TradeTech Analytics

NSE Nifty 500 · weekly equity ranking · LightGBM · long-only cash delivery · v2.0.0 · survivorship-free re-test 2026-10-31 (paper run frozen 2026-10-31, unchanged)

RANK500 PAPER

Pooled LightGBM weekly ranking of Nifty 500 stocks at ₹50 lakh: walk-forward 2010 to Sep 2025, two frozen portfolio versions. Frozen v2 re-run on a survivorship-free price history (every name that traded, delisted included; model retrained walk-forward 2010-2025): validation 2018 to Sep 2025 21.3% at 1x, 18.7% at 2x, 16.5% at 3x against the index at 11.8%; development 2010-2017 only 10.7% at 1x (index 10.1%) with a 50% drawdown in 2011. Earlier version: 25.6% in validation and 16.0% in development with a 4% allowance. Sealed hold-out and forward paper run unchanged.

Verdict

Candidate: validation edge survives full data, but development was only level with the index and 2011 was a 48% loss

Survivorship-free validation 2018-2025-09: v2 21.3% at 1x, 18.7% at 2x, 16.5% at 3x (index 11.8%, alpha t 2.1); development 2010-2017 10.7% at 1x (index 10.1%); full 2010-2025 15.7%, worst fall 50%; random picks 2.8% median.

  • Re-test (version 2, 2026-10-31): prices and universe from the NSE daily file for every name that traded, 2004 onward; features and the yearly walk-forward (3 seeds) rebuilt on it; frozen v2 (N 30, every second Friday, buffer 2.0, floor ₹5 crore, v2 cost tiers) run without any re-selection. Specification: research/combo/STRATEGY_COMBO.md.
  • Validation barely moves (25.6% to 21.3% at 1x), development weakens (16.0% to 10.7%) and its drawdown deepens from 26% to 50%: the 2011 bear market (R -48% against the index -28%, trough 20 December 2011, +45% in 2012).
  • Random selection from the same rules and universe earned a median 2.8% (90th percentile 4.8%) a year at 1x over 2010-2025: the model's ranking is clearly informative.
  • Correlation with Longbow Weekly 0.46 and Longbow Learned 0.42; near zero in the index's worst weeks (no market filter here, so R falls with the index while the Longbow strategies are in cash). It is the real complement to them. In the Kelly analysis R and M share all the weight.
  • Not re-optimised. Edge still concentrated in ₹5-100 crore names and the 2020-2023 small-cap years: measure real fills before sizing.
  • Forward paper run of v2 scheduled from 2026-11-02 (frozen spec research/rank500/paper_spec.json; decisions every second Friday close; no orders; nightly update 19:50 IST).
  • Risks: the edge sits in ₹5 to ₹100 crore names (top-decile edge in names above ₹100 crore is nil); 2020-2023 were boom years for small and mid caps (v2 +50%, +61%, +9%, +46%); coverage of past members is 60-71% in development and 74-94% in validation (survivorship); the 35% daily jump rule and circuit-limit fills are only approximated. No paper run has started; the sealed period (Oct 2025 on) is unopened.

Promotion gates

No gates published for this strategy.

Explain the strategy

We built a model that ranks stocks each week and tested it on 16 years it had never seen, this time including stocks that were later delisted. It still picks winners far better than chance. In recent years (2018 to Sep 2025) it made about 19% a year after costs against 12% for the index, but in 2010 to 2017 it was only level with the index and lost almost half in 2011. A candidate worth watching on paper, not a sure thing.

Report

All 540 development configurations on the EARLIER Dhan-panel data (v1 60, v2 480): net CAGR, drawdown, alpha t, years ahead, turnover

