Research published in a leading personal finance study found that combining high-momentum with low scaled turnover (illiquid, uncrowded stocks) produced 19.43% net CAGR vs 10.42% for Nifty 50, over December 2006–December 2025, after all taxes and transaction costs.
The strategy is pre-loaded below. Click Run Backtest to verify the results yourself.
Exact parameters from the study — no changes made.
NSE 500 stocks, ranked 1–200 by market cap. Filter PE > 0 (profitable companies only).
From those 200, pick the 30 stocks with the highest trailing 12-month returns.
From those 30 high-momentum stocks, keep only the 15 with the lowest trading volume (least crowded). Annual rebalance, equal weight.
The strategy beats Nifty 50 (10.42%) at every slippage level, including a conservative 0.50% estimate.
| Slippage | Net CAGR | vs Nifty |
|---|---|---|
| 0.00% | 20.85% | +10.43%/yr |
| 0.05%← article baseline | 19.43% | +9.01%/yr |
| 0.15% | 17.22% | +6.80%/yr |
| 0.20% | 16.42% | +6.00%/yr |
| 0.50% | 13.91% | +3.49%/yr |
The strategy is pre-loaded. Click below to run the exact backtest on our Modal serverless backend using 18+ years of NSE data.
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Scaled Turnover = trading volume ÷ shares outstanding. A low value means the stock trades infrequently relative to its float — it's less "crowded" by institutional traders. The hypothesis: stocks that are high-momentum AND low-liquidity earn an extra premium because most institutions can't easily take large positions in them, leaving the alpha for smaller retail investors who can.
What if you used the top 500 instead of top 200? Or monthly rebalancing? Or added a PE filter? Our AI strategy builder (Buddy) will help you run any variation.
Open Strategy Builder →Educational Research Only. BacktestIndia.com is not SEBI-registered and operates under SEBI (Investment Advisers) Regulations 2013, Regulation 3(1)(d) exemption as a DIY educational tool. Backtest results represent historical simulations, not future performance guarantees. All taxes (12.5% LTCG / 20% STCG per Finance Act 2024, Sections 112A & 111A), transaction costs (0.11%), and slippage (0.05%) are modelled. Tax methodology note: Finance Act 2024 rates are applied uniformly across the entire backtest period (Dec 2006–Dec 2025). Pre-July 2024 actual rates were lower (10% LTCG / 15% STCG), so historical net CAGR figures are conservatively stated — actual after-tax returns for that period would have been modestly higher under the rates in force at the time. This is not investment advice. Consult a SEBI-registered investment adviser before making investment decisions.