[ { "id": "fe-lowvol-19y", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a low-volatility factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "does low volatility investing work in india", "low vol factor backtest nse 500", "do less volatile stocks beat the nifty long term", "is the low volatility anomaly real for indian stocks" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 14.56% (gross 15.28%) with a maximum drawdown of -37.74% and a Sharpe ratio of 1.02 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "57c6a8a9af36334f13f6e388322d19bbcebce361fe89173ea0d0b756c6923eef", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-momentum-19y", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a 12-month momentum factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "does momentum investing work in india", "momentum factor backtest nse 500", "is buying winners profitable in indian stocks", "12-month momentum strategy india historical returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 15.84% (gross 18.14%) with a maximum drawdown of -73.62% and a Sharpe ratio of 0.60 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "ce8a4be07872c9b7345f51d588b4566de024d9fe38d2af8d5e49337033b5064d", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-value-19y", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a low-PE value factor strategy on profitable NSE 500 companies show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "does value investing work in india", "low pe stocks backtest nse 500", "is buying cheap stocks profitable in indian market", "value factor returns india long term" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.46% (gross 13.42%) with a maximum drawdown of -68.02% and a Sharpe ratio of 0.37 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.4638, "gross_cagr_pct": 13.4195, "sharpe": 0.3706677159417686, "max_drawdown_pct": -68.0238, "recovery_months": 40.56666666666667, "volatility_pct": 33.6254, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.0525, "tax_drag_pct": 0.9557 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "c9cabbfb3ed20c242ca20ec4f0d70945d06d4c54e3526cd7f99dbe4ef4a79e6f", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-quality-roe-19y", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a high-ROE quality factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "does quality investing work in india", "high roe stocks backtest nse 500", "is buying high quality companies profitable in india", "roe-based stock screen historical returns india" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.37% (gross 13.23%) with a maximum drawdown of -67.68% and a Sharpe ratio of 0.34 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.3736, "gross_cagr_pct": 13.2268, "sharpe": 0.33807212250038066, "max_drawdown_pct": -67.6801, "recovery_months": 38.53333333333333, "volatility_pct": 36.6005, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.9623, "tax_drag_pct": 0.8532 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "201f775d5a2843287060572dec883b9f0dde7f4a280c69c579a8859e4298ba24", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-momentum-vs-lowvol", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": "6 vs 12", "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum strategy compare to a low-volatility strategy on NSE 500 over Dec 2006 – Dec 2025, on returns and drawdown?", "question_variants": [ "momentum vs low volatility india backtest", "low vol or momentum factor india long term", "comparing momentum and low volatility nse 500", "low volatility versus momentum nse factor returns" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 12-month momentum screen produced a historical net-of-cost CAGR of 15.84% with a maximum drawdown of -73.62%, while a low-volatility screen produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } }, { "source_record_id": "fe-lowvol-19y", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 } } ] }, "derived_from": [ "fe-momentum-19y", "fe-lowvol-19y" ], "pair_with": null, "approach_labels": [ "a 12-month momentum screen", "a low-volatility screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-value-vs-quality", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy compare to a high-ROE quality strategy on NSE 500 over Dec 2006 – Dec 2025, on returns and drawdown?", "question_variants": [ "value vs quality factor india backtest", "low pe vs high roe nse 500", "value or quality factor india long term", "comparing value and quality stocks india" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a low-PE value screen produced a historical net-of-cost CAGR of 12.46% with a maximum drawdown of -68.02%, while a high-ROE quality screen produced 12.37% with a maximum drawdown of -67.68%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-value-19y", "metrics": { "net_cagr_pct": 12.4638, "gross_cagr_pct": 13.4195, "sharpe": 0.3706677159417686, "max_drawdown_pct": -68.0238, "recovery_months": 40.56666666666667, "volatility_pct": 33.6254, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.0525, "tax_drag_pct": 0.9557 } }, { "source_record_id": "fe-quality-roe-19y", "metrics": { "net_cagr_pct": 12.3736, "gross_cagr_pct": 13.2268, "sharpe": 0.33807212250038066, "max_drawdown_pct": -67.6801, "recovery_months": 38.53333333333333, "volatility_pct": 36.6005, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.9623, "tax_drag_pct": 0.8532 } } ] }, "derived_from": [ "fe-value-19y", "fe-quality-roe-19y" ], "pair_with": null, "approach_labels": [ "a low-PE value screen", "a high-ROE quality screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-momentum-vs-value", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": "6 vs 12", "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did 12-month momentum compare to a low-PE value strategy on NSE 500 over Dec 2006 – Dec 2025, on returns and drawdown?", "question_variants": [ "momentum vs value india backtest", "growth vs value india factor returns", "momentum or value factor nse long term", "comparing momentum and value strategies india" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 12-month momentum screen produced a historical net-of-cost CAGR of 15.84% with a maximum drawdown of -73.62%, while a low-PE value screen produced 12.46% with a maximum drawdown of -68.02%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } }, { "source_record_id": "fe-value-19y", "metrics": { "net_cagr_pct": 12.4638, "gross_cagr_pct": 13.4195, "sharpe": 0.3706677159417686, "max_drawdown_pct": -68.0238, "recovery_months": 40.56666666666667, "volatility_pct": 33.6254, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.0525, "tax_drag_pct": 0.9557 } } ] }, "derived_from": [ "fe-momentum-19y", "fe-value-19y" ], "pair_with": null, "approach_labels": [ "a 12-month momentum screen", "a low-PE value screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "syn-highest-cagr-19y", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": "12 vs 6", "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Which single-factor strategy produced the largest historical net-of-cost CAGR on NSE 500 over Dec 2006 – Dec 2025?", "question_variants": [ "which factor produced highest returns in india long term", "highest historical cagr factor strategy nse 500", "ranking factor strategies india historical returns", "single factor with largest historical alpha india" ], "answer": "Across 4 single-factor approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine, ranked by historical net-of-cost CAGR: the 12-month momentum factor produced 15.84% (maximum drawdown -73.62%); the low-volatility factor produced 14.56% (maximum drawdown -37.74%); the low-PE value factor produced 12.46% (maximum drawdown -68.02%); the high-ROE quality factor produced 12.37% (maximum drawdown -67.68%). The Nifty 50 returned 10.41% per annum over the same window. The largest historical net-of-cost CAGR over this window came from the 12-month momentum factor (15.84%, maximum drawdown -73.62%). Historical ranking does not imply that any approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-lowvol-19y", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 } }, { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } }, { "source_record_id": "fe-value-19y", "metrics": { "net_cagr_pct": 12.4638, "gross_cagr_pct": 13.4195, "sharpe": 0.3706677159417686, "max_drawdown_pct": -68.0238, "recovery_months": 40.56666666666667, "volatility_pct": 33.6254, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.0525, "tax_drag_pct": 0.9557 } }, { "source_record_id": "fe-quality-roe-19y", "metrics": { "net_cagr_pct": 12.3736, "gross_cagr_pct": 13.2268, "sharpe": 0.33807212250038066, "max_drawdown_pct": -67.6801, "recovery_months": 38.53333333333333, "volatility_pct": 36.6005, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.9623, "tax_drag_pct": 0.8532 } } ] }, "derived_from": [ "fe-lowvol-19y", "fe-momentum-19y", "fe-value-19y", "fe-quality-roe-19y" ], "pair_with": null, "approach_labels": [ "the low-volatility factor", "the 12-month momentum factor", "the low-PE value factor", "the high-ROE quality factor" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-lowvol-rebalance-3m", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 3, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did quarterly vs annual rebalancing change the net-of-cost result of a low-volatility NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "quarterly vs annual rebalance impact low volatility india", "rebalance frequency impact low volatility india", "quarterly vs annual rebalance backtest nse", "transaction cost tradeoff low volatility nse india" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 14.52% with a maximum drawdown of -39.19%, while annual rebalancing produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.5236, "gross_cagr_pct": 15.9179, "sharpe": 1.004257252845648, "max_drawdown_pct": -39.1907, "recovery_months": 12.166666666666666, "volatility_pct": 14.462, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1123, "tax_drag_pct": 1.3943 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "quarterly rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "3d8339e0af028f2e03765fb89e44690faf3178fa2b25a0de42f4867dcb2e5f39", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-lowvol-weighting-invvol", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "inverse_volatility", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a low-volatility NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "inverse volatility vs equal weighting low vol india", "weighting scheme impact low volatility india", "equal weight vs inverse vol nse backtest", "weighting comparison low volatility factor india" ], "answer": "Comparing two weighting scheme variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 14.32% with a maximum drawdown of -37.51%, while equal weighting produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.319, "gross_cagr_pct": 15.0034, "sharpe": 1.0071083004791659, "max_drawdown_pct": -37.5126, "recovery_months": 10.133333333333333, "volatility_pct": 14.218, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.9077, "tax_drag_pct": 0.6844 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "7295b4d5fc67cf0d1254c0e787513535fa20ce408e05442874bb861f4c6cf9b6", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-momentum-annual", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum NSE 500 strategy perform under annual rebalancing over Dec 2006 – Dec 2025?", "question_variants": [ "annual rebalance momentum strategy india returns", "low turnover momentum strategy india backtest", "rebalance frequency for momentum strategies india", "12 month momentum annual rebalance nse" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 13.54% (gross 14.75%) with a maximum drawdown of -80.27% and a Sharpe ratio of 0.51 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.5351, "gross_cagr_pct": 14.7542, "sharpe": 0.5095861840572294, "max_drawdown_pct": -80.2741, "recovery_months": 79.1, "volatility_pct": 26.5609, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.1238, "tax_drag_pct": 1.2191 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "1794d5db43636fed5b9ff0f958ff886b9d5ecef64c69ad660fadfaaad0d7a9db", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-momentum-rebalance-period", "category": "mechanics", "factor": null, "universe": "NSE 500", "rebalance_months": "6 vs 12", "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did semi-annual rebalancing compare to annual rebalancing for a 12-month momentum NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "semi annual vs annual rebalance momentum nse", "rebalance frequency impact momentum strategy india", "momentum rebalance period comparison backtest india", "annual vs semi annual momentum returns india" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: semi-annual rebalancing produced a historical net-of-cost CAGR of 15.84% with a maximum drawdown of -73.62%, while annual rebalancing produced 13.54% with a maximum drawdown of -80.27%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } }, { "source_record_id": "me-momentum-annual", "metrics": { "net_cagr_pct": 13.5351, "gross_cagr_pct": 14.7542, "sharpe": 0.5095861840572294, "max_drawdown_pct": -80.2741, "recovery_months": 79.1, "volatility_pct": 26.5609, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.1238, "tax_drag_pct": 1.2191 } } ] }, "derived_from": [ "fe-momentum-19y", "me-momentum-annual" ], "pair_with": null, "approach_labels": [ "semi-annual rebalancing", "annual rebalancing" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "tx-lowvol-tax-drag", "category": "tax", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How much historical tax drag did India's FY2024 capital-gains regime impose on an annually rebalanced low-volatility NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "tax drag low volatility strategy india fy2024", "ltcg impact annual rebalance backtest india", "after tax cagr low vol nse 500", "capital gains tax effect low volatility india" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a gross CAGR of 15.28% and a net-of-tax CAGR of 14.56% in BacktestIndia's backtesting engine — an estimated tax drag of 0.72% per year under India's FY2024 capital-gains regime applied to realized rebalance gains. This is a historical accounting computation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-lowvol-19y", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 } } ] }, "derived_from": [ "fe-lowvol-19y" ], "pair_with": null, "approach_labels": null, "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "tx-momentum-tax-drag", "category": "tax", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How much historical tax drag did India's FY2024 capital-gains regime impose on a semi-annually rebalanced 12-month momentum NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "tax drag momentum strategy india fy2024", "stcg impact semi annual rebalance momentum india", "after tax cagr momentum nse 500", "capital gains tax cost momentum factor india" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a gross CAGR of 18.14% and a net-of-tax CAGR of 15.84% in BacktestIndia's backtesting engine — an estimated tax drag of 2.30% per year under India's FY2024 capital-gains regime applied to realized rebalance gains. This is a historical accounting computation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } } ] }, "derived_from": [ "fe-momentum-19y" ], "pair_with": null, "approach_labels": null, "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-lowvol-covid", "category": "crisis_regime", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "low volatility strategy covid drawdown india", "low vol factor performance covid crash nse", "did low volatility hold up in covid india", "low volatility nse 2020 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 16.66% with a maximum drawdown of -16.61% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.6554, "gross_cagr_pct": 18.8622, "sharpe": 1.011830186867908, "max_drawdown_pct": -16.6091, "recovery_months": 8.133333333333333, "volatility_pct": 16.4607, "nifty_cagr_pct": 19.4071, "alpha_pct": -2.7517, "tax_drag_pct": 2.2068 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "6f0ca72a47b3341f981d577463af3931fe79ec6aade61159bc49678365424c3a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-momentum-covid", "category": "crisis_regime", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a 12-month momentum NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "momentum strategy covid drawdown india", "momentum factor performance covid crash nse", "did momentum recover after covid india", "momentum nse 2020 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 50.36% with a maximum drawdown of -22.94% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 50.3594, "gross_cagr_pct": 55.2602, "sharpe": 1.8110434414468954, "max_drawdown_pct": -22.9406, "recovery_months": 4.066666666666666, "volatility_pct": 27.8069, "nifty_cagr_pct": 19.4071, "alpha_pct": 30.9523, "tax_drag_pct": 4.9008 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "852c301d161768b5193e88603e608b16605ab003177ae6f088730f30077cc3be", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-largecap", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-volatility strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap low volatility strategy india backtest", "low vol factor in nifty 100 historical returns", "large cap low volatility nse vs nifty 50", "low volatility within nse top 100 stocks" ], "answer": "A low-volatility strategy applied to NSE top 100 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.81% (gross 13.14%) with a maximum drawdown of -40.75% and a Sharpe ratio of 0.82 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.8132, "gross_cagr_pct": 13.1434, "sharpe": 0.8205794180093499, "max_drawdown_pct": -40.7533, "recovery_months": 7.066666666666666, "volatility_pct": 15.6148, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.4019, "tax_drag_pct": 0.3302 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "a77e820d6b5326212d4ed9d2561594292718037ac081d5938abc89695d10b124", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-midcap", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-volatility strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap low volatility strategy india backtest", "low vol factor in midcap stocks india returns", "mid cap low volatility nse vs nifty 50", "low volatility within nse mid cap stocks" ], "answer": "A low-volatility strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 17.28% (gross 18.73%) with a maximum drawdown of -42.89% and a Sharpe ratio of 1.04 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 17.2758, "gross_cagr_pct": 18.7278, "sharpe": 1.0379775525736905, "max_drawdown_pct": -42.8918, "recovery_months": 11.166666666666666, "volatility_pct": 16.6437, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.8645, "tax_drag_pct": 1.452 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "dbfd60a237e4f5a2c43f6ebd495e305d0ea70fa06cc9835ade05978a2ded010d", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-large-vs-mid", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap vs NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-volatility strategy in the NSE top 100 compare to the same strategy in NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap vs mid cap low volatility india", "low vol factor large cap or mid cap india", "midcap vs largecap low volatility nse historical", "low volatility across cap segments india backtest" ], "answer": "Comparing two approaches on NSE top 100 by market cap vs NSE ranks 101–300 by market cap over December 2006 to December 2025 in BacktestIndia's backtesting engine: the large-cap segment (NSE top 100) produced a historical net-of-cost CAGR of 12.81% with a maximum drawdown of -40.75%, while the mid-cap segment (NSE ranks 101–300) produced 17.28% with a maximum drawdown of -42.89%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "cs-lowvol-largecap", "metrics": { "net_cagr_pct": 12.8132, "gross_cagr_pct": 13.1434, "sharpe": 0.8205794180093499, "max_drawdown_pct": -40.7533, "recovery_months": 7.066666666666666, "volatility_pct": 15.6148, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.4019, "tax_drag_pct": 0.3302 } }, { "source_record_id": "cs-lowvol-midcap", "metrics": { "net_cagr_pct": 17.2758, "gross_cagr_pct": 18.7278, "sharpe": 1.0379775525736905, "max_drawdown_pct": -42.8918, "recovery_months": 11.166666666666666, "volatility_pct": 16.6437, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.8645, "tax_drag_pct": 1.452 } } ] }, "derived_from": [ "cs-lowvol-largecap", "cs-lowvol-midcap" ], "pair_with": null, "approach_labels": [ "the large-cap segment (NSE top 100)", "the mid-cap segment (NSE ranks 101–300)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-momentum-weighting-invvol", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "inverse_volatility", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a 12-month momentum NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "inverse volatility vs equal weighting momentum india", "risk weighted momentum nse 500 backtest", "weighting scheme impact momentum factor india", "equal weight vs inverse vol momentum strategy india" ], "answer": "Comparing two weighting scheme variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 16.74% with a maximum drawdown of -70.11%, while equal weighting produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.7413, "gross_cagr_pct": 19.1207, "sharpe": 0.7028929545049736, "max_drawdown_pct": -70.1123, "recovery_months": 59.86666666666667, "volatility_pct": 23.8176, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.33, "tax_drag_pct": 2.3794 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5dbdecfc7c3b1626ef6f703f44893bf484d6b2a4b21bd12af608cad23dcfcd0e", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-value-weighting-invvol", "category": "mechanics", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "inverse_volatility", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a low-PE value NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "inverse volatility vs equal weighting value india", "weighting scheme impact value factor india", "low pe risk weighted backtest nse", "value factor weighting comparison india" ], "answer": "Comparing two weighting scheme variants of a low-PE value strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 13.54% with a maximum drawdown of -63.03%, while equal weighting produced 12.46% with a maximum drawdown of -68.02%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.5385, "gross_cagr_pct": 14.5544, "sharpe": 0.4193664753738806, "max_drawdown_pct": -63.0296, "recovery_months": 10.133333333333333, "volatility_pct": 32.2831, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.1272, "tax_drag_pct": 1.0159 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-value-19y", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a88bcbdc97cf8706d92f2fa55c010af2c92f41959a1233eb4bef5ba416d55b8a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-quality-weighting-invvol", "category": "mechanics", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "inverse_volatility", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a high-ROE quality NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "inverse volatility vs equal weighting quality india", "weighting scheme impact quality factor india", "high roe risk weighted backtest nse", "quality factor weighting comparison india" ], "answer": "Comparing two weighting scheme variants of a high-ROE quality strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 13.36% with a maximum drawdown of -63.80%, while equal weighting produced 12.37% with a maximum drawdown of -67.68%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.3561, "gross_cagr_pct": 14.3014, "sharpe": 0.3843919159348968, "max_drawdown_pct": -63.8038, "recovery_months": 10.133333333333333, "volatility_pct": 34.746, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.9448, "tax_drag_pct": 0.9453 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-quality-roe-19y", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "9be859392b55bb34ab05c392099a37392053a62d62ceef2e0b41fe1289782fca", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-lowvol-weighting-mcap", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "market_cap", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did market-cap weighting compare to equal weighting for a low-volatility NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "market cap vs equal weighting low volatility india", "cap weighted low vol nse backtest", "market cap weighting impact low volatility india", "cap weighted vs equal weight low vol india" ], "answer": "Comparing two weighting scheme variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: market-cap weighting produced a historical net-of-cost CAGR of 14.56% with a maximum drawdown of -37.74%, while equal weighting produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "market-cap weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "market_cap", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "68167fc9b888a5f818de2c3fd72b942274aff1d0bdee054b987fee4e16be50c5", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-momentum-weighting-mcap", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "market_cap", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did market-cap weighting compare to equal weighting for a 12-month momentum NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "market cap vs equal weighting momentum india", "cap weighted momentum nse backtest", "market cap weighting impact momentum india", "cap weighted vs equal weight momentum india" ], "answer": "Comparing two weighting scheme variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: market-cap weighting produced a historical net-of-cost CAGR of 15.84% with a maximum drawdown of -73.62%, while equal weighting produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "market-cap weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "market_cap", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5c51bce4d901901049bb591b1f0032f9a8dd8bd14c92cddf6b5cde5603195d36", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-largecap", "category": "cap_segment", "factor": "momentum", "universe": "NSE top 100 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap momentum strategy india backtest", "momentum factor in nifty 100 historical returns", "large cap momentum nse vs nifty 50", "momentum within nse top 100 stocks" ], "answer": "A 12-month momentum strategy applied to NSE top 100 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 10.35% (gross 11.15%) with a maximum drawdown of -70.16% and a Sharpe ratio of 0.46 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 10.3528, "gross_cagr_pct": 11.1468, "sharpe": 0.46429294232195234, "max_drawdown_pct": -70.1605, "recovery_months": 76.1, "volatility_pct": 22.298, "nifty_cagr_pct": 10.4113, "alpha_pct": -0.0585, "tax_drag_pct": 0.794 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "0be03b96e58a29e86ae3fd845c728499b08d35939ac93204a2443afec7d6e1bf", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-midcap", "category": "cap_segment", "factor": "momentum", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap momentum strategy india backtest", "momentum factor in midcap stocks india returns", "mid cap momentum nse vs nifty 50", "momentum within nse mid cap stocks" ], "answer": "A 12-month momentum strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 15.88% (gross 18.40%) with a maximum drawdown of -73.95% and a Sharpe ratio of 0.61 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.8808, "gross_cagr_pct": 18.4034, "sharpe": 0.6144016212665541, "max_drawdown_pct": -73.9452, "recovery_months": 63.86666666666667, "volatility_pct": 25.8477, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4695, "tax_drag_pct": 2.5226 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "ce32f9c52f482123e963fc30c261a8fe1a971b72038d2ae3c5f827ac5be2bb56", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-large-vs-mid", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap vs NSE ranks 101–300 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum strategy in the NSE top 100 compare to the same strategy in NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap vs mid cap momentum india", "momentum factor large cap or mid cap india", "midcap vs largecap momentum nse historical", "momentum across cap segments india backtest" ], "answer": "Comparing two approaches on NSE top 100 by market cap vs NSE ranks 101–300 by market cap over December 2006 to December 2025 in BacktestIndia's backtesting engine: the large-cap segment (NSE top 100) produced a historical net-of-cost CAGR of 10.35% with a maximum drawdown of -70.16%, while the mid-cap segment (NSE ranks 101–300) produced 15.88% with a maximum drawdown of -73.95%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "cs-momentum-largecap", "metrics": { "net_cagr_pct": 10.3528, "gross_cagr_pct": 11.1468, "sharpe": 0.46429294232195234, "max_drawdown_pct": -70.1605, "recovery_months": 76.1, "volatility_pct": 22.298, "nifty_cagr_pct": 10.4113, "alpha_pct": -0.0585, "tax_drag_pct": 0.794 } }, { "source_record_id": "cs-momentum-midcap", "metrics": { "net_cagr_pct": 15.8808, "gross_cagr_pct": 18.4034, "sharpe": 0.6144016212665541, "max_drawdown_pct": -73.9452, "recovery_months": 63.86666666666667, "volatility_pct": 25.8477, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4695, "tax_drag_pct": 2.5226 } } ] }, "derived_from": [ "cs-momentum-largecap", "cs-momentum-midcap" ], "pair_with": null, "approach_labels": [ "the large-cap segment (NSE top 100)", "the mid-cap segment (NSE ranks 101–300)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-largecap", "category": "cap_segment", "factor": "value_pe", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap value strategy india backtest", "low pe in nifty 100 historical returns", "large cap value nse vs nifty 50", "value within nse top 100 stocks" ], "answer": "A low-PE value strategy applied to NSE top 100 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.25% (gross 11.65%) with a maximum drawdown of -54.87% and a Sharpe ratio of 0.41 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.2482, "gross_cagr_pct": 11.6463, "sharpe": 0.41479831798521904, "max_drawdown_pct": -54.8708, "recovery_months": 7.133333333333334, "volatility_pct": 27.1173, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.8369, "tax_drag_pct": 0.3981 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "9beb332c8b0dcf373e789a9038c18519bf3159416c37e9cf2d69807464d607f3", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-midcap", "category": "cap_segment", "factor": "value_pe", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap value strategy india backtest", "low pe in midcap stocks india returns", "mid cap value nse vs nifty 50", "value within nse mid cap stocks" ], "answer": "A low-PE value strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.65% (gross 12.43%) with a maximum drawdown of -68.89% and a Sharpe ratio of 0.33 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.6464, "gross_cagr_pct": 12.4257, "sharpe": 0.3348051333608342, "max_drawdown_pct": -68.8858, "recovery_months": 10.133333333333333, "volatility_pct": 34.7857, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.2351, "tax_drag_pct": 0.7793 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "735a93580bf5452093d27f8c982c78af1a185659efd2111c08c1012235d48d6e", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-large-vs-mid", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap vs NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy in the NSE top 100 compare to the same strategy in NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap vs mid cap value india", "value factor large cap or mid cap india", "midcap vs largecap value nse historical", "value across cap segments india backtest" ], "answer": "Comparing two approaches on NSE top 100 by market cap vs NSE ranks 101–300 by market cap over December 2006 to December 2025 in BacktestIndia's backtesting engine: the large-cap segment (NSE top 100) produced a historical net-of-cost CAGR of 11.25% with a maximum drawdown of -54.87%, while the mid-cap segment (NSE ranks 101–300) produced 11.65% with a maximum drawdown of -68.89%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "cs-value-largecap", "metrics": { "net_cagr_pct": 11.2482, "gross_cagr_pct": 11.6463, "sharpe": 0.41479831798521904, "max_drawdown_pct": -54.8708, "recovery_months": 7.133333333333334, "volatility_pct": 27.1173, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.8369, "tax_drag_pct": 0.3981 } }, { "source_record_id": "cs-value-midcap", "metrics": { "net_cagr_pct": 11.6464, "gross_cagr_pct": 12.4257, "sharpe": 0.3348051333608342, "max_drawdown_pct": -68.8858, "recovery_months": 10.133333333333333, "volatility_pct": 34.7857, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.2351, "tax_drag_pct": 0.7793 } } ] }, "derived_from": [ "cs-value-largecap", "cs-value-midcap" ], "pair_with": null, "approach_labels": [ "the large-cap segment (NSE top 100)", "the mid-cap segment (NSE ranks 101–300)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-quality-largecap", "category": "cap_segment", "factor": "quality_roe", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a high-ROE quality strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap quality strategy india backtest", "high roe in nifty 100 historical returns", "large cap quality nse vs nifty 50", "quality within nse top 100 stocks" ], "answer": "A high-ROE quality strategy applied to NSE top 100 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.37% (gross 11.75%) with a maximum drawdown of -58.55% and a Sharpe ratio of 0.40 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.3672, "gross_cagr_pct": 11.7549, "sharpe": 0.399707335127582, "max_drawdown_pct": -58.5528, "recovery_months": 9.166666666666666, "volatility_pct": 28.4388, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.9559, "tax_drag_pct": 0.3877 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "d0c70391e75695a72e008dcce380b3879dae273766760093966388ca545ee11c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-quality-midcap", "category": "cap_segment", "factor": "quality_roe", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a high-ROE quality strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap quality strategy india backtest", "high roe in midcap stocks india returns", "mid cap quality nse vs nifty 50", "quality within nse mid cap stocks" ], "answer": "A high-ROE quality strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.11% (gross 11.80%) with a maximum drawdown of -66.05% and a Sharpe ratio of 0.29 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.1105, "gross_cagr_pct": 11.7951, "sharpe": 0.2911714718127636, "max_drawdown_pct": -66.0544, "recovery_months": 13.2, "volatility_pct": 38.1579, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.6992, "tax_drag_pct": 0.6846 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "7463373c6389c646e7efcad7b53dfbdd80306ce7ce3e0f1635d7a69603ef6acd", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-quality-large-vs-mid", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap vs NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a high-ROE quality strategy in the NSE top 100 compare to the same strategy in NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap vs mid cap quality india", "quality factor large cap or mid cap india", "midcap vs largecap quality nse historical", "quality across cap segments india backtest" ], "answer": "Comparing two approaches on NSE top 100 by market cap vs NSE ranks 101–300 by market cap over December 2006 to December 2025 in BacktestIndia's backtesting engine: the large-cap segment (NSE top 100) produced a historical net-of-cost CAGR of 11.37% with a maximum drawdown of -58.55%, while the mid-cap segment (NSE ranks 101–300) produced 11.11% with a maximum drawdown of -66.05%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "cs-quality-largecap", "metrics": { "net_cagr_pct": 11.3672, "gross_cagr_pct": 11.7549, "sharpe": 0.399707335127582, "max_drawdown_pct": -58.5528, "recovery_months": 9.166666666666666, "volatility_pct": 28.4388, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.9559, "tax_drag_pct": 0.3877 } }, { "source_record_id": "cs-quality-midcap", "metrics": { "net_cagr_pct": 