VersionNRebalance dayBuffer kLiquidity floor (₹ cr)ModelCadenceNet CAGR 1xNet CAGR 2xIndex CAGRMax drawdown 1xAlpha t 1xYears ahead of index 1xTurnover 1x
v1 (v1 costs)5Mon0.00.55-sessionweekly19.4%10.1%29.7%2.0162%83.1
v1 (v1 costs)5Mon0.50.55-sessionweekly30.7%10.1%20.1%4.12100%46.3
v1 (v1 costs)5Mon1.00.55-sessionweekly23.7%10.1%25.3%2.9775%28.9
v1 (v1 costs)5Tue0.00.55-sessionweekly11.5%10.1%34.1%0.7550%83.2
v1 (v1 costs)5Tue0.50.55-sessionweekly20.6%10.1%35.0%2.3188%48.9
v1 (v1 costs)5Tue1.00.55-sessionweekly24.3%10.1%30.8%3.088%29.5
v1 (v1 costs)5Wed0.00.55-sessionweekly2.5%10.1%50.4%-0.7938%82.2
v1 (v1 costs)5Wed0.50.55-sessionweekly18.3%10.1%35.3%1.7462%49.3
v1 (v1 costs)5Wed1.00.55-sessionweekly26.3%10.1%29.0%3.2675%29.4
v1 (v1 costs)5Thu0.00.55-sessionweekly11.2%10.1%36.0%0.550%82.1
v1 (v1 costs)5Thu0.50.55-sessionweekly17.6%10.1%33.6%1.7475%45.9
v1 (v1 costs)5Thu1.00.55-sessionweekly17.7%10.1%37.5%1.7375%27.0
v1 (v1 costs)5Fri0.00.55-sessionweekly21.1%10.1%23.3%2.4262%75.7
v1 (v1 costs)5Fri0.50.55-sessionweekly28.1%10.1%19.1%3.6388%40.9
v1 (v1 costs)5Fri1.00.55-sessionweekly28.3%10.1%22.5%3.4588%26.1
v1 (v1 costs)10Mon0.00.55-sessionweekly13.8%10.1%31.8%1.1850%78.4
v1 (v1 costs)10Mon0.50.55-sessionweekly26.4%10.1%19.5%4.12100%45.1
v1 (v1 costs)10Mon1.00.55-sessionweekly28.0%10.1%19.7%4.39100%28.0
v1 (v1 costs)10Tue0.00.55-sessionweekly13.2%10.1%35.7%1.1562%78.0
v1 (v1 costs)10Tue0.50.55-sessionweekly25.1%10.1%29.2%3.7388%45.2
v1 (v1 costs)10Tue1.00.55-sessionweekly25.4%10.1%25.5%3.8688%27.5
v1 (v1 costs)10Wed0.00.55-sessionweekly8.9%10.1%36.2%0.238%77.8
v1 (v1 costs)10Wed0.50.55-sessionweekly21.8%10.1%25.9%3.14100%45.0
v1 (v1 costs)10Wed1.00.55-sessionweekly24.3%10.1%20.7%3.71100%26.9
v1 (v1 costs)10Thu0.00.55-sessionweekly12.2%10.1%35.7%0.7250%75.9
v1 (v1 costs)10Thu0.50.55-sessionweekly22.1%10.1%27.5%3.0388%44.2
v1 (v1 costs)10Thu1.00.55-sessionweekly21.6%10.1%26.1%3.0888%26.3
v1 (v1 costs)10Fri0.00.55-sessionweekly19.2%10.1%20.4%2.3288%71.3
v1 (v1 costs)10Fri0.50.55-sessionweekly30.9%10.1%23.0%4.6888%40.5
v1 (v1 costs)10Fri1.00.55-sessionweekly25.6%10.1%20.8%4.0188%24.2
v1 (v1 costs)20Mon0.00.55-sessionweekly14.3%10.1%30.3%1.5675%71.2
v1 (v1 costs)20Mon0.50.55-sessionweekly24.1%10.1%25.7%4.35100%41.8
v1 (v1 costs)20Mon1.00.55-sessionweekly27.5%10.1%19.9%5.36100%25.7
v1 (v1 costs)20Tue0.00.55-sessionweekly12.3%10.1%36.0%0.9662%70.6
v1 (v1 costs)20Tue0.50.55-sessionweekly21.6%10.1%25.2%3.52100%42.1
v1 (v1 costs)20Tue1.00.55-sessionweekly27.1%10.1%22.6%5.34100%25.2
v1 (v1 costs)20Wed0.00.55-sessionweekly11.4%10.1%32.5%0.7262%70.8
v1 (v1 costs)20Wed0.50.55-sessionweekly20.4%10.1%26.0%3.35100%42.1
v1 (v1 costs)20Wed1.00.55-sessionweekly25.8%10.1%21.5%4.85100%25.1
v1 (v1 costs)20Thu0.00.55-sessionweekly13.3%10.1%26.9%1.2775%69.4
v1 (v1 costs)20Thu0.50.55-sessionweekly20.2%10.1%27.2%3.2988%40.5
v1 (v1 costs)20Thu1.00.55-sessionweekly22.1%10.1%23.4%3.9575%24.2
v1 (v1 costs)20Fri0.00.55-sessionweekly16.0%10.1%30.2%2.0388%64.7
v1 (v1 costs)20Fri0.50.55-sessionweekly25.3%10.1%23.0%4.6188%37.1
v1 (v1 costs)20Fri1.00.55-sessionweekly27.2%10.1%18.5%5.4588%22.5
v1 (v1 costs)30Mon0.00.55-sessionweekly15.4%10.1%30.5%2.0675%65.2
v1 (v1 costs)30Mon0.50.55-sessionweekly22.7%10.1%26.2%4.41100%39.3
v1 (v1 costs)30Mon1.00.55-sessionweekly26.8%10.1%20.0%5.87100%24.1
v1 (v1 costs)30Tue0.00.55-sessionweekly14.8%10.1%27.3%1.8788%64.7
v1 (v1 costs)30Tue0.50.55-sessionweekly20.0%10.1%24.3%3.48100%38.5
v1 (v1 costs)30Tue1.00.55-sessionweekly25.0%10.1%22.1%5.24100%23.6
v1 (v1 costs)30Wed0.00.55-sessionweekly10.6%10.1%32.4%0.5738%65.2
v1 (v1 costs)30Wed0.50.55-sessionweekly18.6%10.1%25.1%3.16100%39.1
v1 (v1 costs)30Wed1.00.55-sessionweekly23.0%10.1%22.3%4.6100%23.8
v1 (v1 costs)30Thu0.00.55-sessionweekly15.0%10.1%23.9%1.9875%64.4
v1 (v1 costs)30Thu0.50.55-sessionweekly20.8%10.1%23.0%3.92100%37.9
v1 (v1 costs)30Thu1.00.55-sessionweekly21.4%10.1%21.4%4.388%22.6
v1 (v1 costs)30Fri0.00.55-sessionweekly16.3%10.1%31.5%2.3675%59.2
v1 (v1 costs)30Fri0.50.55-sessionweekly19.7%10.1%24.6%3.688%34.8
v1 (v1 costs)30Fri1.00.55-sessionweekly22.0%10.1%21.9%4.5588%21.1
v2 (v2 costs)20Mon1.00.55-sessionweekly23.0%9.4%10.1%23.7%4.18100%25.8
v2 (v2 costs)20Mon1.00.55-sessionfortnightly25.2%16.9%10.1%19.2%5.09100%15.6
v2 (v2 costs)20Mon1.00.55+10 blendweekly26.8%15.2%10.1%26.8%4.95100%20.8
v2 (v2 costs)20Mon1.00.55+10 blendfortnightly24.5%17.1%10.1%29.0%4.58100%13.4
