Study: Buy WIPRO when near 200 SMA and above 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Buy WIPRO when near 200 SMA and above 200 SMA and ADX is Trending" 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
1-5214.021811761.111842.064281.12-3639.53-13709.10.510.8-0.015-289.67
212280.921811761.113144.788983.77-3187.39-5468.580.991.550.036682.27
35784.41899504663.379442.91-4020.66-6255.561.161.160.013321.36
4-2038.961861233.337386.112686.16-3862.96-9887.021.910.96-0.0038-113.28
524093.71899507298.8919900.72-4621.81-11093.571.581.580.0381338.54
6-4139.351811761.115052.0816216.22-8530.31-13408.940.590.93-0.0059-229.96
7-17619.171899504030.797727.11-5988.47-13007.130.670.67-0.034-978.84
8-14548.331810855.564854.0112034.02-7886.05-17935.40.620.77-0.02-808.24
9-314631810855.565808.6217098.73-11193.65-28828.80.520.65-0.032-1747.94
10-26313.291811761.116720.1614009.93-14319.29-43600.920.470.74-0.021-1461.85
Although, strategy looks good but profit factor on day 1 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
atrtrail-16.0820741.11251015409105.7428440.82-4687.75-10496.561.941.290.018829.64
200trail-12.9614356.472882028.577924.3431825.11-2451.91-3872.733.231.290.015512.73
200trail225297.4628101835.715240.747857.49-2617.22-3872.7321.110.0098189.2
atrtrail35.485034.11251015407535.0420477.77-4687.75-10496.561.611.070.0053201.36
200nil22.852139.132791833.336254.687857.49-3008.5-3976.152.081.040.003779.23
atrnil27.43-1487.192171433.3313059.7421077.07-6636.1-14421.311.970.98-0.0015-70.82
atrtrail25.04-1490.89251015406882.5413651.84-4687.75-10496.561.470.98-0.0018-59.64
atrnil311.48-21383.322151623.8117584.6820477.77-6831.67-14421.312.570.8-0.02-1018.25
200nil34-17642.782652119.239358.0111606.48-3068.23-3976.153.050.73-0.028-678.57
200trail32.46-14266.082882028.574346.528658.72-2451.91-3872.731.770.71-0.029-509.5

In the table above, row 1 shows the best exit criterion. Profit factor is 1.29. 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 40%, which is not acceptable. Avoid this strategy. Average return per trade is 0.41%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.018, 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:1.29

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019109 Jul 2019 (-1.1%)
2017216 Mar 2017 (-1.11%), 21 Mar 2017 (1.09%)
2016101 Feb 2016 (-2.14%)
2014310 Jun 2014 (3.83%), 22 Dec 2014 (-2.25%), 30 Dec 2014 (-0.79%)
2013215 Jul 2013 (-2.42%), 26 Jul 2013 (14.22%)
2012409 Jan 2012 (-2.12%), 13 Jan 2012 (0.65%), 24 May 2012 (2.23%), 30 Nov 2012 (-2.23%)
2011401 Feb 2011 (-0.72%), 07 Feb 2011 (-3.66%), 07 Dec 2011 (-0.4%), 16 Dec 2011 (0.6%)
2010329 Oct 2010 (1.35%), 22 Nov 2010 (-3.32%), 29 Nov 2010 (12.94%)
2007105 Apr 2007 (1.26%)
2006131 May 2006 (-2.77%)
2003112 Sep 2003 (-4.86%)
2000104 Sep 2000 (-5.25%)
1997104 Jun 1997 (7.36%)



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