Study: Buy WIPRO when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy WIPRO when RSI is oversold" 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
153229.8559293049.158399.2747656.97-6344.97-22584.761.321.280.017902.2
241620.8959312852.5410232.9844809.14-9842.91-43648.631.041.150.01705.44
310241159302950.8514213.0148315.12-11171.7-54227.761.271.320.0211735.78
477326.4859332655.9313157.5651821.49-13725.88-38236.380.961.220.0151310.62
517022859322754.2414710.7559056.35-11130.22-34196.891.321.570.0352885.22
615462759332655.9314803.6660641.16-12842.06-44233.841.151.460.0292620.8
712562859312852.5417154.8556142.33-14506.16-38363.721.181.310.0212129.29
814281.4259322754.2417446.9658308.19-20148.94-57930.950.871.030.002242.06
9-49646.9959322754.2417270.5257932.69-22307.54-80540.120.770.92-0.0067-841.47
10-50913.8859342557.6316383.3657687.82-24317.93-64122.720.670.92-0.007-862.95
Although, strategy looks good but profit factor on day 2 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
atrnil311.1960745896326433.3344473.57255562-12745.25-40464.643.491.740.0336327.69
atrnil25.8630351898395939.827772.8170375-13213.92-40464.642.11.390.0233097.12
atrtrail24.11165393110476342.7318232.4679399.26-10976.7-40464.641.661.240.0151503.58
atrtrail34.85103321109466342.217083.35119099-10833.54-40464.641.581.150.0089947.9
atrtrail-15.4120537.95108436539.8116417.98139988-10545.16-40464.641.561.030.0018190.17

In the table above, row 1 shows the best exit criterion. Profit factor is 1.74. 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 3.16%, which is very good. Sharpe Ratio is 0.033, which is low, don't trade solely on the basis of this study. Average holding period is on the higher side, note this before entering the trade that you you may need to hold the positions for a longer time.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, Profit Factor:1.74

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019305 Jul 2019 (-1.86%), 08 Jul 2019 (-1.92%), 12 Jul 2019 (6.45%)
2018209 Feb 2018 (-3.0%), 05 Jun 2018 (6.57%)
2016711 Feb 2016 (7.07%), 22 Aug 2016 (-1.83%), 25 Aug 2016 (-1.9%), 26 Aug 2016 (-2.08%), 29 Aug 2016 (-2.19%), 03 Nov 2016 (-1.99%), 11 Nov 2016 (7.67%)
2015320 Apr 2015 (-2.93%), 22 Apr 2015 (-3.61%), 24 Apr 2015 (11.41%)
2014116 Dec 2014 (7.06%)
2013318 Apr 2013 (-4.18%), 22 Apr 2013 (-5.1%), 31 May 2013 (9.75%)
2012611 Jul 2012 (-2.3%), 12 Jul 2012 (-2.6%), 24 Jul 2012 (-2.69%), 25 Jul 2012 (-2.88%), 26 Jul 2012 (9.16%), 22 Oct 2012 (8.23%)
2011816 Jun 2011 (-2.21%), 20 Jun 2011 (-2.7%), 02 Aug 2011 (-2.94%), 05 Aug 2011 (-3.09%), 08 Aug 2011 (-3.55%), 09 Aug 2011 (-3.81%), 18 Aug 2011 (-4.25%), 19 Aug 2011 (13.3%)
2010107 May 2010 (9.5%)
2008922 Jan 2008 (-7.98%), 17 Mar 2008 (20.79%), 25 Sep 2008 (-6.8%), 30 Sep 2008 (-7.33%), 06 Oct 2008 (-8.24%), 08 Oct 2008 (-9.9%), 10 Oct 2008 (-10.98%), 24 Oct 2008 (-13.43%), 27 Oct 2008 (45.38%)
2007202 Aug 2007 (10.11%), 06 Aug 2007 (-3.89%)
2006222 May 2006 (-6.22%), 14 Jun 2006 (24.05%)
2005312 Jan 2005 (-3.37%), 30 Mar 2005 (9.03%), 18 Apr 2005 (12.84%)
2004117 May 2004 (19.92%)
2003627 Jan 2003 (12.53%), 31 Mar 2003 (-3.64%), 10 Apr 2003 (-6.35%), 11 Apr 2003 (-7.17%), 17 Apr 2003 (-9.03%), 26 May 2003 (15.79%)
2002804 Jul 2002 (-3.29%), 10 Jul 2002 (-3.41%), 11 Jul 2002 (-3.65%), 16 Jul 2002 (-3.9%), 22 Jul 2002 (-4.1%), 26 Jul 2002 (-5.34%), 31 Jul 2002 (-5.58%), 02 Aug 2002 (17.08%)
20011327 Feb 2001 (-5.9%), 02 Mar 2001 (-8.62%), 12 Mar 2001 (-12.67%), 13 Mar 2001 (-15.96%), 02 Apr 2001 (-13.41%), 10 Apr 2001 (-14.47%), 11 Apr 2001 (53.94%), 25 Jun 2001 (-7.63%), 09 Jul 2001 (24.91%), 17 Sep 2001 (-10.12%), 19 Sep 2001 (-12.22%), 20 Sep 2001 (-13.28%), 21 Sep 2001 (43.72%)
2000602 May 2000 (-15.71%), 18 May 2000 (-18.9%), 26 May 2000 (59.55%), 17 Oct 2000 (-8.03%), 18 Oct 2000 (27.27%), 26 Dec 2000 (20.91%)
1999122 Sep 1999 (127.78%)
1998128 Nov 1998 (8.17%)
1997322 Oct 1997 (-20.23%), 07 Nov 1997 (-14.19%), 17 Nov 1997 (37.69%)
1996704 Oct 1996 (-3.09%), 08 Oct 1996 (10.5%), 29 Nov 1996 (-2.81%), 09 Dec 1996 (-3.34%), 12 Dec 1996 (-3.84%), 13 Dec 1996 (-4.24%), 31 Dec 1996 (13.47%)



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