v2 (v2 costs)20Mon1.05.05-sessionweekly19.5%10.7%10.1%23.1%3.4100%23.7
v2 (v2 costs)20Mon1.05.05-sessionfortnightly20.7%15.1%10.1%24.5%3.74100%14.8
v2 (v2 costs)20Mon1.05.05+10 blendweekly18.7%11.4%10.1%29.5%2.88100%19.5
v2 (v2 costs)20Mon1.05.05+10 blendfortnightly22.1%17.3%10.1%22.7%3.9588%12.3
v2 (v2 costs)20Mon1.020.05-sessionweekly16.6%10.8%10.1%22.4%2.4788%21.4
v2 (v2 costs)20Mon1.020.05-sessionfortnightly15.5%11.9%10.1%22.2%2.2162%13.1
v2 (v2 costs)20Mon1.020.05+10 blendweekly15.4%10.6%10.1%26.0%1.9588%17.2
v2 (v2 costs)20Mon1.020.05+10 blendfortnightly15.4%12.3%10.1%21.1%2.0188%10.8
v2 (v2 costs)20Mon1.50.55-sessionweekly25.8%17.1%10.1%21.6%5.15100%15.7
v2 (v2 costs)20Mon1.50.55-sessionfortnightly26.0%20.6%10.1%21.0%5.54100%9.5
v2 (v2 costs)20Mon1.50.55+10 blendweekly27.2%19.6%10.1%22.5%5.5100%13.0
v2 (v2 costs)20Mon1.50.55+10 blendfortnightly26.7%21.7%10.1%27.5%5.24100%8.4
v2 (v2 costs)20Mon1.55.05-sessionweekly22.2%16.3%10.1%19.6%4.29100%15.1
v2 (v2 costs)20Mon1.55.05-sessionfortnightly23.3%19.8%10.1%21.3%4.9100%8.9
v2 (v2 costs)20Mon1.55.05+10 blendweekly22.1%17.1%10.1%22.8%4.02100%12.4
v2 (v2 costs)20Mon1.55.05+10 blendfortnightly20.3%17.1%10.1%24.4%3.54100%7.9
v2 (v2 costs)20Mon1.520.05-sessionweekly16.9%13.0%10.1%22.8%2.7688%13.6
v2 (v2 costs)20Mon1.520.05-sessionfortnightly15.8%13.5%10.1%20.1%2.4562%8.2
v2 (v2 costs)20Mon1.520.05+10 blendweekly15.8%12.7%10.1%24.9%2.23100%10.8
v2 (v2 costs)20Mon1.520.05+10 blendfortnightly16.6%14.6%10.1%21.0%2.6688%6.9
v2 (v2 costs)20Mon2.00.55-sessionweekly26.0%20.5%10.1%18.1%5.39100%9.9
v2 (v2 costs)20Mon2.00.55-sessionfortnightly24.9%21.7%10.1%25.5%5.14100%5.9
v2 (v2 costs)20Mon2.00.55+10 blendweekly27.3%22.7%10.1%24.1%5.34100%7.7
v2 (v2 costs)20Mon2.00.55+10 blendfortnightly24.5%21.6%10.1%26.9%4.73100%5.0
v2 (v2 costs)20Mon2.05.05-sessionweekly21.4%17.8%10.1%22.1%4.6100%9.1
v2 (v2 costs)20Mon2.05.05-sessionfortnightly21.0%18.8%10.1%23.2%4.42100%5.2
v2 (v2 costs)20Mon2.05.05+10 blendweekly19.8%16.7%10.1%25.3%3.42100%7.6
v2 (v2 costs)20Mon2.05.05+10 blendfortnightly25.0%22.9%10.1%22.8%4.95100%4.7
v2 (v2 costs)20Mon2.020.05-sessionweekly15.8%13.3%10.1%23.2%2.3875%8.5
v2 (v2 costs)20Mon2.020.05-sessionfortnightly15.1%13.7%10.1%23.4%2.2362%5.2
v2 (v2 costs)20Mon2.020.05+10 blendweekly16.3%14.3%10.1%24.9%2.4275%6.6
v2 (v2 costs)20Mon2.020.05+10 blendfortnightly18.1%16.8%10.1%23.4%3.2488%4.2
v2 (v2 costs)20Mon3.00.55-sessionweekly22.2%20.6%10.1%21.0%5.37100%3.0
v2 (v2 costs)20Mon3.00.55-sessionfortnightly17.4%16.8%10.1%24.6%3.5662%1.4
v2 (v2 costs)20Mon3.00.55+10 blendweekly21.5%20.4%10.1%20.9%4.71100%2.3
v2 (v2 costs)20Mon3.00.55+10 blendfortnightly19.6%18.9%10.1%31.1%4.0288%1.2
v2 (v2 costs)20Mon3.05.05-sessionweekly20.3%19.2%10.1%22.8%4.51100%2.9
v2 (v2 costs)20Mon3.05.05-sessionfortnightly15.9%15.4%10.1%25.8%3.175%1.3
v2 (v2 costs)20Mon3.05.05+10 blendweekly17.2%16.3%10.1%26.2%3.17100%2.2
v2 (v2 costs)20Mon3.05.05+10 blendfortnightly13.3%12.5%10.1%27.2%1.9975%1.3
v2 (v2 costs)20Mon3.020.05-sessionweekly13.4%12.6%10.1%25.3%1.8375%2.9
v2 (v2 costs)20Mon3.020.05-sessionfortnightly12.0%11.6%10.1%30.3%1.4562%1.5
v2 (v2 costs)20Mon3.020.05+10 blendweekly13.1%12.6%10.1%26.2%1.8462%1.9
v2 (v2 costs)20Mon3.020.05+10 blendfortnightly11.7%11.3%10.1%29.0%1.2762%1.2
v2 (v2 costs)20Tue1.00.55-sessionweekly22.5%8.9%10.1%26.4%4.13100%25.3
v2 (v2 costs)20Tue1.00.55-sessionfortnightly25.0%16.6%10.1%22.0%4.888%15.1
v2 (v2 costs)20Tue1.00.55+10 blendweekly21.9%10.6%10.1%29.8%3.69100%20.2
v2 (v2 costs)20Tue1.00.55+10 blendfortnightly24.8%17.5%10.1%29.1%4.65100%12.4
v2 (v2 costs)20Tue1.05.05-sessionweekly19.0%10.1%10.1%23.1%3.03100%23.5
v2 (v2 costs)20Tue1.05.05-sessionfortnightly20.4%14.8%10.1%21.1%3.5762%14.1
v2 (v2 costs)20Tue1.05.05+10 blendweekly18.3%10.9%10.1%31.7%2.71100%19.3
v2 (v2 costs)20Tue1.05.05+10 blendfortnightly21.5%16.5%10.1%22.9%3.7100%11.7
v2 (v2 costs)20Tue1.020.05-sessionweekly13.4%8.0%10.1%25.5%1.3562%19.9
v2 (v2 costs)20Tue1.020.05-sessionfortnightly13.2%9.8%10.1%22.1%1.4175%12.2
v2 (v2 costs)20Tue1.020.05+10 blendweekly14.1%9.5%10.1%25.9%1.5288%16.6
v2 (v2 costs)20Tue1.020.05+10 blendfortnightly15.6%12.6%10.1%25.8%2.2388%10.6
v2 (v2 costs)20Tue1.50.55-sessionweekly23.7%15.1%10.1%26.0%4.62100%15.4
v2 (v2 costs)20Tue1.50.55-sessionfortnightly22.1%17.0%10.1%27.6%4.1688%9.3
v2 (v2 costs)20Tue1.50.55+10 blendweekly24.9%17.6%10.1%24.5%4.6100%12.2
