BankNifty Quantitative Portfolio Report (Full 1.5 Years)
Test Period: January 2025 to August 2026 (369 Trading Days)
Exposure Assumption: 120 Units (8 Lots) Option Buying (0.5 Delta)
1. High-Level Performance Comparison
Buy & Hold Net P&L
Rs. 710,574
Combined Strategy Net P&L
Rs. 2,003,423
Buy & Hold Max Drawdown
Rs. -1,295,568
Strategy Max Drawdown
Rs. -243,046
Insight: The active strategy completely outperformed buy-and-hold, delivering nearly 3x the profit while exposing the account to 80% less risk (drawdown).
2. Long-Term Equity Curve
3. Month-by-Month Breakdown
| Month | Strategy Net Profit | Strategy Max Drawdown (in-month) |
|---|---|---|
| 2025-01 | Rs. 64,876 | Rs. -91,069 |
| 2025-02 | Rs. 141,571 | Rs. -55,165 |
| 2025-03 | Rs. 113,052 | Rs. -28,032 |
| 2025-04 | Rs. -19,628 | Rs. -63,265 |
| 2025-05 | Rs. -25,719 | Rs. -162,554 |
| 2025-06 | Rs. 64,097 | Rs. -74,286 |
| 2025-07 | Rs. -72,299 | Rs. -149,481 |
| 2025-08 | Rs. 311,795 | Rs. -22,105 |
| 2025-09 | Rs. 34,353 | Rs. -116,940 |
| 2025-10 | Rs. -71,366 | Rs. -144,860 |
| 2025-11 | Rs. 101,475 | Rs. -58,243 |
| 2025-12 | Rs. -47,404 | Rs. -74,395 |
| 2026-01 | Rs. 149,511 | Rs. -83,652 |
| 2026-02 | Rs. 14,348 | Rs. -84,105 |
| 2026-03 | Rs. 115,965 | Rs. -114,000 |
| 2026-04 | Rs. 38,107 | Rs. -101,823 |
| 2026-05 | Rs. 431,229 | Rs. -167,757 |
| 2026-06 | Rs. 268,134 | Rs. -93,289 |
| 2026-07 | Rs. 143,578 | Rs. -127,959 |
| 2026-08 | Rs. 247,744 | Rs. -26,525 |
| TOTAL | Rs. 2,003,423 | Rs. -243,046 (Global Max) |
4. Advanced Analytics: Market Regime Profiling
| Regime State | Total Trades | Win Rate | Net Profit (Rs.) |
|---|---|---|---|
| Bearish | 327 | 38.53% | 261,589.44 |
| Bullish | 362 | 35.08% | 294,444.24 |
| Sideways | 373 | 39.20% | 246,615.12 |
| Strong Bearish (Crashing) | 638 | 34.66% | 1,291,518.96 |
| Strong Bullish (Melt-up) | 497 | 32.39% | -77,940.24 |
Optimization Insight: Disabling bearish strategies during Strong Bullish regimes will dramatically boost the final equity curve.
5. Correlation & Overlap Risk
- Apex Bullish & Long Trend: Negatively correlated (-0.23).
- Apex Bearish & Short Trend: Weak positive correlation (0.28).
- Pulse Bullish Reversal: Near 0.00 correlation with all other strategies.
Risk Insight: 358 out of 369 days saw multiple strategies firing, with a maximum of 19 trades triggered on a single day. Robust margin management is strictly required.