Verdict
Failed the lot-aware gate at the stated costs; unproven at realistic costs
At 1% slippage per full cycle the 5+5 book on Rs 20 lakh loses -318% of capital over 2024 to Sep 2025 (t = -5.2). Break-even slippage is 0.28% per full cycle; liquid stock futures typically cost far less, but that is unmeasured.
- Version 0.3: re-run with the standard itemised Dhan charges (about Rs 205 a position round trip in the window, Rs 396 at the post-April-2026 STT of 0.05%) beside the owner's Rs 100. Same scores, same window, same pre-registered rule: FAIL again at the owner's 1% slippage per full cycle; the realistic-cost rows are weaker still (post-April STT at 0.05% slippage: 10+10 book +37% over 21 months with t 0.8 and 2025 near zero).
- Pre-registered owner case: Rs 50 per order all-in, 1% slippage per full cycle, whole lots of Rs 6.2 lakh, margin 20% of contract value, capital Rs 20 lakh (5+5) or Rs 40 lakh (10+10), window 2024-01-02 to 2025-09-30. All five pass conditions failed. Study B stops at this step; the sealed period (from 2025-10-01) stays closed.
- Gross edge per position is about Rs 1,853 a cycle on a Rs 6.2 lakh lot (0.3%); 1% slippage costs Rs 6,200, so the result is decided by the slippage assumption alone.
- Even at 0.05% to 0.10% per full cycle (the optimistic, realistic-looking range) the pre-registered gate would still NOT pass: t-statistics 1.0 to 1.7 (need above 2), 2025 return is a fraction of 2024 (+28% against +76% at 0.05% for the 5+5 book), and the maximum drawdown is 21% to 27% at 62% margin use (limit 20%, which would trip the kill-switch).
- The itemised charge schedule (about Rs 205 a round trip, double the owner's Rs 100) changes the result little compared with slippage.
- What would settle it: measured slippage for one-lot stock-futures orders from live Dhan quotes (read-only data, never orders). That needs the owner to confirm the exact Dhan endpoints; no order endpoint will ever be used.
Promotion gates
No gates published for this strategy.
Explain the strategy
We tried the long/short idea with real lot sizes and costs. If every trade really loses 1% to slippage, the plan loses money fast. If trades cost far less, as liquid futures usually do, it makes money in 2024 but much less in 2025, and its worst losing stretch is too deep for our 20% limit. So it is parked until we measure real trading costs.
Report
Lot-aware results by charge schedule and slippage per full cycle (3-day, 143 decisions, 2024-01 to 2025-09)
| Book | Charges | Slippage per full cycle | Net return on capital, 21 months | CAGR | Max drawdown | t-stat | 2024 | 2025 to Sep | Charges per position round trip |
|---|---|---|---|---|---|---|---|---|---|
| 5 long + 5 short, Rs 20 lakh | owner Rs 50 an order | 0.05% | +103% | +51% | 21% | 1.68 | +75% | +28% | Rs 100 |
| 5 long + 5 short, Rs 20 lakh | owner Rs 50 an order | 0.10% | +81% | +41% | 25% | 1.32 | +63% | +18% | Rs 100 |
| 5 long + 5 short, Rs 20 lakh | owner Rs 50 an order | 0.20% | +37% | +20% | 38% | 0.6 | +37% | -1% | Rs 100 |
| 5 long + 5 short, Rs 20 lakh | owner Rs 50 an order | 0.50% | -96% | -85% | 114% | -1.57 | -39% | -57% | Rs 100 |
| 5 long + 5 short, Rs 20 lakh | owner Rs 50 an order | 1.00% (owner's base) | -318% | -100% | 342% | -5.19 | -166% | -152% | Rs 100 |
| 5 long + 5 short, Rs 20 lakh | standard Dhan itemised | 0.05% | +97% | +48% | 22% | 1.58 | +72% | +24% | Rs 210 |
| 5 long + 5 short, Rs 20 lakh | standard Dhan itemised | 0.10% | +75% | +38% | 27% | 1.22 | +60% | +15% | Rs 210 |
| 5 long + 5 short, Rs 20 lakh | standard Dhan itemised | 0.20% | +30% | +16% | 41% | 0.49 | +34% | -4% | Rs 210 |
| 5 long + 5 short, Rs 20 lakh | standard Dhan itemised | 0.50% | -103% | -100% | 120% | -1.68 | -42% | -61% | Rs 210 |
| 5 long + 5 short, Rs 20 lakh | standard Dhan itemised | 1.00% (owner's base) | -324% | -100% | 349% | -5.29 | -169% | -155% | Rs 210 |
| 5 long + 5 short, Rs 20 lakh | standard, STT 0.05% (from 2026-04) | 0.05% | +82% | +41% | 25% | 1.34 | +63% | +19% | Rs 396 |
| 5 long + 5 short, Rs 20 lakh | standard, STT 0.05% (from 2026-04) | 0.10% | +60% | +31% | 30% | 0.98 | +51% | +9% | Rs 396 |
| 5 long + 5 short, Rs 20 lakh | standard, STT 0.05% (from 2026-04) | 0.20% | +15% | +9% | 46% | 0.25 | +25% | -10% | Rs 396 |
| 5 long + 5 short, Rs 20 lakh | standard, STT 0.05% (from 2026-04) | 0.50% | -118% | -100% | 134% | -1.92 | -51% | -66% | Rs 396 |