v2 (v2 costs)20Tue1.50.55+10 blendfortnightly23.3%18.7%10.1%32.5%4.3688%7.5
v2 (v2 costs)20Tue1.55.05-sessionweekly19.1%13.5%10.1%23.8%3.2988%14.6
v2 (v2 costs)20Tue1.55.05-sessionfortnightly18.0%14.4%10.1%24.7%3.0888%8.9
v2 (v2 costs)20Tue1.55.05+10 blendweekly19.1%14.4%10.1%25.6%3.1100%11.8
v2 (v2 costs)20Tue1.55.05+10 blendfortnightly19.0%15.9%10.1%24.1%3.1488%7.2
v2 (v2 costs)20Tue1.520.05-sessionweekly14.2%10.7%10.1%23.8%1.7275%12.6
v2 (v2 costs)20Tue1.520.05-sessionfortnightly13.2%11.0%10.1%27.1%1.4388%7.8
v2 (v2 costs)20Tue1.520.05+10 blendweekly14.9%11.9%10.1%27.8%1.988%10.1
v2 (v2 costs)20Tue1.520.05+10 blendfortnightly14.4%12.5%10.1%30.3%1.9388%6.4
v2 (v2 costs)20Tue2.00.55-sessionweekly23.8%18.6%10.1%24.9%4.91100%9.2
v2 (v2 costs)20Tue2.00.55-sessionfortnightly20.1%17.0%10.1%30.8%3.68100%5.8
v2 (v2 costs)20Tue2.00.55+10 blendweekly26.5%22.1%10.1%25.3%5.12100%7.1
v2 (v2 costs)20Tue2.00.55+10 blendfortnightly24.2%21.2%10.1%24.6%4.99100%4.8
v2 (v2 costs)20Tue2.05.05-sessionweekly17.4%14.0%10.1%26.2%2.9275%8.8
v2 (v2 costs)20Tue2.05.05-sessionfortnightly15.8%13.6%10.1%31.2%2.5588%5.4
v2 (v2 costs)20Tue2.05.05+10 blendweekly22.1%19.1%10.1%25.3%4.27100%7.0
v2 (v2 costs)20Tue2.05.05+10 blendfortnightly20.2%18.2%10.1%30.7%3.83100%4.6
v2 (v2 costs)20Tue2.020.05-sessionweekly13.3%11.1%10.1%25.1%1.4675%7.8
v2 (v2 costs)20Tue2.020.05-sessionfortnightly13.9%12.5%10.1%25.2%1.9288%4.8
v2 (v2 costs)20Tue2.020.05+10 blendweekly14.8%12.8%10.1%29.5%1.9575%6.5
v2 (v2 costs)20Tue2.020.05+10 blendfortnightly14.3%13.0%10.1%30.4%1.9562%4.1
v2 (v2 costs)20Tue3.00.55-sessionweekly19.0%17.4%10.1%20.6%3.888%3.0
v2 (v2 costs)20Tue3.00.55-sessionfortnightly16.3%15.3%10.1%26.2%3.0888%1.7
v2 (v2 costs)20Tue3.00.55+10 blendweekly20.4%19.0%10.1%24.5%4.0488%2.3
v2 (v2 costs)20Tue3.00.55+10 blendfortnightly18.2%17.4%10.1%31.1%3.5988%1.4
v2 (v2 costs)20Tue3.05.05-sessionweekly16.2%15.1%10.1%25.7%3.088%2.9
v2 (v2 costs)20Tue3.05.05-sessionfortnightly15.1%14.5%10.1%24.6%2.8875%1.5
v2 (v2 costs)20Tue3.05.05+10 blendweekly14.5%13.6%10.1%25.2%2.3375%2.3
v2 (v2 costs)20Tue3.05.05+10 blendfortnightly15.4%14.7%10.1%25.2%2.9475%1.3
v2 (v2 costs)20Tue3.020.05-sessionweekly12.7%11.9%10.1%27.7%1.7588%2.4
v2 (v2 costs)20Tue3.020.05-sessionfortnightly10.1%9.6%10.1%29.9%0.5350%1.5
v2 (v2 costs)20Tue3.020.05+10 blendweekly12.5%11.7%10.1%25.0%1.3875%2.4
v2 (v2 costs)20Tue3.020.05+10 blendfortnightly11.4%11.0%10.1%29.7%0.9988%1.3
v2 (v2 costs)20Wed1.00.55-sessionweekly21.4%8.2%10.1%25.0%3.71100%25.2
v2 (v2 costs)20Wed1.00.55-sessionfortnightly22.2%14.2%10.1%26.7%3.8988%14.8
v2 (v2 costs)20Wed1.00.55+10 blendweekly22.5%11.2%10.1%30.3%3.95100%20.0
v2 (v2 costs)20Wed1.00.55+10 blendfortnightly21.6%14.5%10.1%33.9%3.6788%12.6
v2 (v2 costs)20Wed1.05.05-sessionweekly15.6%7.3%10.1%24.0%2.1275%23.1
v2 (v2 costs)20Wed1.05.05-sessionfortnightly17.8%12.8%10.1%29.1%2.6788%13.5
v2 (v2 costs)20Wed1.05.05+10 blendweekly19.3%12.1%10.1%29.1%3.14100%18.8
v2 (v2 costs)20Wed1.05.05+10 blendfortnightly18.2%13.5%10.1%28.7%2.7100%11.8
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v2 (v2 costs)30Mon3.05.05+10 blendweekly16.7%15.8%10.1%25.1%3.64100%2.1
v2 (v2 costs)30Mon3.05.05+10 blendfortnightly14.6%14.1%10.1%25.5%2.7188%1.2
v2 (v2 costs)30Mon3.020.05-sessionweekly13.1%12.3%10.1%29.4%1.8375%2.7
v2 (v2 costs)30Mon3.020.05-sessionfortnightly11.2%10.8%10.1%29.2%1.1150%1.5
v2 (v2 costs)30Mon3.020.05+10 blendweekly13.1%12.5%10.1%31.0%1.9150%2.0
v2 (v2 costs)30Mon3.020.05+10 blendfortnightly12.2%11.4%10.1%31.4%1.5275%1.2
v2 (v2 costs)30Tue1.00.55-sessionweekly21.0%8.5%10.1%25.7%4.01100%23.7
v2 (v2 costs)30Tue1.00.55-sessionfortnightly24.7%16.9%10.1%22.3%5.24100%14.3
v2 (v2 costs)30Tue1.00.55+10 blendweekly23.3%12.5%10.1%26.3%4.42100%19.3
v2 (v2 costs)30Tue1.00.55+10 blendfortnightly24.5%17.8%10.1%28.4%4.83100%11.7
v2 (v2 costs)30Tue1.05.05-sessionweekly16.7%8.7%10.1%25.4%2.6488%21.8
v2 (v2 costs)30Tue1.05.05-sessionfortnightly18.8%13.8%10.1%19.8%3.51100%13.0
v2 (v2 costs)30Tue1.05.05+10 blendweekly16.6%9.8%10.1%27.1%2.5288%17.5
v2 (v2 costs)30Tue1.05.05+10 blendfortnightly19.0%14.7%10.1%24.0%3.5100%11.0
v2 (v2 costs)30Tue1.020.05-sessionweekly12.0%7.1%10.1%27.8%0.9350%17.6
v2 (v2 costs)30Tue1.020.05-sessionfortnightly10.6%7.7%10.1%29.1%0.3762%10.6
v2 (v2 costs)30Tue1.020.05+10 blendweekly11.6%7.8%10.1%31.2%0.7662%14.3
v2 (v2 costs)30Tue1.020.05+10 blendfortnightly11.3%8.9%10.1%32.8%0.6950%9.0
v2 (v2 costs)30Tue1.50.55-sessionweekly22.1%13.9%10.1%25.3%4.43100%14.8
