Study: Sell WIPRO when below 200 SMA and RSI is overbought

home > technical-strategy > wipro > 62

In this study, we evaluate the performance of strategy "Sell WIPRO when below 200 SMA and RSI is overbought" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell 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. buy 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
1-41424.05146842.863438.7412082.34-7757.06-16001.610.440.33-0.088-2958.86
2-67767.58145935.716073.7811311.15-10904.05-33284.280.560.31-0.087-4840.54
3-1283891441028.576367.59449.62-15385.89-51948.360.410.17-0.12-9170.64
4-2322201431121.434679.386921.21-22387.07-72104.220.210.057-0.16-16587.12
5-2628641421214.2910413.4915157.2-23640.95-54540.590.440.073-0.2-18776.03
6-3127171421214.2910287.3713270.44-27774.3-74903.840.370.062-0.2-22336.92
7-3326581441028.578148.3423803.75-36525.15-96896.010.220.089-0.17-23761.29
8-3440521441028.5710220.326195.42-38493.34-1206480.270.11-0.14-24575.16
9-3345731441028.5710779.7433925.16-37769.17-1463020.290.11-0.12-23898.05
10-3087511441028.5715686.9346903.29-37149.9-1518180.420.17-0.1-22053.66

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 0.33. This strategy is not profitable and we advice you not to use it.

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
atrnil22.08-126891408322015542.3824855.73-7850.93-12847.61.980.49-0.066-3172.27
atrtrail21.9-1437434193221.959547.4719469.8-7177.19-12847.61.330.37-0.091-3505.92
nilnil-11-41424.05146842.863438.7412082.34-7757.06-16001.610.440.33-0.088-2958.86
atrnil33.14-1758023743310.8121003.3231267.94-7873.19-12427.872.670.32-0.1-4751.4
atrtrail-12.45-15243640832208933.7445006.73-6997.06-12847.61.280.32-0.084-3810.9
atrtrail32.15-16056740832207917.3326798.23-6997.06-12847.61.130.28-0.11-4014.18

In the table above, row 1 shows the best exit criterion. Profit factor is 0.49. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
WIPRO Performance, Profit Factor:0.495

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2018412 Jul 2018 (-1.94%), 13 Jul 2018 (-2.08%), 16 Jul 2018 (-2.12%), 20 Jul 2018 (4.44%)
2013112 Jul 2013 (-2.47%)
2012114 Sep 2012 (4.21%)
2009326 Mar 2009 (-4.14%), 02 Apr 2009 (-4.45%), 08 Apr 2009 (9.73%)
2003201 Sep 2003 (-4.37%), 04 Sep 2003 (-4.4%)
2001126 Nov 2001 (-5.85%)
2000903 Jan 2000 (-5.04%), 04 Jan 2000 (-4.87%), 05 Jan 2000 (-5.55%), 06 Jan 2000 (12.43%), 21 Jan 2000 (-6.42%), 24 Jan 2000 (-6.05%), 30 Aug 2000 (-5.6%), 05 Sep 2000 (10.42%), 08 Dec 2000 (8.93%)
1999614 Dec 1999 (-5.07%), 21 Dec 1999 (-4.96%), 22 Dec 1999 (-4.8%), 23 Dec 1999 (-4.65%), 24 Dec 1999 (-5.0%), 29 Dec 1999 (-5.4%)
19981223 Feb 1998 (-2.22%), 25 Feb 1998 (-2.53%), 26 Feb 1998 (-2.73%), 27 Feb 1998 (-2.67%), 02 Mar 1998 (5.59%), 03 Mar 1998 (-3.16%), 04 Mar 1998 (6.42%), 19 Mar 1998 (-2.92%), 20 Mar 1998 (-2.94%), 24 Mar 1998 (-2.83%), 25 Mar 1998 (-2.91%), 30 Mar 1998 (-3.13%)
1997102 May 1997 (-2.31%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play