11.1105, "gross_cagr_pct": 11.7951, "sharpe": 0.2911714718127636, "max_drawdown_pct": -66.0544, "recovery_months": 13.2, "volatility_pct": 38.1579, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.6992, "tax_drag_pct": 0.6846 } } ] }, "derived_from": [ "cs-quality-largecap", "cs-quality-midcap" ], "pair_with": null, "approach_labels": [ "the large-cap segment (NSE top 100)", "the mid-cap segment (NSE ranks 101–300)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-smallcap", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-volatility strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "small cap low volatility strategy india backtest", "low vol in smallcap stocks india returns", "small cap low volatility nse vs nifty 50", "low volatility within nse small cap stocks" ], "answer": "A low-volatility strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.57% (gross 13.79%) with a maximum drawdown of -58.42% and a Sharpe ratio of 0.52 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.5721, "gross_cagr_pct": 13.7925, "sharpe": 0.5201254325241587, "max_drawdown_pct": -58.4162, "recovery_months": 16.233333333333334, "volatility_pct": 22.2486, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.1608, "tax_drag_pct": 2.2204 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "38a1ebe2fd2bfaabcaf91c963484dd1300b47b6ae81c36014aeb8f0d3b73e2bd", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-smallcap", "category": "cap_segment", "factor": "momentum", "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month momentum strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "small cap momentum strategy india backtest", "momentum in smallcap stocks india returns", "small cap momentum nse vs nifty 50", "momentum within nse small cap stocks" ], "answer": "A 12-month momentum strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 15.27% (gross 19.56%) with a maximum drawdown of -74.73% and a Sharpe ratio of 0.51 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.2698, "gross_cagr_pct": 19.5585, "sharpe": 0.51138950319418, "max_drawdown_pct": -74.7338, "recovery_months": 32.43333333333333, "volatility_pct": 29.8595, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.8585, "tax_drag_pct": 4.2887 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "15a453d93ba1c80468dd8e87228de4c5ba65af3956d89055b7c35ee6501c7bb1", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-quality-momentum", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a two-stage screen (high-ROE quality first, then 12-month momentum) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality momentum strategy india backtest", "two stage factor screen nse 500", "roe filter then momentum rank india", "multi factor quality momentum nse" ], "answer": "A two-stage quality-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 13.71% (gross 15.53%) with a maximum drawdown of -68.21% and a Sharpe ratio of 0.41 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.7084, "gross_cagr_pct": 15.5309, "sharpe": 0.4058761264802999, "max_drawdown_pct": -68.2075, "recovery_months": 18.3, "volatility_pct": 33.7747, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.2971, "tax_drag_pct": 1.8225 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5b03dda1a1093daf21cae2eee2758c01a4f329397569bc6edf1398371efce69a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lowvol-momentum", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a two-stage screen (low-volatility first, then 12-month momentum) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low volatility momentum combination india", "two stage low vol then momentum nse", "defensive momentum strategy india backtest", "multi factor low vol momentum nse" ], "answer": "A two-stage low-volatility-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 16.02% (gross 17.71%) with a maximum drawdown of -46.26% and a Sharpe ratio of 1.00 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.0199, "gross_cagr_pct": 17.7055, "sharpe": 1.0036101247240723, "max_drawdown_pct": -46.2554, "recovery_months": 16.2, "volatility_pct": 15.9622, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.6086, "tax_drag_pct": 1.6856 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "f93fd1dfa705c069313d34db72dd3e4c54a242e6abb36d6335dc39dd73ab69b5", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-value-quality-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite low-PE-and-high-ROE z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "value quality composite india backtest", "low pe high roe combined screen nse", "value plus quality factor india", "composite factor strategy nse 500" ], "answer": "A composite low-PE-and-high-ROE strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.59% (gross 13.45%) with a maximum drawdown of -67.63% and a Sharpe ratio of 0.35 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.5856, "gross_cagr_pct": 13.4517, "sharpe": 0.34501870067568596, "max_drawdown_pct": -67.63, "recovery_months": 38.53333333333333, "volatility_pct": 36.478, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.1743, "tax_drag_pct": 0.8661 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1, "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "1de055c78eab14801ce255d6c60247a0a5bf5219eb2b9d4f9da98ed5acadffe4", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-full-arsenal", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "Did a three-stage multi-factor screen (low-volatility first, then a momentum-and-value blend) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "multi factor strategy india backtest", "three stage factor screen nse 500", "low vol momentum value composite india", "multi factor composite nse backtest" ], "answer": "A three-stage low-volatility-then-momentum-and-value strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 16.38% (gross 18.90%) with a maximum drawdown of -49.03% and a Sharpe ratio of 0.94 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.3755, "gross_cagr_pct": 18.8994, "sharpe": 0.9380526755405428, "max_drawdown_pct": -49.028, "recovery_months": 13.2, "volatility_pct": 17.4569, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.9642, "tax_drag_pct": 2.5239 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1, "PE": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "5d08dc3e92ce47bb6062cf5d04509fa2d0b8d63a07c0e124a9c787c3a1473b34", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-mf-quality-momentum-vs-momentum", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage quality-then-momentum screen compare to a single-factor 12-month momentum screen on NSE 500 over Dec 2006 – Dec 2025, on returns and drawdown?", "question_variants": [ "quality momentum vs momentum only india", "does adding roe filter help momentum nse", "two stage vs single factor momentum india", "quality filter impact on momentum factor nse" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a two-stage quality-then-momentum screen produced a historical net-of-cost CAGR of 13.71% with a maximum drawdown of -68.21%, while a single-factor 12-month momentum screen produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "mf-quality-momentum", "metrics": { "net_cagr_pct": 13.7084, "gross_cagr_pct": 15.5309, "sharpe": 0.4058761264802999, "max_drawdown_pct": -68.2075, "recovery_months": 18.3, "volatility_pct": 33.7747, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.2971, "tax_drag_pct": 1.8225 } }, { "source_record_id": "fe-momentum-19y", "metrics": { "net_cagr_pct": 15.8446, "gross_cagr_pct": 18.1408, "sharpe": 0.603710704760734, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 26.2454, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.4333, "tax_drag_pct": 2.2962 } } ] }, "derived_from": [ "mf-quality-momentum", "fe-momentum-19y" ], "pair_with": null, "approach_labels": [ "a two-stage quality-then-momentum screen", "a single-factor 12-month momentum screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-mf-lowvol-momentum-vs-lowvol", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": "6 vs 12", "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage low-volatility-then-momentum screen compare to a single-factor low-volatility screen on NSE 500 over Dec 2006 – Dec 2025, on returns and drawdown?", "question_variants": [ "low vol momentum vs low vol only india", "does adding momentum help low vol nse", "two stage vs single factor low vol india", "momentum filter impact on low volatility nse" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a two-stage low-volatility-then-momentum screen produced a historical net-of-cost CAGR of 16.02% with a maximum drawdown of -46.26%, while a single-factor low-volatility screen produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "mf-lowvol-momentum", "metrics": { "net_cagr_pct": 16.0199, "gross_cagr_pct": 17.7055, "sharpe": 1.0036101247240723, "max_drawdown_pct": -46.2554, "recovery_months": 16.2, "volatility_pct": 15.9622, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.6086, "tax_drag_pct": 1.6856 } }, { "source_record_id": "fe-lowvol-19y", "metrics": { "net_cagr_pct": 14.5598, "gross_cagr_pct": 15.2753, "sharpe": 1.0188030332093154, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 14.2911, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.1485, "tax_drag_pct": 0.7155 } } ] }, "derived_from": [ "mf-lowvol-momentum", "fe-lowvol-19y" ], "pair_with": null, "approach_labels": [ "a two-stage low-volatility-then-momentum screen", "a single-factor low-volatility screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-lowvol-gfc", "category": "crisis_regime", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2007-12 → 2009-12", "question": "How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?", "question_variants": [ "low volatility strategy 2008 crash india", "low vol factor gfc drawdown nse", "did low volatility hold up in 2008 india", "low volatility nse 2007 2009 historical behaviour" ], "answer": "During the specified crisis window (December 2007 to December 2009), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 5.20% with a maximum drawdown of -37.76% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 5.2047, "gross_cagr_pct": 8.4602, "sharpe": 0.1947131981258849, "max_drawdown_pct": -37.762, "recovery_months": 10.133333333333333, "volatility_pct": 26.7299, "nifty_cagr_pct": -7.9475, "alpha_pct": 13.1522, "tax_drag_pct": 3.2555 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2007, "start_month": 12, "end_year": 2009, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "ced59443f44f458ac761177a258d55ab1531811afa3522f2cfaaefd368b39d90", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-momentum-gfc", "category": "crisis_regime", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2007-12 → 2009-12", "question": "How did a 12-month momentum NSE 500 strategy historically behave on drawdown and recovery through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?", "question_variants": [ "momentum strategy 2008 crash india", "momentum factor gfc drawdown nse", "did momentum survive 2008 india", "momentum nse 2007 2009 historical behaviour" ], "answer": "During the specified crisis window (December 2007 to December 2009), a 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of -31.58% with a maximum drawdown of -73.46% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -31.5775, "gross_cagr_pct": -28.8449, "sharpe": -0.669427569585315, "max_drawdown_pct": -73.4614, "recovery_months": null, "volatility_pct": 47.1709, "nifty_cagr_pct": -7.9475, "alpha_pct": -23.63, "tax_drag_pct": 2.7326 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2007, "start_month": 12, "end_year": 2009, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "57390c142ec9ee959c6c6eac897e4b9631db231dc64bf9d0929e3900587a5a91", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-lowvol-2018crash", "category": "crisis_regime", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2017-12 → 2019-12", "question": "How did a low-volatility NSE 500 strategy historically behave on drawdown and recovery through the 2018 midcap correction window (Dec 2017 – Dec 2019)?", "question_variants": [ "low volatility strategy 2018 midcap crash india", "low vol factor 2018 drawdown nse", "did low volatility hold up in 2018 india", "low volatility nse 2017 2019 historical behaviour" ], "answer": "During the specified crisis window (December 2017 to December 2019), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 1.82% with a maximum drawdown of -10.20% in BacktestIndia's backtesting engine. The Nifty 50 returned 7.50% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 1.8157, "gross_cagr_pct": 2.8813, "sharpe": 0.1628449708444744, "max_drawdown_pct": -10.2041, "recovery_months": null, "volatility_pct": 11.1497, "nifty_cagr_pct": 7.5005, "alpha_pct": -5.6848, "tax_drag_pct": 1.0656 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2017, "start_month": 12, "end_year": 2019, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "4ce5e27d1174eb0d3af1374cada4c175223472bb9f7b697c2e24bc07dccd654c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-momentum-2018crash", "category": "crisis_regime", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2017-12 → 2019-12", "question": "How did a 12-month momentum NSE 500 strategy historically behave on drawdown and recovery through the 2018 midcap correction window (Dec 2017 – Dec 2019)?", "question_variants": [ "momentum strategy 2018 midcap crash india", "momentum factor 2018 drawdown nse", "did momentum survive 2018 india", "momentum nse 2017 2019 historical behaviour" ], "answer": "During the specified crisis window (December 2017 to December 2019), a 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of -6.95% with a maximum drawdown of -23.71% in BacktestIndia's backtesting engine. The Nifty 50 returned 7.50% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -6.9509, "gross_cagr_pct": -5.151, "sharpe": -0.34704988151314187, "max_drawdown_pct": -23.7075, "recovery_months": null, "volatility_pct": 20.0285, "nifty_cagr_pct": 7.5005, "alpha_pct": -14.4514, "tax_drag_pct": 1.7999 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2017, "start_month": 12, "end_year": 2019, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "0e9e37a4e28e051c37d79632dccaf74708e56bf8cdb060fe483102fb030a6da0", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-lowvol-2006-2016", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12", "question": "Did a low-volatility NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the first decade (Dec 2006 – Dec 2016)?", "question_variants": [ "low volatility india first decade 2006 2016", "low vol factor pre 2016 nse backtest", "low volatility historical returns 2006 to 2016 india", "first decade low vol nse 500 returns" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2016, produced a historical net-of-cost CAGR of 15.39% (gross 16.62%) with a maximum drawdown of -37.74% and a Sharpe ratio of 0.96 in BacktestIndia's backtesting engine. The Nifty 50 returned 7.51% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.3901, "gross_cagr_pct": 16.6197, "sharpe": 0.9550009866168337, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 16.1153, "nifty_cagr_pct": 7.5133, "alpha_pct": 7.8768, "tax_drag_pct": 1.2296 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2016, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "122bb263eda8cb0d22b0f95e376ca543649861d32b30b0e426435191d08ef646", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-lowvol-2015-2025", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2025-12", "question": "Did a low-volatility NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "low volatility india recent decade 2015 2025", "low vol factor post 2015 nse backtest", "low volatility historical returns 2015 to 2025 india", "recent decade low vol nse 500 returns" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2025, produced a historical net-of-cost CAGR of 13.35% (gross 13.78%) with a maximum drawdown of -18.83% and a Sharpe ratio of 1.07 in BacktestIndia's backtesting engine. The Nifty 50 returned 12.60% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.3536, "gross_cagr_pct": 13.7799, "sharpe": 1.0663467524753136, "max_drawdown_pct": -18.8283, "recovery_months": 9.166666666666666, "volatility_pct": 12.5228, "nifty_cagr_pct": 12.6015, "alpha_pct": 0.7521, "tax_drag_pct": 0.4263 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a741eb966ea2bcb3b428201be9db5ff289350b7afa1e2b00e53da64e12688df0", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-momentum-2006-2016", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12", "question": "Did a 12-month momentum NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the first decade (Dec 2006 – Dec 2016)?", "question_variants": [ "momentum india first decade 2006 2016", "momentum factor pre 2016 nse backtest", "momentum historical returns 2006 to 2016 india", "first decade momentum nse 500 returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2016, produced a historical net-of-cost CAGR of 13.42% (gross 15.85%) with a maximum drawdown of -73.62% and a Sharpe ratio of 0.46 in BacktestIndia's backtesting engine. The Nifty 50 returned 7.51% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.4186, "gross_cagr_pct": 15.8488, "sharpe": 0.46191616815171715, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 29.0498, "nifty_cagr_pct": 7.5133, "alpha_pct": 5.9053, "tax_drag_pct": 2.4302 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2016, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "f485db99ac3ab99edd62b0c60cb006c780fd15ae6eb9ae53d01d0a8a231b56c7", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-momentum-2015-2025", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2025-12", "question": "Did a 12-month momentum NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "momentum india recent decade 2015 2025", "momentum factor post 2015 nse backtest", "momentum historical returns 2015 to 2025 india", "recent decade momentum nse 500 returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2015 to December 2025, produced a historical net-of-cost CAGR of 17.00% (gross 18.50%) with a maximum drawdown of -30.48% and a Sharpe ratio of 0.72 in BacktestIndia's backtesting engine. The Nifty 50 returned 