v2 (v2 costs)30Tue1.50.55-sessionfortnightly24.1%19.2%10.1%24.1%5.29100%8.6
v2 (v2 costs)30Tue1.50.55+10 blendweekly24.1%17.4%10.1%27.3%4.77100%11.6
v2 (v2 costs)30Tue1.50.55+10 blendfortnightly23.7%19.4%10.1%30.0%5.04100%7.1
v2 (v2 costs)30Tue1.55.05-sessionweekly17.1%11.7%10.1%25.2%2.988%13.5
v2 (v2 costs)30Tue1.55.05-sessionfortnightly18.1%14.8%10.1%23.2%3.3775%8.1
v2 (v2 costs)30Tue1.55.05+10 blendweekly16.8%12.5%10.1%30.8%2.688%11.0
v2 (v2 costs)30Tue1.55.05+10 blendfortnightly17.0%13.9%10.1%27.8%2.8988%6.8
v2 (v2 costs)30Tue1.520.05-sessionweekly13.0%9.9%10.1%28.6%1.4562%11.3
v2 (v2 costs)30Tue1.520.05-sessionfortnightly10.9%9.0%10.1%30.0%0.5662%6.7
v2 (v2 costs)30Tue1.520.05+10 blendweekly12.4%9.7%10.1%31.2%1.1475%9.3
v2 (v2 costs)30Tue1.520.05+10 blendfortnightly11.3%10.1%10.1%32.8%0.775%5.7
v2 (v2 costs)30Tue2.00.55-sessionweekly22.4%17.6%10.1%26.7%4.92100%8.8
v2 (v2 costs)30Tue2.00.55-sessionfortnightly21.1%18.2%10.1%30.3%4.44100%5.4
v2 (v2 costs)30Tue2.00.55+10 blendweekly27.0%22.7%10.1%24.1%5.95100%6.9
v2 (v2 costs)30Tue2.00.55+10 blendfortnightly22.6%19.8%10.1%31.3%4.8188%4.6
v2 (v2 costs)30Tue2.05.05-sessionweekly17.0%13.7%10.1%27.1%3.15100%8.3
v2 (v2 costs)30Tue2.05.05-sessionfortnightly17.2%15.2%10.1%27.5%3.4100%4.9
v2 (v2 costs)30Tue2.05.05+10 blendweekly19.8%17.0%10.1%27.8%4.13100%6.7
v2 (v2 costs)30Tue2.05.05+10 blendfortnightly18.0%16.3%10.1%29.0%3.5588%4.2
v2 (v2 costs)30Tue2.020.05-sessionweekly12.4%10.3%10.1%31.7%1.1962%7.2
v2 (v2 costs)30Tue2.020.05-sessionfortnightly13.6%12.2%10.1%28.4%2.0175%4.3
v2 (v2 costs)30Tue2.020.05+10 blendweekly13.7%11.8%10.1%31.0%1.8288%6.0
v2 (v2 costs)30Tue2.020.05+10 blendfortnightly12.7%11.7%10.1%33.0%1.5175%3.8
v2 (v2 costs)30Tue3.00.55-sessionweekly17.7%16.5%10.1%25.9%3.82100%2.9
v2 (v2 costs)30Tue3.00.55-sessionfortnightly16.0%15.1%10.1%28.2%3.488%1.6
v2 (v2 costs)30Tue3.00.55+10 blendweekly19.3%18.1%10.1%27.9%4.31100%2.2
v2 (v2 costs)30Tue3.00.55+10 blendfortnightly17.9%16.9%10.1%29.9%3.9988%1.4
v2 (v2 costs)30Tue3.05.05-sessionweekly15.1%14.1%10.1%26.5%3.0888%2.6
v2 (v2 costs)30Tue3.05.05-sessionfortnightly13.5%12.9%10.1%29.8%2.2975%1.5
v2 (v2 costs)30Tue3.05.05+10 blendweekly14.4%13.5%10.1%24.2%2.775%2.1
v2 (v2 costs)30Tue3.05.05+10 blendfortnightly15.4%14.8%10.1%24.7%3.3475%1.2
v2 (v2 costs)30Tue3.020.05-sessionweekly11.3%10.6%10.1%29.4%1.075%2.6
v2 (v2 costs)30Tue3.020.05-sessionfortnightly9.6%9.1%10.1%31.2%0.0738%1.6
v2 (v2 costs)30Tue3.020.05+10 blendweekly11.6%11.0%10.1%29.1%1.0788%2.0
v2 (v2 costs)30Tue3.020.05+10 blendfortnightly11.6%11.1%10.1%31.6%1.1175%1.4
v2 (v2 costs)30Wed1.00.55-sessionweekly18.9%6.6%10.1%26.2%3.35100%23.9
v2 (v2 costs)30Wed1.00.55-sessionfortnightly19.9%12.5%10.1%28.4%3.48100%13.9
v2 (v2 costs)30Wed1.00.55+10 blendweekly22.6%12.1%10.1%28.7%4.28100%18.8
v2 (v2 costs)30Wed1.00.55+10 blendfortnightly21.1%14.4%10.1%31.1%3.9100%11.7
v2 (v2 costs)30Wed1.05.05-sessionweekly14.8%7.1%10.1%27.2%2.0675%21.5
v2 (v2 costs)30Wed1.05.05-sessionfortnightly16.2%11.3%10.1%27.7%2.48100%12.7
v2 (v2 costs)30Wed1.05.05+10 blendweekly15.8%9.3%10.1%31.0%2.25100%17.4
v2 (v2 costs)30Wed1.05.05+10 blendfortnightly16.1%12.1%10.1%30.0%2.32100%10.6
v2 (v2 costs)30Wed1.020.05-sessionweekly12.7%8.0%10.1%28.4%1.3362%17.6
v2 (v2 costs)30Wed1.020.05-sessionfortnightly13.5%10.5%10.1%30.8%1.7275%10.3
v2 (v2 costs)30Wed1.020.05+10 blendweekly13.5%9.6%10.1%29.4%1.6188%14.0
v2 (v2 costs)30Wed1.020.05+10 blendfortnightly12.0%9.6%10.1%31.8%1.075%8.7
v2 (v2 costs)30Wed1.50.55-sessionweekly20.4%12.7%10.1%26.7%3.83100%14.3
v2 (v2 costs)30Wed1.50.55-sessionfortnightly19.6%14.8%10.1%31.1%3.67100%9.0
v2 (v2 costs)30Wed1.50.55+10 blendweekly22.2%15.6%10.1%30.0%4.48100%11.5
v2 (v2 costs)30Wed1.50.55+10 blendfortnightly22.0%17.7%10.1%32.5%4.4688%7.6
v2 (v2 costs)30Wed1.55.05-sessionweekly16.1%11.1%10.1%25.6%2.6175%13.4
v2 (v2 costs)30Wed1.55.05-sessionfortnightly15.9%12.8%10.1%29.3%2.63100%8.1
v2 (v2 costs)30Wed1.55.05+10 blendweekly15.8%11.7%10.1%28.2%2.3288%10.7
v2 (v2 costs)30Wed1.55.05+10 blendfortnightly16.6%13.8%10.1%28.7%2.82100%7.1
v2 (v2 costs)30Wed1.520.05-sessionweekly11.4%8.3%10.1%30.7%0.7562%11.3
v2 (v2 costs)30Wed1.520.05-sessionfortnightly11.7%9.8%10.1%30.1%0.9875%7.0
v2 (v2 costs)30Wed1.520.05+10 blendweekly14.1%11.4%10.1%29.2%1.9488%9.2
v2 (v2 costs)30Wed1.520.05+10 blendfortnightly12.2%10.5%10.1%32.5%1.1775%5.9
