Methodology, backtested performance and risk disclosure for the Pulse Bullish Reversal setup — reviewed end to end, including where it falls short.
Prepared for client review. Contains an illustrative backtest, not investment advice or a guarantee of future results.
Identifies potential major intraday reversals by monitoring the Pulse indicator for extreme negative readings. The setup triggers when Pulse crosses above its smoothed moving average while both lines sit below −95 — deep oversold conditions and extreme short-side buildup.
The BankNifty price at the exact moment of this crossover becomes the critical reference level for everything that follows.
A trade is only executed once price breaks above the reference level and sustains above it for 3 consecutive bars — protection against false breakouts.
Extreme negative Pulse reflects intense short-side buildup and capitulation. A sustained break above the reference level confirms that downward pressure has exhausted, forcing short covering and a high-probability upward reversal.
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).
The theoretical maximum profit available from the entry price through the end of the trading day.
Nearly all confirmed entries (99.4%) reach at least breakeven MFE, with roughly half retaining 150+ pts of favorable move before day's end — this is the raw opportunity the recommended exit method is designed to capture.
Performance when the trade is held strictly for a fixed period of time after entry.
Win rate and median return both improve as the horizon lengthens from 30 to 90 minutes — an early signal that this setup benefits from more room to develop, addressed directly by the trailing-stop exit and peak-timing insight that follow.
A trailing stop exit heavily outperforms fixed-time horizons in consistency.
Trigger the trailing stop only after reaching +80 pts in profit, then trail 60 pts behind the highest price reached.
Smoother equity curve and higher win rate — but sacrifices some outlier "home run" trades captured in the uncapped MFE profile.
The MFE and fixed-horizon data both point the same way: winners keep developing well past a fixed exit window. An active trailing stop lets the strategy participate in that continued move while systematically protecting profit already booked — raising consistency without requiring a subjective exit decision.
The data strongly supports using a trailing stop to let winners run into the afternoon session, rather than a fixed-time exit that prematurely truncates the trade.
Full-year 2025 was notably stronger (win rates ~70–75%, larger median payouts) compared to the partial 2026 sample (~53–59%, smaller median payouts). 2026 covers only ~8 months vs. a full year for 2025, so this is not yet a like-for-like comparison — but the softer recent regime must be disclosed.
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.
The maximum historical drawdown observed during a trade (MAE) was approximately −325 pts. Strict catastrophic stop placement is required.
The strong Sharpe (2.53) and Calmar ratios reflect the full 2025–2026 period and are heavily bolstered by the stronger 2025 stretch — they may not represent expected forward performance. Out-of-sample testing confirms a −100pt initial stop-loss remains highly effective even in the weaker 2026 regime, improving Sharpe and reducing drawdowns vs. running without a stop.
Models the financial outcome of the 163 trailing-stop 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.
| 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 | ₹516,681 | ₹516,681 | ₹1,033,362 |
| Return on Margin | 861.1% | 86.1% | 303.9% |
| Max Drawdown (₹) | −₹81,948 | −₹81,948 | −₹163,896 |
| Win Rate | 77.3% | 77.3% | 77.3% |
| Max Consecutive Losses | 4 | 4 | 4 |
| Largest Single Win | ₹63,153 | ₹63,153 | ₹126,306 |
| Largest Single Loss | −₹49,908 | −₹49,908 | −₹99,816 |
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.
Cumulative points captured across all 163 trades, sequential by trade number (fixed 0.5-delta illustrative basis).
Consistent with the 77.3% win rate and +52.8 pt mean trailing-stop result reported above.
A vulnerability in the original exit logic was the lack of an initial stop-loss before the trailing stop activated (at +80 pts profit), exposing the strategy to uncapped adverse moves on immediate failures.
Chokes the strategy — stops out too many trades that eventually recover (e.g. a −40pt stop prematurely exits 18 trades that would have gone on to make +100pts).
Worst-case tail risk is cleanly severed, with only 4 trades "falsely" stopped out at this level.
Primary figures reflect the optimal −100pt initial stop + trailing exit. Original no-initial-stop baseline shown in parentheses.
| Metric | Buy Option (A) | Sell Option (B) | Futures (C) |
|---|---|---|---|
| Return Metrics | |||
| Total P&L (₹) | ₹592,653 (₹516,681) | ₹592,653 (₹516,681) | ₹1,185,306 (₹1,033,362) |
| Total Return % | 987.8% (861.1%) | 98.8% (86.1%) | 348.6% (303.9%) |
| CAGR (Annualized %) | 332.8% (301.1%) | 52.5% (46.4%) | 151.3% (135.6%) |
| Risk-Adjusted Metrics | |||
| Sharpe Ratio (0% RFR) | 3.62 (2.53) | 3.62 (2.53) | 3.62 (2.53) |
| Sortino Ratio | 14.28 (4.40) | 14.28 (4.40) | 14.28 (4.40) |
| Calmar Ratio | 6.73 (2.20) | 10.60 (3.40) | 8.66 (2.81) |
| Drawdown Metrics | |||
| Max Drawdown (₹) | −₹29,688 (−₹81,948) | −₹29,688 (−₹81,948) | −₹59,376 (−₹163,896) |
| Max Drawdown % | −49.5% (−136.6%) | −4.9% (−13.7%) | −17.5% (−48.2%) |
| Trade-Level Metrics | |||
| Win Rate (%) | 66.9% (77.3%) | 66.9% (77.3%) | 66.9% (77.3%) |
| Largest Win (₹) | ₹63,153 (₹63,153) | ₹63,153 (₹63,153) | ₹126,306 (₹126,306) |
| Largest Loss (₹) | −₹6,000 (−₹49,908) | −₹6,000 (−₹49,908) | −₹12,000 (−₹99,816) |
All three scenarios share the exact same underlying sequence of trades and identical win rates and risk-adjusted ratios. Scenario A maximizes return on margin but with severe drawdown-to-margin exposure; Scenario B requires the largest capital base with the lowest relative drawdown risk; Scenario C offers a middle ground in margin efficiency while avoiding options-specific time decay and volatility risk.
Each of the 163 confirmed entries is logged with its trigger and entry time, entry price, reference level, max favorable/adverse move, 30/60/90-minute results, and the final trailing-stop outcome — the same trade-by-trade data used to build the equity curve and every statistic in this report.
Full row-level trade log available as a companion data file.