12.60% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.9951, "gross_cagr_pct": 18.4983, "sharpe": 0.7183113640317687, "max_drawdown_pct": -30.4808, "recovery_months": null, "volatility_pct": 23.6597, "nifty_cagr_pct": 12.6015, "alpha_pct": 4.3936, "tax_drag_pct": 1.5032 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5500f76928f6d885316f187e2c640cf80eea246448174200e2262322ada20bed", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-lowvol-decade-compare", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12 vs 2015-12 → 2025-12", "question": "How did a low-volatility NSE 500 strategy perform in the first decade (Dec 2006 – Dec 2016) compared to the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "low volatility decade comparison india", "low vol pre 2016 vs post 2015 nse", "low volatility regime stability india", "low vol factor across decades india" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2016 in BacktestIndia's backtesting engine: the first decade (Dec 2006 – Dec 2016) produced a historical net-of-cost CAGR of 15.39% with a maximum drawdown of -37.74%, while the more recent decade (Dec 2015 – Dec 2025) produced 13.35% with a maximum drawdown of -18.83%. The Nifty 50 returned 7.51% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "rw-lowvol-2006-2016", "metrics": { "net_cagr_pct": 15.3901, "gross_cagr_pct": 16.6197, "sharpe": 0.9550009866168337, "max_drawdown_pct": -37.7362, "recovery_months": 10.133333333333333, "volatility_pct": 16.1153, "nifty_cagr_pct": 7.5133, "alpha_pct": 7.8768, "tax_drag_pct": 1.2296 } }, { "source_record_id": "rw-lowvol-2015-2025", "metrics": { "net_cagr_pct": 13.3536, "gross_cagr_pct": 13.7799, "sharpe": 1.0663467524753136, "max_drawdown_pct": -18.8283, "recovery_months": 9.166666666666666, "volatility_pct": 12.5228, "nifty_cagr_pct": 12.6015, "alpha_pct": 0.7521, "tax_drag_pct": 0.4263 } } ] }, "derived_from": [ "rw-lowvol-2006-2016", "rw-lowvol-2015-2025" ], "pair_with": null, "approach_labels": [ "the first decade (Dec 2006 – Dec 2016)", "the more recent decade (Dec 2015 – Dec 2025)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-momentum-decade-compare", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12 vs 2015-12 → 2025-12", "question": "How did a 12-month momentum NSE 500 strategy perform in the first decade (Dec 2006 – Dec 2016) compared to the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "momentum decade comparison india", "momentum pre 2016 vs post 2015 nse", "momentum regime stability india", "momentum factor across decades india" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2016 in BacktestIndia's backtesting engine: the first decade (Dec 2006 – Dec 2016) produced a historical net-of-cost CAGR of 13.42% with a maximum drawdown of -73.62%, while the more recent decade (Dec 2015 – Dec 2025) produced 17.00% with a maximum drawdown of -30.48%. The Nifty 50 returned 7.51% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "rw-momentum-2006-2016", "metrics": { "net_cagr_pct": 13.4186, "gross_cagr_pct": 15.8488, "sharpe": 0.46191616815171715, "max_drawdown_pct": -73.6168, "recovery_months": 63.93333333333333, "volatility_pct": 29.0498, "nifty_cagr_pct": 7.5133, "alpha_pct": 5.9053, "tax_drag_pct": 2.4302 } }, { "source_record_id": "rw-momentum-2015-2025", "metrics": { "net_cagr_pct": 16.9951, "gross_cagr_pct": 18.4983, "sharpe": 0.7183113640317687, "max_drawdown_pct": -30.4808, "recovery_months": null, "volatility_pct": 23.6597, "nifty_cagr_pct": 12.6015, "alpha_pct": 4.3936, "tax_drag_pct": 1.5032 } } ] }, "derived_from": [ "rw-momentum-2006-2016", "rw-momentum-2015-2025" ], "pair_with": null, "approach_labels": [ "the first decade (Dec 2006 – Dec 2016)", "the more recent decade (Dec 2015 – Dec 2025)" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-lowvol-demon", "category": "crisis_regime", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2017-12", "question": "How did a low-volatility NSE 500 strategy historically behave through the November 2016 demonetisation window (Dec 2015 – Dec 2017)?", "question_variants": [ "low volatility strategy demonetisation india", "low vol factor 2016 cash crunch nse", "did low vol survive demonetisation india", "low volatility nse 2015 2017 historical behaviour" ], "answer": "During the specified crisis window (December 2015 to December 2017), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 18.94% with a maximum drawdown of -9.78% in BacktestIndia's backtesting engine. The Nifty 50 returned 15.11% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 18.9362, "gross_cagr_pct": 21.2804, "sharpe": 1.604207899442768, "max_drawdown_pct": -9.7836, "recovery_months": 2.033333333333333, "volatility_pct": 11.8041, "nifty_cagr_pct": 15.1073, "alpha_pct": 3.8289, "tax_drag_pct": 2.3442 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2017, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "e416bc4a89ad9f99dc3fbb802fbd65b1f8994c0c248866b3f7f20c79d28bfe43", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-momentum-demon", "category": "crisis_regime", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2017-12", "question": "How did a 12-month momentum NSE 500 strategy historically behave through the November 2016 demonetisation window (Dec 2015 – Dec 2017)?", "question_variants": [ "momentum strategy demonetisation india", "momentum factor 2016 cash crunch nse", "did momentum survive demonetisation india", "momentum nse 2015 2017 historical behaviour" ], "answer": "During the specified crisis window (December 2015 to December 2017), a 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 22.78% with a maximum drawdown of -21.14% in BacktestIndia's backtesting engine. The Nifty 50 returned 15.11% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 22.7765, "gross_cagr_pct": 28.2015, "sharpe": 0.9901543686866037, "max_drawdown_pct": -21.1376, "recovery_months": 5.1, "volatility_pct": 23.003, "nifty_cagr_pct": 15.1073, "alpha_pct": 7.6692, "tax_drag_pct": 5.425 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2017, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "079459795e5913cd31d2ede4e704fd427c1cb4bbe85e6569a2fe5f6859b0a200", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-value-demon", "category": "crisis_regime", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2017-12", "question": "How did a low-PE value NSE 500 strategy historically behave through the November 2016 demonetisation window (Dec 2015 – Dec 2017)?", "question_variants": [ "value strategy demonetisation india", "low pe factor 2016 cash crunch nse", "did value survive demonetisation india", "value nse 2015 2017 historical behaviour" ], "answer": "During the specified crisis window (December 2015 to December 2017), a low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 31.89% with a maximum drawdown of -19.10% in BacktestIndia's backtesting engine. The Nifty 50 returned 15.11% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 31.8878, "gross_cagr_pct": 35.8102, "sharpe": 1.3425495977722095, "max_drawdown_pct": -19.0964, "recovery_months": 4.066666666666666, "volatility_pct": 23.7516, "nifty_cagr_pct": 15.1073, "alpha_pct": 16.7805, "tax_drag_pct": 3.9224 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2017, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "9da912de89ff37435e461afdd327d3478860470a5212b485d6784e75cd711afc", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-quality-demon", "category": "crisis_regime", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2017-12", "question": "How did a high-ROE quality NSE 500 strategy historically behave through the November 2016 demonetisation window (Dec 2015 – Dec 2017)?", "question_variants": [ "quality strategy demonetisation india", "high roe factor 2016 cash crunch nse", "did quality survive demonetisation india", "quality nse 2015 2017 historical behaviour" ], "answer": "During the specified crisis window (December 2015 to December 2017), a high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 26.73% with a maximum drawdown of -20.74% in BacktestIndia's backtesting engine. The Nifty 50 returned 15.11% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 26.7283, "gross_cagr_pct": 30.1502, "sharpe": 1.0938293046756462, "max_drawdown_pct": -20.7395, "recovery_months": 4.066666666666666, "volatility_pct": 24.4355, "nifty_cagr_pct": 15.1073, "alpha_pct": 11.621, "tax_drag_pct": 3.4219 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2017, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "6e9ade0255289b797de60feb2618b476a3b30290a6cb5f3d509aaebbe29c7f6b", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-lowvol-rate2022", "category": "crisis_regime", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2021-12 → 2022-12", "question": "How did a low-volatility NSE 500 strategy historically behave through the 2022 rate-hike window (Dec 2021 – Dec 2022)?", "question_variants": [ "low volatility 2022 rate hike india", "low vol factor inflation regime nse 2022", "defensive factor 2022 india", "low volatility nse 2021 2022 historical behaviour" ], "answer": "During the specified crisis window (December 2021 to December 2022), a low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 2.53% with a maximum drawdown of -8.55% in BacktestIndia's backtesting engine. The Nifty 50 returned 4.33% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 2.5295, "gross_cagr_pct": 3.9492, "sharpe": 0.18823047772486173, "max_drawdown_pct": -8.5549, "recovery_months": 2.066666666666667, "volatility_pct": 13.4385, "nifty_cagr_pct": 4.332, "alpha_pct": -1.8025, "tax_drag_pct": 1.4197 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2021, "start_month": 12, "end_year": 2022, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "4497f48b7e77635d5c27d6256c6336b530dbbfacf82e5eba78bb49a8bc4da9eb", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-momentum-rate2022", "category": "crisis_regime", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2021-12 → 2022-12", "question": "How did a 12-month momentum NSE 500 strategy historically behave through the 2022 rate-hike window (Dec 2021 – Dec 2022)?", "question_variants": [ "momentum 2022 rate hike india", "momentum factor inflation regime nse 2022", "trend factor 2022 india", "momentum nse 2021 2022 historical behaviour" ], "answer": "During the specified crisis window (December 2021 to December 2022), a 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of -5.20% with a maximum drawdown of -19.02% in BacktestIndia's backtesting engine. The Nifty 50 returned 4.33% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -5.2007, "gross_cagr_pct": -0.7382, "sharpe": -0.21771952191595598, "max_drawdown_pct": -19.0183, "recovery_months": null, "volatility_pct": 23.8872, "nifty_cagr_pct": 4.332, "alpha_pct": -9.5327, "tax_drag_pct": 4.4625 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2021, "start_month": 12, "end_year": 2022, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "15c8eb310d3d75bb4fa9d4fe9c1552418fc7c797d6b3023b20cc6a85fef41ee8", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-value-rate2022", "category": "crisis_regime", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2021-12 → 2022-12", "question": "How did a low-PE value NSE 500 strategy historically behave through the 2022 rate-hike window (Dec 2021 – Dec 2022)?", "question_variants": [ "value 2022 rate hike india", "low pe factor inflation regime nse 2022", "value factor 2022 india", "value nse 2021 2022 historical behaviour" ], "answer": "During the specified crisis window (December 2021 to December 2022), a low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 17.77% with a maximum drawdown of -20.73% in BacktestIndia's backtesting engine. The Nifty 50 returned 4.33% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 17.7652, "gross_cagr_pct": 21.2958, "sharpe": 0.6320695165518921, "max_drawdown_pct": -20.7339, "recovery_months": 5.1, "volatility_pct": 28.1064, "nifty_cagr_pct": 4.332, "alpha_pct": 13.4332, "tax_drag_pct": 3.5306 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2021, "start_month": 12, "end_year": 2022, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "1dd18234346c105a4b2d6f0f35445a0a885a25827c68c06e63f182e0e9a9f31a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-quality-rate2022", "category": "crisis_regime", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2021-12 → 2022-12", "question": "How did a high-ROE quality NSE 500 strategy historically behave through the 2022 rate-hike window (Dec 2021 – Dec 2022)?", "question_variants": [ "quality 2022 rate hike india", "high roe factor inflation regime nse 2022", "quality factor 2022 india", "quality nse 2021 2022 historical behaviour" ], "answer": "During the specified crisis window (December 2021 to December 2022), a high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 23.18% with a maximum drawdown of -16.93% in BacktestIndia's backtesting engine. The Nifty 50 returned 4.33% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 23.1778, "gross_cagr_pct": 27.3677, "sharpe": 0.8840486380632626, "max_drawdown_pct": -16.9317, "recovery_months": 5.1, "volatility_pct": 26.2177, "nifty_cagr_pct": 4.332, "alpha_pct": 18.8458, "tax_drag_pct": 4.1899 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2021, "start_month": 12, "end_year": 2022, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "037e9112167b901daa817f8f2a59348095be2072d09942731fd4510f529ddd93", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-value-covid", "category": "crisis_regime", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a low-PE value NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "value strategy covid drawdown india", "low pe factor covid crash nse", "did value recover after covid india", "value nse 2019 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 15.07% with a maximum drawdown of -43.44% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.0692, "gross_cagr_pct": 17.5402, "sharpe": 0.37233200456078597, "max_drawdown_pct": -43.444, "recovery_months": 11.133333333333333, "volatility_pct": 40.4724, "nifty_cagr_pct": 19.4071, "alpha_pct": -4.3379, "tax_drag_pct": 2.471 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "18f8282ea6f5877c2e47932fa5db68e6737f60683e01d2d0608f54bce2c7fc47", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cr-quality-covid", "category": "crisis_regime", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a high-ROE quality NSE 500 strategy historically behave on drawdown and recovery through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "quality strategy covid drawdown india", "high roe factor covid crash nse", "did quality recover after covid india", "quality nse 2019 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 16.69% with a maximum drawdown of -41.86% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.6944, "gross_cagr_pct": 18.9812, "sharpe": 0.4180018986824064, "max_drawdown_pct": -41.8647, "recovery_months": 9.166666666666666, "volatility_pct": 39.9385, "nifty_cagr_pct": 19.4071, "alpha_pct": -2.7127, "tax_drag_pct": 2.2868 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5025fc5f9fca1506a30973bfe490052624db0a8b64157dfc2c3de25ef0189500", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-qm-covid", "category": "crisis_regime", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a two-stage quality-then-momentum NSE 500 strategy historically behave through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "quality momentum covid india backtest", "multi factor covid drawdown nse", "two stage screen covid recovery india", "quality momentum 2019 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a two-stage quality-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 27.70% with a maximum drawdown of -35.88% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 27.6961, "gross_cagr_pct": 31.6033, "sharpe": 0.7764762204398843, "max_drawdown_pct": -35.877, "recovery_months": 8.133333333333333, "volatility_pct": 35.6689, "nifty_cagr_pct": 19.4071, "alpha_pct": 8.289, "tax_drag_pct": 3.9072 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "54358fe33d87d45fd566302bd2c525a304cdcee9b929077be3b6799456f9779e", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lvm-covid", "category": "crisis_regime", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2019-12 → 2021-12", "question": "How did a two-stage low-volatility-then-momentum NSE 500 strategy historically behave through the COVID period (Dec 2019 – Dec 2021)?", "question_variants": [ "low vol momentum covid india backtest", "defensive momentum covid drawdown nse", "two stage low vol momentum covid india", "low vol momentum 2019 2021 historical behaviour" ], "answer": "During the COVID-period window (December 2019 to December 2021), a two-stage low-volatility-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of 20.43% with a maximum drawdown of -18.59% in BacktestIndia's backtesting engine. The Nifty 50 returned 19.41% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 20.4261, "gross_cagr_pct": 23.6398, "sharpe": 0.9907928380845075, "max_drawdown_pct": -18.5935, "recovery_months": 7.133333333333334, "volatility_pct": 20.6159, "nifty_cagr_pct": 19.4071, "alpha_pct": 1.019, "tax_drag_pct": 3.2137 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2019, "start_month": 12, "end_year": 2021, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a271c55aeffce10a82efe0497dd15c582352e41b17670c0422a42479a6013542", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-qm-gfc", "category": "crisis_regime", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2007-12 → 2009-12", "question": "How did a two-stage quality-then-momentum NSE 500 strategy historically behave through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?", "question_variants": [ "quality momentum gfc 2008 india", "multi factor 2008 drawdown nse", "two stage screen 2008 crash india", "quality momentum 2007 2009 historical behaviour" ], "answer": "During the specified crisis window (December 2007 to December 2009), a two-stage quality-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of -11.13% with a maximum drawdown of -68.13% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -11.1257, "gross_cagr_pct": -7.5118, "sharpe": -0.1889985172697425, "max_drawdown_pct": -68.1334, "recovery_months": null, "volatility_pct": 58.8665, "nifty_cagr_pct": -7.9475, "alpha_pct": -3.1782, "tax_drag_pct": 3.6139 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2007, "start_month": 12, "end_year": 2009, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "72905fa3aaacb6fce9f66fcd9157d67126bc791c6637d2703d5bcf5015f26070", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lvm-gfc", "category": "crisis_regime", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2007-12 → 2009-12", "question": "How did a two-stage low-volatility-then-momentum NSE 500 strategy historically behave through the 2008 Global Financial Crisis window (Dec 2007 – Dec 2009)?", "question_variants": [ "low vol momentum gfc 2008 india", "defensive momentum 2008 drawdown nse", "two stage low vol momentum 2008 india", "low vol momentum 2007 2009 historical behaviour" ], "answer": "During the specified crisis window (December 2007 to December 2009), a two-stage low-volatility-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, produced a historical net-of-cost CAGR of -3.26% with a maximum drawdown of -46.21% in BacktestIndia's backtesting engine. The Nifty 50 returned -7.95% per annum over the same window. This is a single historical regime observation. 