v2 (v2 costs)30Wed2.00.55-sessionweekly19.0%14.5%10.1%28.0%3.53100%8.7
v2 (v2 costs)30Wed2.00.55-sessionfortnightly19.8%16.8%10.1%30.7%4.07100%5.6
v2 (v2 costs)30Wed2.00.55+10 blendweekly21.2%17.3%10.1%29.0%4.24100%6.8
v2 (v2 costs)30Wed2.00.55+10 blendfortnightly23.3%20.7%10.1%31.9%5.1588%4.6
v2 (v2 costs)30Wed2.05.05-sessionweekly14.8%11.8%10.1%23.9%2.1462%8.1
v2 (v2 costs)30Wed2.05.05-sessionfortnightly15.6%13.7%10.1%29.4%2.6588%5.1
v2 (v2 costs)30Wed2.05.05+10 blendweekly17.2%14.7%10.1%28.7%3.14100%6.2
v2 (v2 costs)30Wed2.05.05+10 blendfortnightly16.3%14.6%10.1%32.4%2.85100%4.2
v2 (v2 costs)30Wed2.020.05-sessionweekly12.3%10.2%10.1%28.5%1.250%7.0
v2 (v2 costs)30Wed2.020.05-sessionfortnightly11.9%10.5%10.1%30.2%1.0875%4.7
v2 (v2 costs)30Wed2.020.05+10 blendweekly12.7%11.1%10.1%30.3%1.4375%5.5
v2 (v2 costs)30Wed2.020.05+10 blendfortnightly11.6%10.5%10.1%32.8%0.9475%3.7
v2 (v2 costs)30Wed3.00.55-sessionweekly17.7%16.3%10.1%21.7%3.988%2.7
v2 (v2 costs)30Wed3.00.55-sessionfortnightly19.3%18.4%10.1%26.5%4.32100%1.6
v2 (v2 costs)30Wed3.00.55+10 blendweekly17.1%16.1%10.1%25.0%3.24100%1.9
v2 (v2 costs)30Wed3.00.55+10 blendfortnightly18.3%17.6%10.1%26.8%4.0888%1.3
v2 (v2 costs)30Wed3.05.05-sessionweekly17.8%16.8%10.1%23.7%4.1275%2.5
v2 (v2 costs)30Wed3.05.05-sessionfortnightly14.9%13.0%10.1%25.7%2.6588%1.6
v2 (v2 costs)30Wed3.05.05+10 blendweekly15.2%14.5%10.1%27.8%2.9188%1.8
v2 (v2 costs)30Wed3.05.05+10 blendfortnightly16.2%15.8%10.1%24.8%3.52100%1.1
v2 (v2 costs)30Wed3.020.05-sessionweekly12.3%11.6%10.1%26.5%1.4275%2.4
v2 (v2 costs)30Wed3.020.05-sessionfortnightly12.2%11.7%10.1%29.3%1.4862%1.5
v2 (v2 costs)30Wed3.020.05+10 blendweekly11.9%11.2%10.1%30.1%1.3450%1.8
v2 (v2 costs)30Wed3.020.05+10 blendfortnightly12.9%12.9%10.1%29.7%2.1162%1.2
v2 (v2 costs)30Thu1.00.55-sessionweekly17.6%5.9%10.1%23.4%3.0488%22.8
v2 (v2 costs)30Thu1.00.55-sessionfortnightly17.7%10.5%10.1%27.4%2.9488%13.9
v2 (v2 costs)30Thu1.00.55+10 blendweekly19.5%9.5%10.1%24.8%3.4788%18.6
v2 (v2 costs)30Thu1.00.55+10 blendfortnightly21.3%14.8%10.1%26.7%3.87100%11.7
v2 (v2 costs)30Thu1.05.05-sessionweekly15.7%8.1%10.1%23.9%2.3462%20.9
v2 (v2 costs)30Thu1.05.05-sessionfortnightly13.7%9.0%10.1%27.3%1.675%13.1
v2 (v2 costs)30Thu1.05.05+10 blendweekly15.1%8.6%10.1%26.1%2.0462%17.2
v2 (v2 costs)30Thu1.05.05+10 blendfortnightly14.3%10.1%10.1%30.7%1.6675%11.3
v2 (v2 costs)30Thu1.020.05-sessionweekly14.1%9.4%10.1%23.6%1.8262%17.3
v2 (v2 costs)30Thu1.020.05-sessionfortnightly13.4%10.5%10.1%27.2%1.5188%10.8
v2 (v2 costs)30Thu1.020.05+10 blendweekly13.5%9.7%10.1%25.9%1.5175%13.9
v2 (v2 costs)30Thu1.020.05+10 blendfortnightly14.3%11.7%10.1%27.2%1.8575%9.2
v2 (v2 costs)30Thu1.50.55-sessionweekly20.6%12.9%10.1%21.8%4.2288%14.3
v2 (v2 costs)30Thu1.50.55-sessionfortnightly21.7%16.8%10.1%25.9%4.23100%8.9
v2 (v2 costs)30Thu1.50.55+10 blendweekly21.3%14.8%10.1%23.2%4.09100%11.5
v2 (v2 costs)30Thu1.50.55+10 blendfortnightly25.1%20.6%10.1%26.2%5.03100%7.2
v2 (v2 costs)30Thu1.55.05-sessionweekly15.6%10.7%10.1%24.1%2.4362%13.2
v2 (v2 costs)30Thu1.55.05-sessionfortnightly14.9%11.6%10.1%24.8%2.1550%8.3
v2 (v2 costs)30Thu1.55.05+10 blendweekly15.8%11.7%10.1%27.7%2.4175%10.7
v2 (v2 costs)30Thu1.55.05+10 blendfortnightly16.3%13.3%10.1%26.0%2.4675%7.3
v2 (v2 costs)30Thu1.520.05-sessionweekly13.2%10.1%10.1%24.5%1.5450%11.1
v2 (v2 costs)30Thu1.520.05-sessionfortnightly14.0%11.9%10.1%26.4%1.9262%7.2
v2 (v2 costs)30Thu1.520.05+10 blendweekly12.9%10.4%10.1%28.3%1.3975%8.8
v2 (v2 costs)30Thu1.520.05+10 blendfortnightly13.8%12.1%10.1%29.6%1.7375%6.1
v2 (v2 costs)30Thu2.00.55-sessionweekly21.2%16.3%10.1%22.0%4.4100%9.2
v2 (v2 costs)30Thu2.00.55-sessionfortnightly19.0%15.9%10.1%25.1%3.53100%5.5
v2 (v2 costs)30Thu2.00.55+10 blendweekly20.9%16.9%10.1%26.5%4.13100%7.0
v2 (v2 costs)30Thu2.00.55+10 blendfortnightly24.6%21.8%10.1%21.8%4.97100%4.4
v2 (v2 costs)30Thu2.05.05-sessionweekly15.1%11.8%10.1%25.2%2.462%8.6
v2 (v2 costs)30Thu2.05.05-sessionfortnightly15.5%14.2%10.1%27.1%2.5650%5.1
v2 (v2 costs)30Thu2.05.05+10 blendweekly16.2%13.5%10.1%28.8%2.6275%6.4
v2 (v2 costs)30Thu2.05.05+10 blendfortnightly17.5%15.8%10.1%23.8%3.1588%4.2
v2 (v2 costs)30Thu2.020.05-sessionweekly11.8%9.7%10.1%28.4%0.9250%7.4
v2 (v2 costs)30Thu2.020.05-sessionfortnightly12.4%11.3%10.1%28.8%1.1950%4.5
v2 (v2 costs)30Thu2.020.05+10 blendweekly12.3%10.6%10.1%29.0%1.1262%5.6
v2 (v2 costs)30Thu2.020.05+10 blendfortnightly11.1%10.0%10.1%28.9%0.5750%3.7
