Performance Results
Equity curve - trailing-stop basis
A robust, momentum-driven breakout strategy designed to capture major intraday trends while strictly capping downside risk (Rulebook 2.0).
Prepared for client review. Contains an illustrative backtest, not investment advice or a guarantee of future results.
A momentum-driven strategy designed to capture major intraday trends. It triggers on strong directional momentum confirmed by market internals (Equity Matrix & Apex) and capital inflow (Equity Flow).
The system calculates the AVG5 (5-bar trailing average) price when conditions align, creating a stabilized base rather than chasing an erratic spike.
A trade is only executed when the price subsequently breaks the stabilized AVG5 level, acting as a final confirmation filter.
By requiring multi-timeframe breadth confirmation and capital inflows, false breakouts are minimized. The strict risk-capping logic protects capital during choppy regimes.
This report follows the sequence above end-to-end. The strategy has cleared sample-size and historical-accuracy checks; out-of-sample regime stability is under active review (see Risk & Limitations).
Models the financial outcome of the 160 trades using standard lot sizing (4 lots = 120 units).
The option P&L scenarios use a fixed 0.5 delta assumption. Real options have dynamically changing delta, gamma, theta (time decay), and vega (IV changes) which are completely excluded here. Futures margin is dynamic and volatility-based; the ₹3,40,000 figure is an approximate illustration, not a real-time quote. Always verify live margin requirements before trading.
Baseline -125pt SL paired with a 100-pt step Trailing Stop.
Strict -125pt stop-loss, trailing at +100pt steps. Capping downside while keeping upside open for trend capture.
An alternative 75/25 rule increased win rate but significantly reduced mathematical expectancy by cutting massive runners short.
A vulnerability in many trend-following strategies is the lack of an initial stop-loss before the trailing stop activates, exposing the strategy to uncapped adverse moves on immediate failures.
Chokes the strategy — stops out too many trades that eventually recover. A −50pt stop prematurely stops out over 46% of trades, severely reducing mathematical expectancy (dropping to ~40 pts).
Worst-case tail risk is cleanly severed while giving the trade enough room to breathe. Stop-out rate drops to 31.2%, allowing maximum profit capture (expectancy peaks at +51.08 pts).
| Method | Expectancy (pts) | Win Rate % | Total Points | Std Dev | Sharpe-like | Max Drawdown | Return/DD | Worst Case |
|---|---|---|---|---|---|---|---|---|
| v6.1 — Regime Filtered (160 trades) | 55.48 | 49.40% | 8,877.33 | — | — | 686.37 | 12.93 | -125.00 |
| v6 baseline — unfiltered (200 trades) | 45.10 | 47.00% | 9,019.62 | 178.96 | 0.25 | 791.32 | 11.40 | -125.00 |
The theoretical maximum profit available from the entry price through the end of the trading day.
Nearly all confirmed entries (98.0%) reach at least breakeven MFE, with more than half retaining 100+ pts of favorable move before day's end — this is the raw opportunity the trailing exit method is designed to capture.
What if we just closed the trade after a fixed amount of time?
At what time of day does the strategy typically hit its absolute highest profit (for trades crossing +100pts)?
The vast majority (over 60%) of maximum favorable excursions are achieved in the final 90 minutes of the trading day. This underscores why capping trade duration (e.g., exiting after 60 minutes) heavily limits profitability.
Models the financial outcome of the 160 trades using standard lot sizing (4 lots = 120 units).
| Metric | Scenario A (Buy Option) | Scenario B (Sell Option) | Scenario C (Futures) |
|---|---|---|---|
| Capital / Margin Assumed | ₹60,000 | ₹6,00,000 | ₹3,40,000 |
| Total Cumulative P&L (v6.1) | ₹532,640 | ₹532,640 | ₹1,065,280 |
| Max Drawdown (₹) (v6.1) | −₹41,182 | −₹41,182 | −₹82,364 |
| Win Rate (v6.1) | 49.4% | 49.4% | 49.4% |
| Max Consecutive Losses | N/A | N/A | N/A |
| Largest Single Win | N/A | N/A | N/A |
| Largest Single Loss (Baseline) | −₹7,500 | −₹7,500 | −₹15,000 |
Note on extreme losses: Scenarios B and C expose the account to theoretically uncapped losses on gap-downs or extreme adverse moves. Proper catastrophic stops must be applied.
160 trades after applying the Regime Engine v2 Sideways-Likely filter (s_score ≥ 6: at least 6 of 10 sideways-indicators simultaneously active at signal time). 40 trades from the original v6 set are suppressed. Filter verified across first-half / second-half date splits.
Full row-level trade log available as a companion data file.
Caught a massive 400-point breakout without getting shaken out prematurely.
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2026-08-17 | 11:51 | 11:53 @ 57,174.53 | 15:29 @ 57,497.80 | +400.00 (TS_400) | +566.12 / -14.77 |
Initial momentum failed immediately. The strict -125 point stop-loss stepped in.
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2025-08-26 | 13:44 | 13:47 @ 54,685.84 | 14:16 @ 54,531.00 | -125.00 (SL) | +0.16 / -177.84 |
Locked in +100 points of profit before a sharp midday reversal.
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2025-01-15 | 10:08 | 10:10 @ 49,000.46 | 11:04 @ 49,087.70 | +100.00 (TS_100) | +205.84 / -345.01 |
The Rulebook's manual price stabilization and bullish candle confirmation is not fully automated. It is mathematically approximated via the AVG5 level-break mechanic.
No walk-forward or out-of-sample validation has been performed yet. All results are on the primary 369-day dataset.
Regime Engine v2 Sideways-Likely filter (s_score ≥ 6, 10-indicator composite) suppresses entries during choppy/sideways regimes. Verified across first-half / second-half date splits: expectancy improved in both periods (+4.1 pts H1, +17.1 pts H2). Filter fires on 20% of v6 signals.
This strategy has not yet been formally promoted to confirmed/live status internally. It has cleared sample-size and historical-accuracy gates; regime stability under out-of-sample walk-forward testing is currently under active review.