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Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-qm-largecap", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage quality-then-momentum strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality momentum large cap india", "multi factor nifty 100 historical returns", "quality momentum within nse top 100", "large cap two stage screen india backtest" ], "answer": "A two-stage quality-then-momentum strategy applied to NSE top 100 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 9.54% (gross 10.21%) with a maximum drawdown of -62.93% and a Sharpe ratio of 0.37 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. 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Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-qm-midcap", "category": "cap_segment", "factor": null, "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage quality-then-momentum strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality momentum mid cap india", "multi factor midcap historical returns", "quality momentum within nse mid cap", "mid cap two stage screen india backtest" ], "answer": "A two-stage quality-then-momentum strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 13.64% (gross 15.40%) with a maximum drawdown of -71.53% and a Sharpe ratio of 0.46 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. 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Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-qm-smallcap", "category": "cap_segment", "factor": null, "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage quality-then-momentum strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality momentum small cap india", "multi factor smallcap historical returns", "quality momentum within nse small cap", "small cap two stage screen india backtest" ], "answer": "A two-stage quality-then-momentum strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 16.92% (gross 21.04%) with a maximum drawdown of -72.15% and a Sharpe ratio of 0.53 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.917, "gross_cagr_pct": 21.0413, "sharpe": 0.5252199549357965, "max_drawdown_pct": -72.149, "recovery_months": 18.3, "volatility_pct": 32.2093, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.5057, "tax_drag_pct": 4.1243 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 50 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "54ea313f17bfde4ee1d93920e6d709aaabca7081f87cacb1e9ea855f15d1540c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lvm-largecap", "category": "cap_segment", "factor": null, "universe": "NSE top 100 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage low-volatility-then-momentum strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low vol momentum large cap india", "defensive momentum nifty 100 historical returns", "low vol momentum within nse top 100", "large cap defensive trend strategy india" ], "answer": "A two-stage low-volatility-then-momentum strategy applied to NSE top 100 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.00% (gross 12.75%) with a maximum drawdown of -59.39% and a Sharpe ratio of 0.62 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.9975, "gross_cagr_pct": 12.752, "sharpe": 0.6191229363234996, "max_drawdown_pct": -59.3879, "recovery_months": 46.666666666666664, "volatility_pct": 19.3782, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.5862, "tax_drag_pct": 0.7545 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 50 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "0657326e7d83803ed5d5d6b7fd3ffbed6398a1a71b8a5146b3650db9f06e44b1", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lvm-midcap", "category": "cap_segment", "factor": null, "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage low-volatility-then-momentum strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low vol momentum mid cap india", "defensive momentum midcap historical returns", "low vol momentum within nse mid cap", "mid cap defensive trend strategy india" ], "answer": "A two-stage low-volatility-then-momentum strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 17.18% (gross 19.91%) with a maximum drawdown of -56.70% and a Sharpe ratio of 0.87 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 17.1766, "gross_cagr_pct": 19.9055, "sharpe": 0.8730486656598809, "max_drawdown_pct": -56.7016, "recovery_months": 17.2, "volatility_pct": 19.6743, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.7653, "tax_drag_pct": 2.7289 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 50 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "f38e48caf082438fc2e49d450424f094f35d36f57bb49e483c1bffe89a39e989", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lvm-smallcap", "category": "cap_segment", "factor": null, "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a two-stage low-volatility-then-momentum strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low vol momentum small cap india", "defensive momentum smallcap historical returns", "low vol momentum within nse small cap", "small cap defensive trend strategy india" ], "answer": "A two-stage low-volatility-then-momentum strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 18.33% (gross 22.60%) with a maximum drawdown of -66.64% and a Sharpe ratio of 0.77 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 18.3271, "gross_cagr_pct": 22.6004, "sharpe": 0.7737799776738966, "max_drawdown_pct": -66.6353, "recovery_months": 19.3, "volatility_pct": 23.6851, "nifty_cagr_pct": 10.4113, "alpha_pct": 7.9158, "tax_drag_pct": 4.2733 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 50 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "85ea034443cd2790b70b53f5aa0834e9a6f2dc33d1786c19979da5601915f8b6", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-lowvol-15", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 15, "data_window": "2006-12 → 2025-12", "question": "How did concentrating a low-volatility NSE 500 strategy in 15 stocks compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "concentrated low volatility india 15 stocks", "portfolio size impact low vol nse", "fewer stocks low volatility india returns", "low vol concentration risk nse backtest" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 15-stock portfolio produced a historical net-of-cost CAGR of 13.02% with a maximum drawdown of -38.89%, while a 30-stock portfolio produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.0178, "gross_cagr_pct": 14.0401, "sharpe": 0.8751461208653538, "max_drawdown_pct": -38.8866, "recovery_months": 11.166666666666666, "volatility_pct": 14.875, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.6065, "tax_drag_pct": 1.0223 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "a 15-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 15, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 15 } ] }, "raw_run_hash": "580085b692533452d38917cd8b2b143bbd5abf32824b207b68e74674f0dc41db", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-lowvol-20", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 20-stock low-volatility NSE 500 strategy compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "20 stock low volatility india backtest", "portfolio size 20 vs 30 low vol nse", "low vol top 20 india returns", "low vol concentration 20 stocks nse" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 20-stock portfolio produced a historical net-of-cost CAGR of 13.14% with a maximum drawdown of -37.94%, while a 30-stock portfolio produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.1401, "gross_cagr_pct": 13.9611, "sharpe": 0.9204420461002529, "max_drawdown_pct": -37.9443, "recovery_months": 10.133333333333333, "volatility_pct": 14.2758, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.7288, "tax_drag_pct": 0.821 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "a 20-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "53b40b76ce84b7b0f3293c542da4aaa8e2847dce3d1a0e032e2d55f75596874c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-lowvol-50", "category": "mechanics", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 50, "data_window": "2006-12 → 2025-12", "question": "How did a diversified 50-stock low-volatility NSE 500 strategy compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "50 stock low volatility india backtest", "diversified low vol nse 500 returns", "portfolio size 50 vs 30 low vol nse", "low vol broader portfolio india" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 50-stock portfolio produced a historical net-of-cost CAGR of 14.49% with a maximum drawdown of -44.21%, while a 30-stock portfolio produced 14.56% with a maximum drawdown of -37.74%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.4887, "gross_cagr_pct": 15.1146, "sharpe": 0.9271423419328176, "max_drawdown_pct": -44.211, "recovery_months": 11.166666666666666, "volatility_pct": 15.6273, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.0774, "tax_drag_pct": 0.6259 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-lowvol-19y", "approach_labels": [ "a 50-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 50, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 50 } ] }, "raw_run_hash": "b5cd9bdd7938d9575f54ec87a892401aafe398ad8d554b84d9f3c91703d9a191", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-momentum-15", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 15, "data_window": "2006-12 → 2025-12", "question": "How did concentrating a 12-month momentum NSE 500 strategy in 15 stocks compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "concentrated momentum india 15 stocks", "portfolio size impact momentum nse", "fewer stocks momentum india returns", "momentum concentration risk nse backtest" ], "answer": "Comparing two rebalance frequency variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 15-stock portfolio produced a historical net-of-cost CAGR of 14.24% with a maximum drawdown of -76.23%, while a 30-stock portfolio produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.2432, "gross_cagr_pct": 17.1866, "sharpe": 0.4972097590586319, "max_drawdown_pct": -76.2317, "recovery_months": 67, "volatility_pct": 28.6462, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.8319, "tax_drag_pct": 2.9434 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "a 15-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 15, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 15 } ] }, "raw_run_hash": "faddfa7b212e3a9feda7d8d42cb3aa6f07fc32cbaa2b4dcea011c7c31c30b777", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-momentum-20", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 20-stock 12-month momentum NSE 500 strategy compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "20 stock momentum india backtest", "portfolio size 20 vs 30 momentum nse", "momentum top 20 india returns", "momentum concentration 20 stocks nse" ], "answer": "Comparing two rebalance frequency variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 20-stock portfolio produced a historical net-of-cost CAGR of 14.27% with a maximum drawdown of -74.97%, while a 30-stock portfolio produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.2725, "gross_cagr_pct": 17.0174, "sharpe": 0.5222318294822244, "max_drawdown_pct": -74.9679, "recovery_months": 64.93333333333334, "volatility_pct": 27.3298, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.8612, "tax_drag_pct": 2.7449 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "a 20-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "d863a968b34cad8c15d9709f3829b13fb0a1761ce6f7abe86e75828d4ff797b8", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "ns-momentum-50", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 50, "data_window": "2006-12 → 2025-12", "question": "How did a diversified 50-stock 12-month momentum NSE 500 strategy compare to 30 stocks over Dec 2006 – Dec 2025?", "question_variants": [ "50 stock momentum india backtest", "diversified momentum nse 500 returns", "portfolio size 50 vs 30 momentum nse", "momentum broader portfolio india" ], "answer": "Comparing two rebalance frequency variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: a 50-stock portfolio produced a historical net-of-cost CAGR of 15.12% with a maximum drawdown of -74.07%, while a 30-stock portfolio produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.1242, "gross_cagr_pct": 16.8488, "sharpe": 0.6065830988511509, "max_drawdown_pct": -74.0651, "recovery_months": 63.86666666666667, "volatility_pct": 24.9334, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.7129, "tax_drag_pct": 1.7246 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "a 50-stock portfolio", "a 30-stock portfolio" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 50, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 50 } ] }, "raw_run_hash": "9331e54bced857afa2233ec540b2e70e7d16c58b8ced833c6fabce3dce1af885", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-momentum-rebalance-3m", "category": "mechanics", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 3, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did quarterly rebalancing compare to semi-annual rebalancing for a 12-month momentum NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "quarterly momentum rebalance india", "rebalance frequency 3 months momentum nse", "transaction cost momentum high turnover india", "momentum quarterly vs semi annual nse" ], "answer": "Comparing two rebalance frequency variants of a 12-month momentum strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 17.34% with a maximum drawdown of -73.79%, while semi-annual rebalancing produced 15.84% with a maximum drawdown of -73.62%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 17.3396, "gross_cagr_pct": 21.0238, "sharpe": 0.6672959602714187, "max_drawdown_pct": -73.7929, "recovery_months": 61.9, "volatility_pct": 25.9849, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.9283, "tax_drag_pct": 3.6842 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-momentum-19y", "approach_labels": [ "quarterly rebalancing", "semi-annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "d3024abd4414dfcdfde14d14f266545f59813cfe20d067cb057eee1c1f5c864d", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-value-rebalance-6m", "category": "mechanics", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did semi-annual rebalancing compare to annual rebalancing for a low-PE value NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "semi annual value rebalance india", "rebalance frequency 6 months value nse", "value strategy half year rebalance india", "value semi annual vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a low-PE value strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: semi-annual rebalancing produced a historical net-of-cost CAGR of 14.34% with a maximum drawdown of -69.04%, while annual rebalancing produced 12.46% with a maximum drawdown of -68.02%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.3403, "gross_cagr_pct": 15.8104, "sharpe": 0.4309151827310834, "max_drawdown_pct": -69.0361, "recovery_months": 33.5, "volatility_pct": 33.2788, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.929, "tax_drag_pct": 1.4701 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-value-19y", "approach_labels": [ "semi-annual rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a05d949123fe6e9bc90772afbdac007d74c4eb5305ae29d2fc58eef9064a5a6a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-value-rebalance-3m", "category": "mechanics", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 3, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did quarterly rebalancing compare to annual rebalancing for a low-PE value NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "quarterly value rebalance india", "rebalance frequency 3 months value nse", "value strategy high turnover india", "value quarterly vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a low-PE value strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 16.49% with a maximum drawdown of -68.32%, while annual rebalancing produced 12.46% with a maximum drawdown of -68.02%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.4905, "gross_cagr_pct": 18.606, "sharpe": 0.4826830537423529, "max_drawdown_pct": -68.3231, "recovery_months": 19.3, "volatility_pct": 34.1643, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.0792, "tax_drag_pct": 2.1155 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-value-19y", "approach_labels": [ "quarterly rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "1e8a74c20de33432387314c69e1112826790cdd2b2ce156413631b8aa60e85f6", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-quality-rebalance-6m", "category": "mechanics", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did semi-annual rebalancing compare to annual rebalancing for a high-ROE quality NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "semi annual quality rebalance india", "rebalance frequency 6 months quality nse", "quality strategy half year rebalance india", "quality semi annual vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a high-ROE quality strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: semi-annual rebalancing produced a historical net-of-cost CAGR of 13.37% with a maximum drawdown of -68.62%, while annual rebalancing produced 12.37% with a maximum drawdown of -67.68%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.3661, "gross_cagr_pct": 14.7663, "sharpe": 0.3700544209890638, "max_drawdown_pct": -68.6206, "recovery_months": 37.5, "volatility_pct": 36.1192, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.9548, "tax_drag_pct": 1.4002 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-quality-roe-19y", "approach_labels": [ "semi-annual rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "4128e676890ab65140cd35465c6ddc99841cbe228b39729314593167691d2ec7", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "me-quality-rebalance-3m", "category": "mechanics", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 3, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did quarterly rebalancing compare to annual rebalancing for a high-ROE quality NSE 500 strategy over Dec 2006 – Dec 2025?", "question_variants": [ "quarterly quality rebalance india", "rebalance frequency 3 months quality nse", "quality strategy high turnover india", "quality quarterly vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a high-ROE quality strategy on NSE 500 stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 15.56% with a maximum drawdown of -69.50%, while annual rebalancing produced 12.37% with a maximum drawdown of -67.68%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.5633, "gross_cagr_pct": 17.6447, "sharpe": 0.4305836361910663, "max_drawdown_pct": -69.5023, "recovery_months": 31.466666666666665, "volatility_pct": 36.1447, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.152, "tax_drag_pct": 2.0814 }, "run_status": "ok" }, "derived_from": null, "pair_with": "fe-quality-roe-19y", "approach_labels": [ "quarterly rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "bd5d8c7dcb51b3308a4051de9a185c8107b7c60ced7b1bfc444253423a16ad54", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-lowvol-2010-2015", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2010-12 → 2015-12", "question": "Did a low-volatility NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2010 – Dec 2015?", "question_variants": [ "low volatility 2010 2015 india", "low vol factor 5 year window nse pre 2015", "low volatility post gfc decade india", "low vol nse 2010 to 2015 returns" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2010 to December 2015, produced a historical net-of-cost CAGR of 14.66% (gross 16.13%) with a maximum drawdown of -10.18% and a Sharpe ratio of 1.25 in BacktestIndia's backtesting engine. The Nifty 50 returned 5.31% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.6565, "gross_cagr_pct": 16.1308, "sharpe": 1.246481322876164, "max_drawdown_pct": -10.1811, "recovery_months": 2.033333333333333, "volatility_pct": 11.7583, "nifty_cagr_pct": 5.3127, "alpha_pct": 9.3438, "tax_drag_pct": 1.4743 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2010, "start_month": 12, "end_year": 2015, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "78fe545a6a6d9e45b9ee33418f57b6a8bb17737d307eb5d7b6feb403d301682e", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-lowvol-2015-2020", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2020-12", "question": "Did a low-volatility NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2015 – Dec 2020?", "question_variants": [ "low volatility 2015 2020 india", "low vol factor 5 year window nse mid", "low volatility 2018 crash window india", "low vol nse 2015 to 2020 returns" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2020, produced a historical net-of-cost CAGR of 10.71% (gross 11.84%) with a maximum drawdown of -18.83% and a Sharpe ratio of 0.79 in BacktestIndia's backtesting engine. The Nifty 50 returned 11.96% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 10.7132, "gross_cagr_pct": 11.8427, "sharpe": 0.7907200944988034, "max_drawdown_pct": -18.8283, "recovery_months": 9.166666666666666, "volatility_pct": 13.5487, "nifty_cagr_pct": 11.9589, "alpha_pct": -1.2457, "tax_drag_pct": 1.1295 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2020, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "e1f9ee9c3b534a269833f58056ef0b4eef281f628453951bb337f9abdf8c853f", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-lowvol-2020-2025", "category": "factor_existence", "factor": "low_volatility", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2020-12 → 2025-12", "question": "Did a low-volatility NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2020 – Dec 2025?", "question_variants": [ "low volatility 2020 2025 india", "low vol factor 5 year window nse recent", "low volatility post covid era india", "low vol nse 2020 to 2025 returns" ], "answer": "A low-volatility strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2020 to December 2025, produced a historical net-of-cost CAGR of 15.48% (gross 15.95%) with a maximum drawdown of -14.44% and a Sharpe ratio of 1.39 in BacktestIndia's backtesting engine. The Nifty 50 returned 13.25% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.4761, "gross_cagr_pct": 15.9531, "sharpe": 1.3941174831125147, "max_drawdown_pct": -14.4379, "recovery_months": null, "volatility_pct": 11.101, "nifty_cagr_pct": 13.2481, "alpha_pct": 2.228, "tax_drag_pct": 0.477 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2020, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "b14c64bbafe69fe57ac6069ef70b86c74076b393f5ef4573cb38e354fdb56ceb", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-momentum-2010-2015", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2010-12 → 2015-12", "question": "Did a 12-month momentum NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2010 – Dec 2015?", "question_variants": [ "momentum 2010 2015 india", "momentum factor 5 year window nse pre 2015", "momentum post gfc decade india", "momentum nse 2010 to 2015 returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2010 to December 2015, produced a historical net-of-cost CAGR of 22.49% (gross 25.43%) with a maximum drawdown of -20.62% and a Sharpe ratio of 1.28 in BacktestIndia's backtesting engine. The Nifty 50 returned 5.31% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 22.4878, "gross_cagr_pct": 25.4254, "sharpe": 1.2845269606587566, "max_drawdown_pct": -20.6157, "recovery_months": 9.133333333333333, "volatility_pct": 17.5067, "nifty_cagr_pct": 5.3127, "alpha_pct": 17.1751, "tax_drag_pct": 2.9376 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2010, "start_month": 12, "end_year": 2015, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "cc1de4e39dd4d7aa6ecc998f5da8ce02421232ccea6dc682d3ef5b76c36306bf", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-momentum-2015-2020", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2020-12", "question": "Did a 12-month momentum NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2015 – Dec 2020?", "question_variants": [ "momentum 2015 2020 india", "momentum factor 5 year window nse mid", "momentum 2018 crash window india", "momentum nse 2015 to 2020 returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2015 to December 2020, produced a historical net-of-cost CAGR of 12.34% (gross 14.84%) with a maximum drawdown of -27.85% and a Sharpe ratio of 0.50 in BacktestIndia's backtesting engine. The Nifty 50 returned 11.96% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.3435, "gross_cagr_pct": 14.8383, "sharpe": 0.5035329811823627, "max_drawdown_pct": -27.8485, "recovery_months": 6.1, "volatility_pct": 24.5138, "nifty_cagr_pct": 11.9589, "alpha_pct": 0.3846, "tax_drag_pct": 2.4948 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2020, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "7454294517ab4dfa9350a3ba7f90f7f2df0afb27d18c5bdbdf74aa1499bc1620", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-momentum-2020-2025", "category": "factor_existence", "factor": "momentum", "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2020-12 → 2025-12", "question": "Did a 12-month momentum NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2020 – Dec 2025?", "question_variants": [ "momentum 2020 2025 india", "momentum factor 5 year window nse recent", "momentum post covid era india", "momentum nse 2020 to 2025 returns" ], "answer": "A 12-month momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2020 to December 2025, produced a historical net-of-cost CAGR of 20.86% (gross 22.28%) with a maximum drawdown of -30.30% and a Sharpe ratio of 0.91 in BacktestIndia's backtesting engine. The Nifty 50 returned 13.25% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 20.8626, "gross_cagr_pct": 22.2771, "sharpe": 0.9052351064220804, "max_drawdown_pct": -30.303, "recovery_months": null, "volatility_pct": 23.0466, "nifty_cagr_pct": 13.2481, "alpha_pct": 7.6145, "tax_drag_pct": 1.4145 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2020, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "8aad8a16778fc1426415de39d6373c50ec1ae87cf5f3c9de0e1c2c86fde2adb5", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-value-2010-2015", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2010-12 → 2015-12", "question": "Did a low-PE value NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2010 – Dec 2015?", "question_variants": [ "value 2010 2015 india", "low pe factor 5 year window nse pre 2015", "value post gfc decade india", "value nse 2010 to 2015 returns" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2010 to December 2015, produced a historical net-of-cost CAGR of 1.05% (gross 2.43%) with a maximum drawdown of -49.04% and a Sharpe ratio of 0.03 in BacktestIndia's backtesting engine. The Nifty 50 returned 5.31% per annum over the same window. 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Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-value-2015-2020", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2020-12", "question": "Did a low-PE value NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2015 – Dec 2020?", "question_variants": [ "value 2015 2020 india", "low pe factor 5 year window nse mid", "value 2018 crash window india", "value nse 2015 to 2020 returns" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2020, produced a historical net-of-cost CAGR of 0.41% (gross 1.12%) with a maximum drawdown of -67.90% and a Sharpe ratio of 0.01 in BacktestIndia's backtesting engine. The Nifty 50 returned 11.96% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 0.4087, "gross_cagr_pct": 1.1167, "sharpe": 0.012965258005716192, "max_drawdown_pct": -67.8984, "recovery_months": null, "volatility_pct": 31.5223, "nifty_cagr_pct": 11.9589, "alpha_pct": -11.5502, "tax_drag_pct": 0.708 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2020, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "cb2af0aa80e1f5628d51205f41b5862ee06c9125c3b4adccdb86126dabe23ac6", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-value-2020-2025", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2020-12 → 2025-12", "question": "Did a low-PE value NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2020 – Dec 2025?", "question_variants": [ "value 2020 2025 india", "low pe factor 5 year window nse recent", "value post covid era india", "value nse 2020 to 2025 returns" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2020 to December 2025, produced a historical net-of-cost CAGR of 24.88% (gross 25.73%) with a maximum drawdown of -26.26% and a Sharpe ratio of 1.10 in BacktestIndia's backtesting engine. The Nifty 50 returned 13.25% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 24.8753, "gross_cagr_pct": 25.7289, "sharpe": 1.0967799280208999, "max_drawdown_pct": -26.2571, "recovery_months": null, "volatility_pct": 22.6803, "nifty_cagr_pct": 13.2481, "alpha_pct": 11.6272, "tax_drag_pct": 0.8536 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2020, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "64a8f62c6a4eb691b40e144a19e738291f9ba58868169a45bdbbc58c07914f6a", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-quality-2010-2015", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2010-12 → 2015-12", "question": "Did a high-ROE quality NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2010 – Dec 2015?", "question_variants": [ "quality 2010 2015 india", "high roe factor 5 year window nse pre 2015", "quality post gfc decade india", "quality nse 2010 to 2015 returns" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2010 to December 2015, produced a historical net-of-cost CAGR of -1.26% (gross -0.37%) with a maximum drawdown of -47.92% and a Sharpe ratio of -0.03 in BacktestIndia's backtesting engine. The Nifty 50 returned 5.31% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -1.2577, "gross_cagr_pct": -0.3658, "sharpe": -0.028963445220374837, "max_drawdown_pct": -47.9236, "recovery_months": null, "volatility_pct": 43.4224, "nifty_cagr_pct": 5.3127, "alpha_pct": -6.5704, "tax_drag_pct": 0.8919 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2010, "start_month": 12, "end_year": 2015, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "c8029870e7d94ecb5de42b2fbc1b2ecb98a4b8e57428deb0d12487496677e2d9", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-quality-2015-2020", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2020-12", "question": "Did a high-ROE quality NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2015 – Dec 2020?", "question_variants": [ "quality 2015 2020 india", "high roe factor 5 year window nse mid", "quality 2018 crash window india", "quality nse 2015 to 2020 returns" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2020, produced a historical net-of-cost CAGR of -1.45% (gross -0.78%) with a maximum drawdown of -67.57% and a Sharpe ratio of -0.05 in BacktestIndia's backtesting engine. The Nifty 50 returned 11.96% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": -1.4482, "gross_cagr_pct": -0.7821, "sharpe": -0.046726288638377314, "max_drawdown_pct": -67.5674, "recovery_months": null, "volatility_pct": 30.994, "nifty_cagr_pct": 11.9589, "alpha_pct": -13.4071, "tax_drag_pct": 0.6661 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2020, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a06e8a8886e2d6004934b2d19f3e4ed49768756c77d5c9876a22d34a68e5c953", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "r5-quality-2020-2025", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2020-12 → 2025-12", "question": "Did a high-ROE quality NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the 5-year window Dec 2020 – Dec 2025?", "question_variants": [ "quality 2020 2025 india", "high roe factor 5 year window nse recent", "quality post covid era india", "quality nse 2020 to 2025 returns" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2020 to December 2025, produced a historical net-of-cost CAGR of 27.03% (gross 27.75%) with a maximum drawdown of -24.99% and a Sharpe ratio of 1.21 in BacktestIndia's backtesting engine. The Nifty 50 returned 13.25% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 27.0267, "gross_cagr_pct": 27.7529, "sharpe": 1.2142111573342045, "max_drawdown_pct": -24.9866, "recovery_months": null, "volatility_pct": 22.2586, "nifty_cagr_pct": 13.2481, "alpha_pct": 13.7786, "tax_drag_pct": 0.7262 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2020, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "c98253e773c041277711cd5dad90fcf2a97aadab5f26796933fcbc06e4f7960b", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-value-2006-2016", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12", "question": "Did a low-PE value NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the first decade (Dec 2006 – Dec 2016)?", "question_variants": [ "value india first decade 2006 2016", "low pe factor pre 2016 nse backtest", "value historical returns 2006 to 2016 india", "first decade value nse 500 returns" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2016, produced a historical net-of-cost CAGR of 13.42% (gross 14.89%) with a maximum drawdown of -65.00% and a Sharpe ratio of 0.35 in BacktestIndia's backtesting engine. The Nifty 50 returned 7.51% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.4216, "gross_cagr_pct": 14.8867, "sharpe": 0.34765326137945635, "max_drawdown_pct": -65.0032, "recovery_months": 13.2, "volatility_pct": 38.6063, "nifty_cagr_pct": 7.5133, "alpha_pct": 5.9083, "tax_drag_pct": 1.4651 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2016, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "b1c3877ae8f24f8224b4c28ebae2719f1dda2239c1df3222d5bd065a544cd226", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-value-2015-2025", "category": "factor_existence", "factor": "value_pe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2025-12", "question": "Did a low-PE value NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "value india recent decade 2015 2025", "low pe factor post 2015 nse backtest", "value historical returns 2015 to 2025 india", "recent decade value nse 500 returns" ], "answer": "A low-PE value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2025, produced a historical net-of-cost CAGR of 12.12% (gross 12.75%) with a maximum drawdown of -67.90% and a Sharpe ratio of 0.44 in BacktestIndia's backtesting engine. The Nifty 50 returned 12.60% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.1213, "gross_cagr_pct": 12.7498, "sharpe": 0.440608367205573, "max_drawdown_pct": -67.8984, "recovery_months": 40.56666666666667, "volatility_pct": 27.5104, "nifty_cagr_pct": 12.6015, "alpha_pct": -0.4802, "tax_drag_pct": 0.6285 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "b26fe2682baafb885c83bec246d2e4833bfea6bab4872a03f9643515430e62cd", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-quality-2006-2016", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2016-12", "question": "Did a high-ROE quality NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the first decade (Dec 2006 – Dec 2016)?", "question_variants": [ "quality india first decade 2006 2016", "high roe factor pre 2016 nse backtest", "quality historical returns 2006 to 2016 india", "first decade quality nse 500 returns" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2016, produced a historical net-of-cost CAGR of 12.77% (gross 14.02%) with a maximum drawdown of -65.54% and a