Research published in a leading personal finance study found that combining high-momentum with low scaled turnover (illiquid, uncrowded stocks) showed 19.43% net CAGR vs 10.42% for Nifty 50, over December 2006–December 2025, after all taxes and transaction costs.
This study's parameters are pre-loaded below for replication purposes. Click Run Backtest to verify the results yourself.
This page replicates the exact backtest from a published research study. It is NOT a recommendation to use this strategy. The study showed historical results of 19.43% net CAGR, but past performance does NOT guarantee future results.
You are viewing ONE specific parameter combination out of millions possible. This is educational research — not investment advice. For personalized strategy selection, consult a SEBI-registered Investment Adviser.
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 backtest showed outperformance vs Nifty 50 (10.42%) at all slippage levels tested, 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 |
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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 provides content under the proviso to Regulation 2(1)(l) of the SEBI (Investment Advisers) Regulations, 2013 (widely available electronic medium) and Regulation 4(a) (general comments on market trends). 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.