 (2.74%), 24 Oct 2008 (-6.59%)
2007905 Mar 2007 (7.7%), 02 Apr 2007 (2.99%), 15 May 2007 (1.03%), 13 Jun 2007 (0.37%), 05 Jul 2007 (2.96%), 27 Jul 2007 (0.17%), 21 Aug 2007 (1.44%), 20 Sep 2007 (0.92%), 21 Nov 2007 (0.25%)
2006322 May 2006 (7.32%), 08 Jun 2006 (3.66%), 21 Jul 2006 (4.44%)
2005230 Mar 2005 (6.44%), 15 Apr 2005 (-1.79%)
2004117 May 2004 (23.83%)
2003524 Jan 2003 (-4.09%), 11 Mar 2003 (-1.84%), 28 Mar 2003 (-5.24%), 17 Apr 2003 (3.5%), 21 May 2003 (-3.89%)
2002307 Jun 2002 (4.53%), 03 Jul 2002 (-3.25%), 22 Jul 2002 (5.3%)
2001527 Feb 2001 (8.64%), 30 Mar 2001 (-5.23%), 25 Jun 2001 (7.41%), 09 Jul 2001 (4.36%), 17 Sep 2001 (1.1%)
2000725 Apr 2000 (6.23%), 11 May 2000 (-4.46%), 26 May 2000 (3.77%), 24 Jul 2000 (8.54%), 19 Sep 2000 (4.67%), 11 Oct 2000 (1.85%), 22 Dec 2000 (-5.36%)
1999222 Sep 1999 (8.0%), 22 Oct 1999 (2.14%)
1997222 Oct 1997 (-2.26%), 06 Nov 1997 (-3.24%)
1996324 Sep 1996 (-4.34%), 19 Nov 1996 (-6.99%), 26 Dec 1996 (-2.54%)



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