Sharpe ratio of 0.29 in BacktestIndia's backtesting engine. The Nifty 50 returned 7.51% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.7747, "gross_cagr_pct": 14.0154, "sharpe": 0.2924312285381395, "max_drawdown_pct": -65.5431, "recovery_months": 13.2, "volatility_pct": 43.6844, "nifty_cagr_pct": 7.5133, "alpha_pct": 5.2614, "tax_drag_pct": 1.2407 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2016, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "23e898ebdfb564a4d67c045a6a2090172ecc90143e95e3aad9acce38161fd328", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "rw-quality-2015-2025", "category": "factor_existence", "factor": "quality_roe", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2015-12 → 2025-12", "question": "Did a high-ROE quality NSE 500 strategy show a measurable historical return spread vs the Nifty 50 over the more recent decade (Dec 2015 – Dec 2025)?", "question_variants": [ "quality india recent decade 2015 2025", "high roe factor post 2015 nse backtest", "quality historical returns 2015 to 2025 india", "recent decade quality nse 500 returns" ], "answer": "A high-ROE quality strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2015 to December 2025, produced a historical net-of-cost CAGR of 12.11% (gross 12.64%) with a maximum drawdown of -67.57% and a Sharpe ratio of 0.44 in BacktestIndia's backtesting engine. The Nifty 50 returned 12.60% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.1086, "gross_cagr_pct": 12.6403, "sharpe": 0.4442900110522147, "max_drawdown_pct": -67.5674, "recovery_months": 38.53333333333333, "volatility_pct": 27.2538, "nifty_cagr_pct": 12.6015, "alpha_pct": -0.4929, "tax_drag_pct": 0.5317 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2015, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "9dc717675c12f96ad2a9dbca78316100d280e62f7e1d37d805b2169407f64634", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-smallcap", "category": "cap_segment", "factor": "value_pe", "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "small cap value strategy india backtest", "low pe in smallcap stocks india returns", "small cap value nse vs nifty 50", "value within nse small cap stocks" ], "answer": "A low-PE value strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.01% (gross 12.47%) with a maximum drawdown of -73.28% and a Sharpe ratio of 0.32 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.012, "gross_cagr_pct": 12.4721, "sharpe": 0.32495160064733625, "max_drawdown_pct": -73.2823, "recovery_months": 40.56666666666667, "volatility_pct": 33.8882, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.6007, "tax_drag_pct": 1.4601 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "5e85a7194760f4f3409b428cba15f5c3abdc708cb645aa3d6d13c4008b8e0f65", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-quality-smallcap", "category": "cap_segment", "factor": "quality_roe", "universe": "NSE ranks 301–500 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a high-ROE quality strategy restricted to NSE ranks 301–500 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "small cap quality strategy india backtest", "high roe in smallcap stocks india returns", "small cap quality nse vs nifty 50", "quality within nse small cap stocks" ], "answer": "A high-ROE quality strategy applied to NSE ranks 301–500 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.34% (gross 12.87%) with a maximum drawdown of -71.66% and a Sharpe ratio of 0.31 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.3395, "gross_cagr_pct": 12.8681, "sharpe": 0.310128593241373, "max_drawdown_pct": -71.6622, "recovery_months": 39.53333333333333, "volatility_pct": 36.5639, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.9282, "tax_drag_pct": 1.5286 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 301, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "f8abf174b91151f98c68728288d2caa4a57e27deb131c93560fe12f54e910d1f", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-value-momentum-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite low-PE-and-momentum z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "value momentum composite india backtest", "low pe and momentum combined screen nse", "value plus momentum factor india", "composite value momentum nse 500" ], "answer": "A composite low-PE-and-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 16.33% (gross 18.67%) with a maximum drawdown of -73.69% and a Sharpe ratio of 0.62 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.3259, "gross_cagr_pct": 18.6724, "sharpe": 0.6202866951933688, "max_drawdown_pct": -73.6874, "recovery_months": 59.86666666666667, "volatility_pct": 26.3199, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.9146, "tax_drag_pct": 2.3465 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1, "Momentum": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "a06692c0c57e8cdefcc839465b6de6601682a6e80e09fa4f66fc0465984607f6", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-lowvol-quality-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite low-volatility-and-high-ROE z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low volatility quality composite india", "low vol and high roe combined screen nse", "defensive quality factor india", "composite low vol quality nse 500" ], "answer": "A composite low-volatility-and-high-ROE strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 14.07% (gross 15.04%) with a maximum drawdown of -65.54% and a Sharpe ratio of 0.42 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.0697, "gross_cagr_pct": 15.036, "sharpe": 0.4179512373915431, "max_drawdown_pct": -65.543, "recovery_months": 14.233333333333333, "volatility_pct": 33.6634, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.6584, "tax_drag_pct": 0.9663 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1, "ROE": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "5506e88a91ad45af45b33a4a9b9c2dbc81f132a19c80c983d09de20a9b33bedf", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-quality-value-sequential", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a two-stage screen (high-ROE quality first, then low-PE value) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality then value india backtest", "two stage roe then pe screen nse", "quality before value sequential india", "quality value sequential nse 500" ], "answer": "A two-stage quality-then-low-PE-value strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.50% (gross 12.38%) with a maximum drawdown of -68.39% and a Sharpe ratio of 0.34 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.4951, "gross_cagr_pct": 12.3756, "sharpe": 0.33595178022254213, "max_drawdown_pct": -68.3897, "recovery_months": 40.56666666666667, "volatility_pct": 34.2165, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.0838, "tax_drag_pct": 0.8805 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 60 }, { "filter": { "type": "combined_zscore", "metrics": { "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "798a19cc978effe9c76d7670c1631c4349d9e4122c41d7d6b590cd1aa6f98873", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-triple-lvqm", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "Did a three-stage screen (low-volatility, then high-ROE quality, then 12-month momentum) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "three stage low vol quality momentum india", "multi factor low vol roe momentum nse", "triple filter strategy india backtest", "low vol quality momentum sequential nse 500" ], "answer": "A three-stage low-vol-then-quality-then-momentum strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 13.57% (gross 15.86%) with a maximum drawdown of -62.99% and a Sharpe ratio of 0.62 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.5738, "gross_cagr_pct": 15.8579, "sharpe": 0.6161635932671671, "max_drawdown_pct": -62.9888, "recovery_months": 18.3, "volatility_pct": 22.0295, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.1625, "tax_drag_pct": 2.2841 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 100 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1 } }, "n_stocks": 50 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "72b182447187037b8a69ce6775ac902d781bc58b15959866e534ba8d7899deab", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-four-factor-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 6, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a four-factor composite z-score screen (low-volatility, momentum, high-ROE, low-PE) on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "four factor composite india backtest", "low vol momentum quality value blend nse", "all factors combined screen india", "four factor composite nse 500" ], "answer": "A composite four-factor (low-vol, momentum, high-ROE, low-PE) strategy applied to NSE 500 stocks, rebalanced semi-annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 16.52% (gross 18.62%) with a maximum drawdown of -67.29% and a Sharpe ratio of 0.61 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.5216, "gross_cagr_pct": 18.6213, "sharpe": 0.6123785300986512, "max_drawdown_pct": -67.2891, "recovery_months": 21.3, "volatility_pct": 26.9793, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.1103, "tax_drag_pct": 2.0997 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1, "Momentum": 1, "ROE": 1, "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "436b48506b6055d73aacd42009067f70fa7cb22278850659048cbe9a5a784af9", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-quality-growth-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite high-ROE-and-3-year-EPS-growth z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "quality growth composite india", "roe and eps growth combined nse", "quality plus growth factor india", "composite quality growth nse 500" ], "answer": "A composite high-ROE-and-EPS-growth strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.74% (gross 12.78%) with a maximum drawdown of -69.09% and a Sharpe ratio of 0.34 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.7387, "gross_cagr_pct": 12.7829, "sharpe": 0.34402233303135205, "max_drawdown_pct": -69.0944, "recovery_months": 39.53333333333333, "volatility_pct": 34.1219, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.3274, "tax_drag_pct": 1.0442 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE": 1, "EPS_3Y_Growth": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "23a83fb6a303f17de0484554284bb314d9d9b5d2b02927def0df64e03adf8e0d", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-value-pb-19y", "category": "factor_existence", "factor": "value_pb", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a low-P/B value factor strategy on profitable NSE 500 companies show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "low pb value india backtest", "price to book factor nse 500", "low pb stocks historical returns india", "book value screen india returns" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 10.51% (gross 11.33%) with a maximum drawdown of -78.49% and a Sharpe ratio of 0.27 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 10.5129, "gross_cagr_pct": 11.3304, "sharpe": 0.27081944182569884, "max_drawdown_pct": -78.4924, "recovery_months": 38.53333333333333, "volatility_pct": 38.8189, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.1016, "tax_drag_pct": 0.8175 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "P/B", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "P/B": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "67ab186e3ea7353153f2b43e02c738bd3e45e4becdac67e00b1162fde58d19bc", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-pb-largecap", "category": "cap_segment", "factor": "value_pb", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-P/B value strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "large cap low pb india backtest", "price to book nifty 100 historical returns", "large cap pb screen nse vs nifty 50", "low pb within nse top 100" ], "answer": "A the strategy strategy applied to NSE top 100 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 7.80% (gross 8.10%) with a maximum drawdown of -58.76% and a Sharpe ratio of 0.26 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 7.7975, "gross_cagr_pct": 8.0992, "sharpe": 0.2562166707870354, "max_drawdown_pct": -58.7637, "recovery_months": 9.166666666666666, "volatility_pct": 30.433, "nifty_cagr_pct": 10.4113, "alpha_pct": -2.6138, "tax_drag_pct": 0.3017 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "P/B", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "P/B": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "6c28411bef36dc99338d2702a68e66d5fe8a58419233f55dbcfd9558542bba2c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-value-pb-midcap", "category": "cap_segment", "factor": "value_pb", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a low-P/B value strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap low pb india backtest", "price to book midcap historical returns", "mid cap pb screen nse vs nifty 50", "low pb within nse mid cap" ], "answer": "A the strategy strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 9.00% (gross 9.63%) with a maximum drawdown of -81.93% and a Sharpe ratio of 0.21 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 9.0016, "gross_cagr_pct": 9.6296, "sharpe": 0.21262366459858492, "max_drawdown_pct": -81.9304, "recovery_months": 40.6, "volatility_pct": 42.3358, "nifty_cagr_pct": 10.4113, "alpha_pct": -1.4097, "tax_drag_pct": 0.628 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "P/B", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "P/B": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "252fdc4795f1e4febd1262265c7f568e74a1c9a35e4a4b4a5e67d3e2b26ce223", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fc-pe-vs-pb", "category": "factor_comparison", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "How did a low-PE value strategy compare to a low-P/B value strategy on NSE 500 over Dec 2006 – Dec 2025?", "question_variants": [ "pe vs pb value factor india", "low pe or low pb nse 500", "earnings vs book value screen india", "pe pb comparison value factor nse" ], "answer": "Comparing two approaches on NSE 500 over December 2006 to December 2025 in BacktestIndia's backtesting engine: a low-PE value screen produced a historical net-of-cost CAGR of 12.46% with a maximum drawdown of -68.02%, while a low-P/B value screen produced 10.51% with a maximum drawdown of -78.49%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either approach will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "derived", "components": [ { "source_record_id": "fe-value-19y", "metrics": { "net_cagr_pct": 12.4638, "gross_cagr_pct": 13.4195, "sharpe": 0.3706677159417686, "max_drawdown_pct": -68.0238, "recovery_months": 40.56666666666667, "volatility_pct": 33.6254, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.0525, "tax_drag_pct": 0.9557 } }, { "source_record_id": "fe-value-pb-19y", "metrics": { "net_cagr_pct": 10.5129, "gross_cagr_pct": 11.3304, "sharpe": 0.27081944182569884, "max_drawdown_pct": -78.4924, "recovery_months": 38.53333333333333, "volatility_pct": 38.8189, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.1016, "tax_drag_pct": 0.8175 } } ] }, "derived_from": [ "fe-value-19y", "fe-value-pb-19y" ], "pair_with": null, "approach_labels": [ "a low-PE value screen", "a low-P/B value screen" ], "strategy_config": null, "raw_run_hash": null, "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-eps-3y-growth-19y", "category": "factor_existence", "factor": "growth_eps_3y", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a 3-year-EPS-growth factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "eps growth factor india backtest", "earnings growth screen nse 500", "high eps growth stocks india returns", "growth factor 3 year eps india" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.80% (gross 13.02%) with a maximum drawdown of -79.35% and a Sharpe ratio of 0.39 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.8033, "gross_cagr_pct": 13.0162, "sharpe": 0.3852148986939967, "max_drawdown_pct": -79.3539, "recovery_months": 63.93333333333333, "volatility_pct": 30.6407, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.392, "tax_drag_pct": 1.2129 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "EPS_3Y_Growth": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "7c4a4109f75b36016c287265416991b3a39fd8875e62612cf9f6310d5a76f1b3", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-eps-1y-growth-19y", "category": "factor_existence", "factor": "growth_eps_1y", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a 1-year-EPS-growth factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "annual eps growth factor india", "1 year earnings growth screen nse", "short term eps growth stocks india", "growth factor 1 year eps india" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 12.75% (gross 14.16%) with a maximum drawdown of -75.36% and a Sharpe ratio of 0.42 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.752, "gross_cagr_pct": 14.1623, "sharpe": 0.41620002058881295, "max_drawdown_pct": -75.3571, "recovery_months": 20.266666666666666, "volatility_pct": 30.6391, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.3407, "tax_drag_pct": 1.4103 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "EPS_1Y_Growth": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "00c0ce0745d9df8fd535c26b34b50518f794e7cb0facb55b31cf20fc334faa16", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-roe-growth-19y", "category": "factor_existence", "factor": "growth_roe_1y", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a 1-year-ROE-growth (profitability improvement) factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "roe growth factor india backtest", "profitability improvement screen nse", "improving roe stocks india returns", "growth factor 1 year roe india" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 8.59% (gross 9.84%) with a maximum drawdown of -67.85% and a Sharpe ratio of 0.25 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 8.5912, "gross_cagr_pct": 9.8394, "sharpe": 0.24788077106504522, "max_drawdown_pct": -67.8524, "recovery_months": 9.133333333333333, "volatility_pct": 34.6585, "nifty_cagr_pct": 10.4113, "alpha_pct": -1.8201, "tax_drag_pct": 1.2482 