v2 (v2 costs)30Thu3.00.55-sessionweekly19.1%17.7%10.1%23.3%4.22100%2.6
v2 (v2 costs)30Thu3.00.55-sessionfortnightly20.5%19.6%10.1%24.3%4.71100%1.6
v2 (v2 costs)30Thu3.00.55+10 blendweekly22.8%21.4%10.1%24.7%5.37100%2.2
v2 (v2 costs)30Thu3.00.55+10 blendfortnightly24.0%23.0%10.1%24.4%5.21100%1.6
v2 (v2 costs)30Thu3.05.05-sessionweekly16.9%15.9%10.1%22.9%3.5875%2.6
v2 (v2 costs)30Thu3.05.05-sessionfortnightly17.7%17.0%10.1%20.5%4.0875%1.6
v2 (v2 costs)30Thu3.05.05+10 blendweekly16.6%15.7%10.1%24.9%3.3288%2.0
v2 (v2 costs)30Thu3.05.05+10 blendfortnightly14.6%14.0%10.1%24.0%2.4875%1.3
v2 (v2 costs)30Thu3.020.05-sessionweekly13.2%12.6%10.1%27.1%1.8362%2.4
v2 (v2 costs)30Thu3.020.05-sessionfortnightly10.5%9.9%10.1%27.6%0.4950%1.5
v2 (v2 costs)30Thu3.020.05+10 blendweekly12.9%12.1%10.1%27.0%1.8850%1.8
v2 (v2 costs)30Thu3.020.05+10 blendfortnightly9.1%9.0%10.1%29.3%-0.2150%1.2
v2 (v2 costs)30Fri1.00.55-sessionweekly18.3%7.1%10.1%25.3%3.3588%21.3
v2 (v2 costs)30Fri1.00.55-sessionfortnightly19.9%13.1%10.1%23.6%3.9388%12.5
v2 (v2 costs)30Fri1.00.55+10 blendweekly20.7%10.8%10.1%28.2%3.9288%17.5
v2 (v2 costs)30Fri1.00.55+10 blendfortnightly23.3%17.0%10.1%22.9%4.81100%10.6
v2 (v2 costs)30Fri1.05.05-sessionweekly16.1%8.5%10.1%26.2%2.5575%19.9
v2 (v2 costs)30Fri1.05.05-sessionfortnightly15.9%11.4%10.1%29.2%2.4375%11.6
v2 (v2 costs)30Fri1.05.05+10 blendweekly17.1%10.7%10.1%27.5%2.7488%16.5
v2 (v2 costs)30Fri1.05.05+10 blendfortnightly15.7%11.7%10.1%28.0%2.2488%10.1
v2 (v2 costs)30Fri1.020.05-sessionweekly13.1%8.7%10.1%32.3%1.4262%16.0
v2 (v2 costs)30Fri1.020.05-sessionfortnightly13.1%10.4%10.1%32.4%1.3762%9.5
v2 (v2 costs)30Fri1.020.05+10 blendweekly14.1%10.6%10.1%30.0%1.8388%13.2
v2 (v2 costs)30Fri1.020.05+10 blendfortnightly13.9%11.5%10.1%31.8%1.61100%8.1
v2 (v2 costs)30Fri1.50.55-sessionweekly24.4%16.7%10.1%21.1%5.588%13.5
v2 (v2 costs)30Fri1.50.55-sessionfortnightly19.4%15.0%10.1%23.4%3.8988%7.8
v2 (v2 costs)30Fri1.50.55+10 blendweekly24.1%18.0%10.1%22.7%5.09100%10.8
v2 (v2 costs)30Fri1.50.55+10 blendfortnightly22.3%18.3%10.1%20.0%4.6788%6.6
v2 (v2 costs)30Fri1.55.05-sessionweekly16.0%11.2%10.1%27.0%2.5388%12.2
v2 (v2 costs)30Fri1.55.05-sessionfortnightly14.6%11.8%10.1%28.6%2.0175%7.3
v2 (v2 costs)30Fri1.55.05+10 blendweekly17.6%13.5%10.1%26.9%3.0288%10.1
v2 (v2 costs)30Fri1.55.05+10 blendfortnightly17.0%14.4%10.1%27.8%2.6588%6.2
v2 (v2 costs)30Fri1.520.05-sessionweekly13.0%10.0%10.1%28.5%1.3975%10.3
v2 (v2 costs)30Fri1.520.05-sessionfortnightly13.9%12.2%10.1%29.7%1.8588%6.1
v2 (v2 costs)30Fri1.520.05+10 blendweekly13.4%10.8%10.1%29.7%1.4975%8.7
v2 (v2 costs)30Fri1.520.05+10 blendfortnightly14.2%12.6%10.1%30.5%1.8688%5.2
v2 (v2 costs)30Fri2.00.55-sessionweekly21.3%16.6%10.1%20.4%4.64100%8.0
v2 (v2 costs)30Fri2.00.55-sessionfortnightly21.6%19.1%10.1%20.1%4.6288%4.4
v2 (v2 costs)30Fri2.00.55+10 blendweekly22.5%18.5%10.1%21.9%4.79100%6.7
v2 (v2 costs)30Fri2.00.55+10 blendfortnightly21.5%19.0%10.1%23.4%4.77100%3.7
v2 (v2 costs)30Fri2.05.05-sessionweekly15.9%12.8%10.1%26.0%2.6475%7.7
v2 (v2 costs)30Fri2.05.05-sessionfortnightly16.0%14.3%10.1%25.8%2.675%4.1
v2 (v2 costs)30Fri2.05.05+10 blendweekly16.8%14.2%10.1%26.3%2.86100%6.3
v2 (v2 costs)30Fri2.05.05+10 blendfortnightly17.6%16.0%10.1%25.5%3.25100%3.4
v2 (v2 costs)30Fri2.020.05-sessionweekly11.5%9.6%10.1%27.6%0.8175%6.8
v2 (v2 costs)30Fri2.020.05-sessionfortnightly12.5%10.9%10.1%28.0%1.2850%4.1
v2 (v2 costs)30Fri2.020.05+10 blendweekly12.8%11.2%10.1%28.5%1.2975%5.3
v2 (v2 costs)30Fri2.020.05+10 blendfortnightly13.9%12.8%10.1%29.5%1.8775%3.3
v2 (v2 costs)30Fri3.00.55-sessionweekly18.2%16.6%10.1%25.5%3.9188%2.8
v2 (v2 costs)30Fri3.00.55-sessionfortnightly21.9%21.5%10.1%21.9%5.0188%1.3
v2 (v2 costs)30Fri3.00.55+10 blendweekly24.4%23.1%10.1%17.4%6.19100%2.0
v2 (v2 costs)30Fri3.00.55+10 blendfortnightly23.0%22.2%10.1%21.9%5.62100%1.2
v2 (v2 costs)30Fri3.05.05-sessionweekly15.7%14.7%10.1%22.4%3.1875%2.6
v2 (v2 costs)30Fri3.05.05-sessionfortnightly17.3%16.7%10.1%24.2%3.4975%1.2
v2 (v2 costs)30Fri3.05.05+10 blendweekly16.2%15.4%10.1%28.1%3.02100%1.9
v2 (v2 costs)30Fri3.05.05+10 blendfortnightly16.1%15.5%10.1%26.9%3.1762%1.2
v2 (v2 costs)30Fri3.020.05-sessionweekly11.4%10.6%10.1%27.1%0.8662%2.6
v2 (v2 costs)30Fri3.020.05-sessionfortnightly12.5%12.0%10.1%25.1%1.4962%1.4
v2 (v2 costs)30Fri3.020.05+10 blendweekly12.2%11.6%10.1%31.6%1.1988%2.1
v2 (v2 costs)30Fri3.020.05+10 blendfortnightly11.7%11.3%10.1%31.9%1.0462%1.3