| 5 long + 5 short, Rs 20 lakh | standard, STT 0.05% (from 2026-04) | 1.00% (owner's base) | -339% | -100% | 364% | -5.53 | -178% | -161% | Rs 396 |
| 10 long + 10 short, Rs 40 lakh | owner Rs 50 an order | 0.05% | +58% | +30% | 18% | 1.23 | +46% | +12% | Rs 100 |
| 10 long + 10 short, Rs 40 lakh | owner Rs 50 an order | 0.10% | +36% | +19% | 24% | 0.76 | +33% | +3% | Rs 100 |
| 10 long + 10 short, Rs 40 lakh | owner Rs 50 an order | 0.20% | -9% | -5% | 43% | -0.18 | +8% | -16% | Rs 100 |
| 10 long + 10 short, Rs 40 lakh | owner Rs 50 an order | 0.50% | -142% | -100% | 146% | -3.01 | -69% | -73% | Rs 100 |
| 10 long + 10 short, Rs 40 lakh | owner Rs 50 an order | 1.00% (owner's base) | -363% | -100% | 384% | -7.71 | -196% | -168% | Rs 100 |
| 10 long + 10 short, Rs 40 lakh | standard Dhan itemised | 0.05% | +51% | +27% | 20% | 1.09 | +43% | +9% | Rs 210 |
| 10 long + 10 short, Rs 40 lakh | standard Dhan itemised | 0.10% | +29% | +16% | 27% | 0.62 | +30% | -1% | Rs 210 |
| 10 long + 10 short, Rs 40 lakh | standard Dhan itemised | 0.20% | -15% | -9% | 47% | -0.32 | +5% | -20% | Rs 210 |
| 10 long + 10 short, Rs 40 lakh | standard Dhan itemised | 0.50% | -148% | -100% | 152% | -3.14 | -72% | -76% | Rs 210 |
| 10 long + 10 short, Rs 40 lakh | standard Dhan itemised | 1.00% (owner's base) | -370% | -100% | 391% | -7.85 | -199% | -171% | Rs 210 |
| 10 long + 10 short, Rs 40 lakh | standard, STT 0.05% (from 2026-04) | 0.05% | +37% | +20% | 24% | 0.78 | +34% | +3% | Rs 396 |
| 10 long + 10 short, Rs 40 lakh | standard, STT 0.05% (from 2026-04) | 0.10% | +14% | +8% | 33% | 0.31 | +21% | -6% | Rs 396 |
| 10 long + 10 short, Rs 40 lakh | standard, STT 0.05% (from 2026-04) | 0.20% | -30% | -19% | 54% | -0.63 | -5% | -25% | Rs 396 |
| 10 long + 10 short, Rs 40 lakh | standard, STT 0.05% (from 2026-04) | 0.50% | -163% | -100% | 168% | -3.46 | -81% | -82% | Rs 396 |
| 10 long + 10 short, Rs 40 lakh | standard, STT 0.05% (from 2026-04) | 1.00% (owner's base) | -385% | -100% | 407% | -8.16 | -208% | -177% | Rs 396 |
Rules and parameters
Rules
- Universe: Nifty 500 members (point-in-time) with ADV at least Rs 5 crore, restricted to names in Dhan's current F&O list (209 in the store). Features: the 34 MFS-15 features, known at the close of day t.
- Label: beats the cross-sectional median over h = 1 or 3 days. Model: LightGBM (MFS-15 parameters, 250 trees, one seed), retrained each calendar year 2018 to 2023 on rows ending h + 8 sessions earlier.
- Portfolio: long the top N and short the bottom N by score (N = 10 or 20), equal weight, dollar neutral, decisions every h-th session, full turnover assumed.
- Costs: 0.10% round trip per name per book (STT, charges, brokerage, 0.05% slippage each way); also reported at 0.05% and 0.20%. Return is per unit of one book's notional; cost counted for both books.
- Pass rule (pre-registered): base net above zero with t above 2, reality-check p below 0.10, positive at 0.20%, positive in 2018-20 and 2021-23, long and short books both positive.
Parameters
- pre-registration
- docs/PREREG_STUDY_B2.md
- owner costs
- Rs 50 per order all-in; 1% slippage per full cycle (0.5% each way)
- lots and margin
- 1 lot = Rs 6.2 lakh (stress 9.2 lakh); margin 20% of contract value, no offset
- capital
- Rs 20 lakh (5+5), Rs 40 lakh (10+10); peak margin 62%
- window
- 2024-01-02 to 2025-09-30 (seen before by MFS-15); sealed 2025-10+ unopened
- universe
- today's F&O list (look-ahead, owner instruction)
- charges (v0.3)
- standard Dhan itemised (futures STT 0.02% in the window; 0.05% from 2026-04-01 shown separately) and the owner's Rs 50 per order for comparison
Instrument
209 F&O underlyings in the Nifty 500 feature store (current F&O list: look-ahead bias), whole-lot sizing not yet applied · capital ₹2,000,000
Known limitations
- Today's F&O list is used for the whole backtest (owner instruction; look-ahead).
- Margin 20% with no offset between stocks is an assumption; Dhan's margin API was not called.
- Whole lots at a uniform Rs 6.2 lakh contract value, as in MFS-15; true historical lot sizes were not available.
- Decision-level equity (3-day steps), not daily mark-to-market, so drawdowns are understated.
- The window 2024-01 to 2025-09 had been seen by MFS-15; the sealed 2025-10 onward stays closed.
Logs and raw data
Downloads appear once a data window is loaded.
Files are plain CSV so results can be re-computed independently. Trade dates are IST sessions; returns are net of modelled costs and slippage.