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ROE_1Y_Growth": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "e0d159811704d3d0f2b74966c1bb5b67f15a37507d09499edbba2922a660a132", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-growth-composite", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite EPS-growth-and-ROE-growth z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "growth composite india backtest", "eps and roe growth combined nse", "blended growth factor india", "composite growth nse 500" ], "answer": "A composite EPS-and-ROE growth strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.86% (gross 13.24%) with a maximum drawdown of -72.16% and a Sharpe ratio of 0.36 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.8624, "gross_cagr_pct": 13.2405, "sharpe": 0.3645959523695494, "max_drawdown_pct": -72.1639, "recovery_months": 13.2, "volatility_pct": 32.5356, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.4511, "tax_drag_pct": 1.3781 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "EPS_3Y_Growth": 1, "ROE_1Y_Growth": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "9cc81fbc0b2edd84e3375fd78a23b73f57121295d541b93c825eedd97a9ed21f", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-lowvol12m-19y", "category": "factor_existence", "factor": "low_volatility_12m", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a 12-month-volatility low-vol factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "12 month volatility factor india", "short window low vol screen nse", "1 year volatility low vol india returns", "low vol 12 month vs 36 month india" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 11.43% (gross 12.77%) with a maximum drawdown of -44.78% and a Sharpe ratio of 0.71 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.4344, "gross_cagr_pct": 12.7711, "sharpe": 0.7051985269643655, "max_drawdown_pct": -44.7794, "recovery_months": 16.2, "volatility_pct": 16.2144, "nifty_cagr_pct": 10.4113, "alpha_pct": 1.0231, "tax_drag_pct": 1.3367 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility_12M": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "df8e75dbbae5a84d3d342d9478ba0b4e5dda3bb584b7b25b233c0ce5fae89ad4", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol12m-largecap", "category": "cap_segment", "factor": "low_volatility_12m", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month-volatility low-vol strategy restricted to the NSE top 100 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "12 month low vol large cap india", "short window low vol nifty 100", "1 year volatility within nse top 100", "12m vol large cap nse returns" ], "answer": "A the strategy strategy applied to NSE top 100 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 14.35% (gross 14.97%) with a maximum drawdown of -47.83% and a Sharpe ratio of 0.81 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.3486, "gross_cagr_pct": 14.9658, "sharpe": 0.8079625822092058, "max_drawdown_pct": -47.8297, "recovery_months": 13.2, "volatility_pct": 17.759, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.9373, "tax_drag_pct": 0.6172 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility_12M": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "b17246126e050b357d0ed3f41c47be111e8174e01e620cf37b07c29930a34495", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol12m-midcap", "category": "cap_segment", "factor": "low_volatility_12m", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a 12-month-volatility low-vol strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "12 month low vol mid cap india", "short window low vol midcap", "1 year volatility within nse mid cap", "12m vol mid cap nse returns" ], "answer": "A the strategy strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 13.41% (gross 15.36%) with a maximum drawdown of -40.33% and a Sharpe ratio of 0.75 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 13.4124, "gross_cagr_pct": 15.3633, "sharpe": 0.7514187851261309, "max_drawdown_pct": -40.3347, "recovery_months": 11.166666666666666, "volatility_pct": 17.8495, "nifty_cagr_pct": 10.4113, "alpha_pct": 3.0011, "tax_drag_pct": 1.9509 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility_12M": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "a8a63ee0df84e1c79dc3a978f05783e1aba340eec85d9e33c2e0ac85ec13e55d", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "fe-liquidity-19y", "category": "factor_existence", "factor": "liquidity_high", "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a high-liquidity (scaled-turnover) factor strategy on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "liquidity factor india backtest", "high turnover screen nse 500", "scaled turnover stocks india returns", "liquidity premium india" ], "answer": "A the strategy strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 6.71% (gross 7.14%) with a maximum drawdown of -76.89% and a Sharpe ratio of 0.18 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 6.7067, "gross_cagr_pct": 7.1367, "sharpe": 0.18098109298186996, "max_drawdown_pct": -76.8884, "recovery_months": 99.43333333333334, "volatility_pct": 37.0576, "nifty_cagr_pct": 10.4113, "alpha_pct": -3.7046, "tax_drag_pct": 0.43 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ScaledTurnover": 1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "59439492a4468d7424a116883501ecdfd9db58ac772722d97bcc423a0b238bcf", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "mf-liquidity-value", "category": "factor_existence", "factor": null, "universe": "NSE 500", "rebalance_months": 12, "weighting": "equal", "num_stocks": 30, "data_window": "2006-12 → 2025-12", "question": "Did a composite high-liquidity-and-low-PE z-score screen on NSE 500 show a measurable historical return spread vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "liquidity value composite india", "high turnover and low pe combined nse", "liquid value factor india", "composite liquidity value nse 500" ], "answer": "A composite high-liquidity-and-low-PE strategy applied to NSE 500 stocks, rebalanced annually and equal-weighted across 30 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 6.66% (gross 7.10%) with a maximum drawdown of -75.50% and a Sharpe ratio of 0.18 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 6.6593, "gross_cagr_pct": 7.1013, "sharpe": 0.18319088417865792, "max_drawdown_pct": -75.5032, "recovery_months": 97.4, "volatility_pct": 36.3516, "nifty_cagr_pct": 10.4113, "alpha_pct": -3.752, "tax_drag_pct": 0.442 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 1, "rank_end": 500, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 30, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null }, { "metric": "ROE", "operator": ">", "value": 0.01, "logical": "AND" } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ScaledTurnover": 1, "PE": -1 } }, "n_stocks": 30 } ] }, "raw_run_hash": "dd3b1eb5e75001f86433f497ca8652bf95f9715430dacbd074ae36ec868c0565", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-liquidity-midcap", "category": "cap_segment", "factor": "liquidity_high", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did a high-liquidity (scaled-turnover) strategy restricted to NSE ranks 101–300 by market cap perform vs the Nifty 50 over Dec 2006 – Dec 2025?", "question_variants": [ "liquidity factor mid cap india", "high turnover midcap nse returns", "scaled turnover within nse mid cap", "liquidity premium midcap india" ], "answer": "A the strategy strategy applied to NSE ranks 101–300 by market cap stocks, rebalanced annually and equal-weighted across 20 names, over December 2006 to December 2025, produced a historical net-of-cost CAGR of 5.37% (gross 5.80%) with a maximum drawdown of -78.08% and a Sharpe ratio of 0.15 in BacktestIndia's backtesting engine. The Nifty 50 returned 10.41% per annum over the same window. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 5.3665, "gross_cagr_pct": 5.8017, "sharpe": 0.1490132002739835, "max_drawdown_pct": -78.0797, "recovery_months": 179.6, "volatility_pct": 36.0133, "nifty_cagr_pct": 10.4113, "alpha_pct": -5.0448, "tax_drag_pct": 0.4352 }, "run_status": "ok" }, "derived_from": null, "pair_with": null, "approach_labels": null, "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "ScaledTurnover": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "0c4f274b132b6f4c858c5693c10ef5c4078fc395ab6de8f0121404705ef388b0", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-largecap-3m", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE top 100 by market cap", "rebalance_months": 3, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did quarterly vs annual rebalancing change the net-of-cost result of a low-volatility strategy on the NSE top 100 by market cap over Dec 2006 – Dec 2025?", "question_variants": [ "large cap low vol quarterly rebalance india", "rebalance frequency low vol nifty 100", "low vol large cap high turnover india", "large cap low vol quarterly vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE top 100 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 14.51% with a maximum drawdown of -36.97%, while annual rebalancing produced 12.81% with a maximum drawdown of -40.75%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 14.5078, "gross_cagr_pct": 15.0559, "sharpe": 0.9408645015290724, "max_drawdown_pct": -36.9694, "recovery_months": 7.066666666666666, "volatility_pct": 15.4196, "nifty_cagr_pct": 10.4113, "alpha_pct": 4.0965, "tax_drag_pct": 0.5481 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-lowvol-largecap", "approach_labels": [ "quarterly rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "5e42a7fb552fe0a73dc548eb159fd71e27631ca18c98c76a71e2b9a1c799b492", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-midcap-3m", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 3, "weighting": "equal", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did quarterly vs annual rebalancing change the net-of-cost result of a low-volatility strategy on NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap low vol quarterly rebalance india", "rebalance frequency low vol midcap", "low vol mid cap high turnover india", "mid cap low vol quarterly vs annual nse" ], "answer": "Comparing two rebalance frequency variants of a low-volatility strategy on NSE ranks 101–300 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: quarterly rebalancing produced a historical net-of-cost CAGR of 16.68% with a maximum drawdown of -45.54%, while annual rebalancing produced 17.28% with a maximum drawdown of -42.89%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 16.6822, "gross_cagr_pct": 19.2865, "sharpe": 1.0149387475483251, "max_drawdown_pct": -45.5373, "recovery_months": 11.166666666666666, "volatility_pct": 16.4366, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.2709, "tax_drag_pct": 2.6043 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-lowvol-midcap", "approach_labels": [ "quarterly rebalancing", "annual rebalancing" ], "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 3, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "equal", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "ab558c96f213f6d4f8df9073579d7276938555129e1123e7ab7c22c86e87cd81", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-largecap-invvol", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE top 100 by market cap", "rebalance_months": 12, "weighting": "inverse_volatility", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a low-volatility strategy on the NSE top 100 by market cap over Dec 2006 – Dec 2025?", "question_variants": [ "large cap low vol invvol weighting india", "weighting scheme low vol nifty 100", "inverse vol large cap low vol india", "large cap low vol invvol vs equal nse" ], "answer": "Comparing two weighting scheme variants of a low-volatility strategy on NSE top 100 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 12.98% with a maximum drawdown of -40.11%, while equal weighting produced 12.81% with a maximum drawdown of -40.75%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 12.9798, "gross_cagr_pct": 13.3111, "sharpe": 0.8385726456098728, "max_drawdown_pct": -40.1098, "recovery_months": 7.066666666666666, "volatility_pct": 15.4785, "nifty_cagr_pct": 10.4113, "alpha_pct": 2.5685, "tax_drag_pct": 0.3313 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-lowvol-largecap", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "f251d1a6ec0026552ae4f143cf51fcb88e2eae20d1cd27b16ec63dbe1a60954c", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-lowvol-midcap-invvol", "category": "cap_segment", "factor": "low_volatility", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 12, "weighting": "inverse_volatility", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a low-volatility strategy on NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap low vol invvol weighting india", "weighting scheme low vol midcap", "inverse vol mid cap low vol india", "mid cap low vol invvol vs equal nse" ], "answer": "Comparing two weighting scheme variants of a low-volatility strategy on NSE ranks 101–300 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 17.22% with a maximum drawdown of -41.87%, while equal weighting produced 17.28% with a maximum drawdown of -42.89%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 17.2238, "gross_cagr_pct": 18.6358, "sharpe": 1.0504970775542182, "max_drawdown_pct": -41.8674, "recovery_months": 10.133333333333333, "volatility_pct": 16.3959, "nifty_cagr_pct": 10.4113, "alpha_pct": 6.8125, "tax_drag_pct": 1.412 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-lowvol-midcap", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 12, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Volatility": -1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "d0dafccb2c12472b6eb28560a7827385efc9f3c2ef9d77044a4012c0e746d226", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-largecap-invvol", "category": "cap_segment", "factor": "momentum", "universe": "NSE top 100 by market cap", "rebalance_months": 6, "weighting": "inverse_volatility", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a 12-month momentum strategy on the NSE top 100 by market cap over Dec 2006 – Dec 2025?", "question_variants": [ "large cap momentum invvol weighting india", "weighting scheme momentum nifty 100", "inverse vol large cap momentum india", "large cap momentum invvol vs equal nse" ], "answer": "Comparing two weighting scheme variants of a 12-month momentum strategy on NSE top 100 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 11.41% with a maximum drawdown of -65.59%, while equal weighting produced 10.35% with a maximum drawdown of -70.16%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 11.4105, "gross_cagr_pct": 12.261, "sharpe": 0.5516399636859846, "max_drawdown_pct": -65.5857, "recovery_months": 64.86666666666666, "volatility_pct": 20.6848, "nifty_cagr_pct": 10.4113, "alpha_pct": 0.9992, "tax_drag_pct": 0.8505 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-momentum-largecap", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 1, "rank_end": 100, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "c2d0087a48989f01f06127d8e661999b015882c87a59fff059ab56647a5ace6e", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." }, { "id": "cs-momentum-midcap-invvol", "category": "cap_segment", "factor": "momentum", "universe": "NSE ranks 101–300 by market cap", "rebalance_months": 6, "weighting": "inverse_volatility", "num_stocks": 20, "data_window": "2006-12 → 2025-12", "question": "How did inverse-volatility weighting compare to equal weighting for a 12-month momentum strategy on NSE ranks 101–300 over Dec 2006 – Dec 2025?", "question_variants": [ "mid cap momentum invvol weighting india", "weighting scheme momentum midcap", "inverse vol mid cap momentum india", "mid cap momentum invvol vs equal nse" ], "answer": "Comparing two weighting scheme variants of a 12-month momentum strategy on NSE ranks 101–300 by market cap stocks over December 2006 to December 2025 in BacktestIndia's backtesting engine: inverse-volatility weighting produced a historical net-of-cost CAGR of 15.87% with a maximum drawdown of -70.44%, while equal weighting produced 15.88% with a maximum drawdown of -73.95%. The Nifty 50 returned 10.41% per annum over the same window. Historical differences do not imply either variant will repeat. Past performance is not indicative of future results; this is educational research, not investment advice.", "metrics": { "kind": "single", "metrics": { "net_cagr_pct": 15.8703, "gross_cagr_pct": 18.5844, "sharpe": 0.6625351131002665, "max_drawdown_pct": -70.4415, "recovery_months": 50.766666666666666, "volatility_pct": 23.9538, "nifty_cagr_pct": 10.4113, "alpha_pct": 5.459, "tax_drag_pct": 2.7141 }, "run_status": "ok" }, "derived_from": null, "pair_with": "cs-momentum-midcap", "approach_labels": [ "inverse-volatility weighting", "equal weighting" ], "strategy_config": { "rank_start": 101, "rank_end": 300, "lookback": 36, "rebalance": 6, "transaction_cost_rate": 0.0011, "slippage_factor": 0.05, "weighting": "inverse_volatility", "num_stocks": 20, "start_year": 2006, "start_month": 12, "end_year": 2025, "end_month": 12, "filters": [ { "filter": { "type": "ratio_conditions", "conditions": [ { "metric": "PE", "operator": ">", "value": 0, "logical": null } ] }, "n_stocks": 500 }, { "filter": { "type": "combined_zscore", "metrics": { "Momentum": 1 } }, "n_stocks": 20 } ] }, "raw_run_hash": "dd88c22e4091e4914cca005ed77a8b6f8fef80ffbe16890ecfdde91978d797d3", "engine_version": "aeo-engine-b0271ef999f5", "citation": { "source": "BacktestIndia", "engine_ref": "BacktestIndia's backtesting engine", "engine_version": "aeo-engine-b0271ef999f5", "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance." }, "data_source": "EODHD historical NSE data; backtest computed by BacktestIndia engine; Nifty 50 benchmark forward-filled from internal monthly series.", "tax_regime": "India FY2024: LTCG 12.5% beyond ₹1.25L exemption (>1y holding); STCG 20% (≤1y holding); applied to realized gains on rebalance.", "disclaimer": "Historical backtest result on NSE-listed equities (Dec 2006 – Dec 2025 data window). Educational research only. Past performance is not indicative of future results. Not investment advice and not a recommendation. Consult a SEBI-registered investment adviser before acting." } ]