Strategy validation
Bottom lineThe honest backtest record: every strategy we tested, its results net of realistic cost, and the standing verdict that nothing here is fundable at size — the failures published as visibly as the wins. That discipline is the product.
Why we publish thisWe publish failures and uncertified reads so descriptive context is never mistaken for alpha — the honest boundary IS the product.
A Trust-altitude rigor record, not a strategy lens: every strategy we have backtested, its results net of cost, and the current holdings of the deployable candidates — published so the failures are as visible as the wins. Saved in
research.db (26 strategies · 27 backtest runs); refine a signal, re-run, and a new timestamped result appears here.
Honest verdict (re-cut 2026-07-05): nothing is FUNDABLE net of realistic participation cost at AUM. The best flat-cost champion (C-BLEND 50/50, return/vol 1.32) fails at scale — net 0.52 @₹25cr, 0.17 @₹50cr, −0.30 @₹100cr vs the 0.89 index bar; every PEAD event-book wrapper died (net 0.10, hedged −0.58); the one participation-fundable corner is quarterly large-cap LOWVOL_MOM (1.02 @₹50cr, beating the index up to ~₹100cr and first failing at ~₹150cr — defensive, not alpha). We publish those failures rather than bury them; the full pre-registered record is on
Spec sheets.
⚖️ The bar every active strategy must clear: Nifty 500 buy & hold — return/vol 0.89 / CAGR 15.3% / MaxDD −29%. The choice among the rest is a risk-profile call, not alpha.
| Strategy | Category | Cost basis | Return/vol | CAGR | MaxDD | Ann cost | Capacity |
|---|
| C-BLEND 50/50 monthly (2026-07-03 champion) | cost-tested | flat 0.3%/turnover | 1.32 | — | -28.2% | — | — |
| RISKADJ | public-factor | flat-0.3%/turnover | 1.29 | 35.4% | -41.9% | — | — |
| RISKADJ monthly flat-cost (the headline) | cost-tested | flat-0.3%/turnover | 1.29 | 35.6% | -41.9% | 3.8% | Rs30cr |
| MOM12 | public-factor | flat-0.3%/turnover | 1.20 | 37.6% | -49.6% | — | — |
| LOWVOL_MOM | public-factor | flat-0.3%/turnover | 1.12 | 18.7% | -33.9% | — | — |
| HI52 | public-factor | flat-0.3%/turnover | 1.09 | 24.2% | -38.6% | — | — |
| QUAL_MOM | public-factor | flat-0.3%/turnover | 1.04 | 23.5% | -29.0% | — | — |
| RESID_MOM | public-factor | flat-0.3%/turnover | 1.02 | 30.2% | -50.7% | — | — |
| MOM6 | public-factor | flat-0.3%/turnover | 1.01 | 30.0% | -51.3% | — | — |
| VAL_MOM | public-factor | flat-0.3%/turnover | 0.91 | 24.4% | -63.9% | — | — |
| Nifty500 buy & hold (quarterly marks) | baseline | realistic (tier spread + 0.5xATR slip) | 0.89 | 15.3% | -29.2% | 0.0% | Rsinfcr |
| DEFENSIVE(lowvol+qual) | public-factor | flat-0.3%/turnover | 0.87 | 12.0% | -25.5% | — | — |
| QMV(qual+mom+val) | public-factor | flat-0.3%/turnover | 0.86 | 20.4% | -51.1% | — | — |
| LOWVOL | public-factor | flat-0.3%/turnover | 0.84 | 9.6% | -26.5% | — | — |
| LOWVOL_MOM quarterly largecap realistic+band | cost-tested | realistic (tier spread + 0.5xATR slip) | 0.79 | 13.3% | -25.4% | 8.3% | Rs190cr |
| SECTOR_ROT_V17 | sector-rotation | etf 0.15%/side | 0.79 | 14.7% | -39.2% | — | — |
| LOWVOL quarterly largecap realistic+band | cost-tested | realistic (tier spread + 0.5xATR slip) | 0.78 | 9.6% | -23.1% | 5.4% | Rs168cr |
| QUALITY | public-factor | flat-0.3%/turnover | 0.76 | 14.4% | -43.6% | — | — |
| LOWBETA(BAB) | public-factor | flat-0.3%/turnover | 0.70 | 10.2% | -27.7% | — | — |
| EARN_YIELD | public-factor | flat-0.3%/turnover | 0.70 | 17.5% | -71.4% | — | — |
| SECTOR_ROT_V8 | sector-rotation | etf 0.15%/side | 0.70 | 10.8% | -36.2% | — | — |
| BOOK_YIELD | public-factor | flat-0.3%/turnover | 0.61 | 16.2% | -82.3% | — | — |
| RISKADJ quarterly largecap realistic | cost-tested | realistic (tier spread + 0.5xATR slip) | 0.51 | 10.2% | -43.3% | 15.1% | Rs97cr |
| LOWVOL_MOM monthly realistic + band | cost-tested | realistic (tier spread + 0.5xATR slip) | 0.15 | 1.0% | -50.3% | 19.8% | Rs65cr |
| PEAD book (real BSE dates) | event-study | tiered + ATR event costs | 0.10 | — | — | — | — |
| RISKADJ monthly realistic | cost-tested | realistic (tier spread + 0.5xATR slip) | 0.09 | -1.4% | -68.9% | 36.0% | Rs30cr |
○ flat-cost (illustrative) · ● realistic cost (tier spread + slippage) · green row = the buy-and-hold benchmark every active row must beat
Candidate holdings (current top-25)
A. DEFENSIVE
as of 2026-06-19 · 25 names
ANANDRATHISTARHEALTHAPOLLOHOSPAUROPHARMAJBCHEPHARMNESTLEINDGRANULESNTPCCOALINDIAFEDERALBNKTORNTPHARMVTLTATASTEELNAVINFLUORMARICOLAURUSLABSADANIPORTSBELLUPINELGIEQUIPPREMIERENEATULJSWSTEELPOLYCABZYDUSLIFE
B. SMOOTHEST
as of 2026-06-19 · 25 names
CASTROLINDMARICOPOWERGRIDGODIGITAPOLLOHOSPDIVISLABITCNTPCJBCHEPHARMANANDRATHIINDIAMARTLUPINBRITANNIAMRFGILLETTENESTLEINDTORNTPHARMSTARHEALTHPATANJALIBHARTIARTLANURASKOTAKBANKICICIBANKABBOTINDIAUBL
C. HIGHEST-MOMENTUM
as of 2026-06-19 · 25 names
HFCLPOWERINDIAWELCORPSYRMAAPARINDSDATAPATTNSHONASAMAHABANKKIRLOSENGGVT&DVEDLADANIPOWERBSEMCXTHERMAXBHARATFORGGRANULESBHELLAURUSLABSRRKABELABSLAMCJ&KBANKVTLHINDCOPPERADANIENSOL
SECTOR_ROT_V17
as of 2026-04-01 · 6 names
Nifty Financial Services 30%Nifty Auto 29%Nifty PSU Bank 17%Nifty Healthcare 13%Nifty Metal 11%RESIDUAL SLEEVE: CASH (below 200DMA)
Realistic metrics are net of per-name cost (tier spread + 0.5×ATR slippage), walk-forward 2012–26, no look-ahead. Universe for holdings = live Nifty 500 constituents (no delisted tickers, no liquid/ETF funds). Descriptive research artifact, not investment advice and not a performance claim. Full narrative: the strategy ledger. See also the
Coverage & Settlement ledger for the data limits behind these tests.