Rules and parameters

Rules

  1. Universe: Nifty 500 members on the date (point-in-time), 20-day median traded value ≥ ₹0.5 crore for the model and ≥ ₹5 crore for the v2 portfolio.
  2. Features through the close of day t: 17 stock features as within-day percentile ranks, 10 market-context features (index returns and volatility, India VIX, breadth), 4 rank × VIX-regime interactions.
  3. Model: LightGBM regression, target = cross-sectional rank of the open(t+1) to open(t+6) return; expanding yearly walk-forward with a 6-session embargo; v2 optionally blends a 10-session model.
  4. Portfolio (v2): rebalance every second Friday close, orders at the next open; keep a holder unless a challenger's score exceeds it by 2 standard deviations of that day's scores; equal weight over N = 30; empty slots in cash.
  5. Costs: Indian delivery schedule plus slippage per fill of 0.05% (traded value ≥ ₹100 cr), 0.10% (₹20-100 cr), 0.25% (₹5-20 cr), 0.50% (below ₹5 cr); stressed at 2x and 3x.

Parameters

capital
₹50,00,000
development
2010-2017 (540 configurations)
validation
2018-01 to 2025-09, one run per frozen version
sealed
opened once 2026-10-31 (research/rank500/holdout_ledger.json)
survivorship allowance
4%/yr in the gates (member coverage 60-94%)
pre-registration
research/rank500/STRATEGY_RANK500.md
paper
forward from 2026-11-02, spec research/rank500/paper_spec.json
report
docs/rank500-weekly-ranking.html
code
research/rank500/
re-test
survivorship-free, research/combo/ (data/rank500_sf)
documentation
https://strategyreview.tradetechanalytics.com/docs/nifty500-trio-comparison.html and docs/rank500-weekly-ranking.html

Instrument

Equal-weight basket of 30 Nifty 500 stocks (cash delivery), fortnightly rebalance (v2), ₹50,00,000 · capital ₹5,000,000

Known limitations

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.