A frozen long-only daily equity signal under institutional research review.
RESEARCHEC-1 — ECONOMIC RESEARCH CANDIDATE SURVIVESNot approved for deployment · confidence MEDIUM
MANDATORY BIAS WARNING SURVIVORSHIP_BIAS_WARNING_CURRENT_UNIVERSE_RETROSPECTIVE Current-universe retrospective construction may overstate historical opportunity.
Current result7.33%current-cost counterfactual CAGR
Historical max DD16.65%25% entry budget
Modeled costs₹605,186current-reference +0 bps
Turnover59.02×continuous notional
Executive summary
The strategy seeks a recovery from a prior oversold condition into renewed momentum. v1.0 portfolio construction was rejected after every predefined sizing scenario breached the 30% historical drawdown flag. v1.1 leaves signals unchanged and constrains admission through an entry gross-exposure budget. The 25% budget retains research viability under the current Anand Rathi cost counterfactual; exposure drift, incomplete historical cost schedules and survivorship bias remain material.
25% is an ENTRY GROSS EXPOSURE BUDGET. It is not a hard exposure ceiling. Realized exposure reached approximately 65.9% as existing positions appreciated.
Strategy logic
Entry at close t
RSI[t-1] <= 65
RSI[t] > 65
zero prior RSI crosses above 65 in t-60 through t-1
minimum RSI in t-60 through t-1 is strictly < 30
Execute: next available session open.
Exit at close t
RSI[t-1] >= 40 and RSI[t] < 40
OR Close[t-1] >= EMA200[t-1] and Close[t] < EMA200[t]
Execute: next available session open. If both occur: BOTH.
No profit target, trailing stop, pyramiding, leverage, shorting or averaging.
Eight quarantined instruments excluded; names intentionally not published.
Dhan is the historical data provider. Structurally adjusted OHLC is used directly; no second split or bonus adjustment is applied. Dividends are excluded, so results are price return rather than total return. Merger/demerger economics remain incompletely modeled. Continuous-notional quantities are research coordinates, not claims of exact historical executable share quantities.
Experiment matrix
ID
Version
Objective
Variable
Values
Result
Artifact
EXP-RSI-001
v1.0
Original sizing sweep
Position allocation
2–20% predefined
REJECTED
research artifact RSI-V1-PRIMARY
EXP-RSI-002
v1.0
Drawdown forensics
Exposure/concurrency
All sizes
DF-1 portfolio exposure failure
research artifact RSI-V1-FORENSICS
EXP-RSI-003
v1.1
Exposure-budget experiment
Entry budget
25/35/50/65%
25% primary; 35% marginal; 50/65 rejected
research artifact RSI-V1-STRESS
EXP-RSI-004
v1.1
Chronological validation
IS/Validation/OOS
Fixed dates
25% remains below 30% historical DD
research artifact RSI-V1-ECONOMIC
EXP-RSI-005
v1.1
Moving-block bootstrap
Portfolio sequence
5/20/60 sessions
25% stress P95 DD 24.7–26.7%
research artifact RSI-V1-ECONOMIC
EXP-RSI-006
v1.1
Anand Rathi cost counterfactual
Current reference costs
0/+10/+25/+50 bps
25% EC-1; current-cost CAGR 7.33%
research artifact RSI-V1-ECONOMIC
EXP-RSI-007
v1.1
DP tariff sensitivity
Per sell event
INR 15/20
Separate sensitivity; not confirmed charge
research artifact RSI-V1-ECONOMIC
Chronological performance
ANAND RATHI CURRENT-COST COUNTERFACTUAL · NOT HISTORICALLY REALIZED NET PERFORMANCE
MATERIALExecution friction not empirically calibrated
Signal-level diagnostic population
Count
Mean
Median
Win rate
PF
P10
P25
P75
P90
Median MFE
Median MAE
8214
+17.0%
-1.2%
44.9%
4.69
-12.5%
-6.5%
+8.8%
+46.0%
+10.9%
-7.1%
Positive skew is diagnostic only; eligible signals were not all economically executable in the portfolio.
Dependence-aware stress
Circular moving-block bootstrap of portfolio daily returns; 500 resamples per block. Fixed seeds: 20300105, 20300120, 20300160.
MODEL-CONDITIONAL STRESS FREQUENCIES — NOT FUTURE PROBABILITIES
Block
P50 DD
P75 DD
P90 DD
P95 DD
5 sessions
16.0%
18.8%
22.6%
24.7%
20 sessions
16.7%
20.3%
24.5%
26.7%
60 sessions
16.4%
19.4%
22.5%
24.7%
Bootstrap frequencies above 20%, 25%, 30%, 35% and 40% DD are conditional on the historical resampling model and are not future-loss probabilities.
Execution costs
ANAND_RATHI_CURRENT_REFERENCE_COST_MODEL · CURRENT BROKER OFFERING / RESEARCH ASSUMPTION
Side
Modeled total before incremental friction
Buy
21.314 bps
Sell
19.814 bps
Round trip
41.128 bps
Current Anand Rathi cost counterfactual; not historically realized 1999–2026 net performance. Brokerage is 8 bps on each side. Components: brokerage, STT, NSE transaction charge, SEBI charge, stamp duty, GST. DP: Separate tariff sensitivity; not contractually specified. IPFT: UNKNOWN / NOT MODELED.
This file contains simulated research trades for independent review. It is not a broker execution record. Shadow files, when available, are hypothetical diagnostics and never affect portfolio P&L.
TRADE LOG NOT AVAILABLECompleted portfolio trade logThe retained v1.1 artifact contains metrics and diagnostics but no completed real-trade ledger; no file is published.
TRADE LOG NOT AVAILABLEShadow missed-signal diagnosticNo v1.1 shadow file is published because the retained artifact is not version-specific enough for a safe download.
AVAILABLE · ZIPReviewer packSafe public research materials · SIMULATED / HYPOTHETICALSHA-256 b70eed0ab8729c18…