Verdict
Failed: more risk, same lack of edge
Regime-scaled risk gave +0.8% in development (drawdown 30.5%, breaching the 25% limit) and -2.6% in validation, below the random-entry medians (+4.0% and -4.9%).
- Why it was tried: v1 was invested only about 43% of the time and lost in weak markets, so risking more in calm uptrends looked like a way to lift returns. Result: the entries still have no edge, so extra risk only enlarged the swings: 2016, 2018 and 2022 lost 15%, 12% and 11%, and the strategy hit its drawdown halt twice.
- Failed conditions: development drawdown above 25%; after the 4% allowance the 2x-cost CAGR is negative in both periods; alpha not positive; positive years below 60% in development; development CAGR below the random-entry 90th percentile.
- Lesson: sizing and regime rules cannot create an edge that the entry signal lacks; they change how much the beta-like profits and losses are amplified.
- One configuration, pre-registered in STRATEGY_RSI50_V2.md before the run; the sealed period from 2025-10-01 stays unopened.
Promotion gates
No gates published for this strategy.
Explain the strategy
We tried betting more when the market looked calm and rising. The rule still had no real edge, so betting more just made the ups and downs bigger, and the worst drop went past our 25% limit.
Report
Regime-scaled risk by period and cost level, with the random-entry null
| Period | Costs | Net CAGR | After 4% allowance | Max drawdown | Sharpe | Trades | Drawdown halts | Share invested | Alpha t | Nifty 500 CAGR |
|---|---|---|---|---|---|---|---|---|---|---|
| Development 2015-2023 | 1x (base) | +0.8% | -3.2% | 30.5% | 0.13 | 607.0 | 2.0 | 43% | -0.87 | +12.4% |
| Development 2015-2023 | 2x | -2.8% | -6.8% | 37.6% | -0.27 | 599.0 | 3.0 | 42% | -2.17 | +12.4% |
| Development 2015-2023 | 3x | -5.5% | -9.5% | 45.1% | -0.6 | 550.0 | 4.0 | 38% | -3.27 | +12.4% |
| Validation 2024-01 to 2025-09 | 1x (base) | -2.6% | -6.6% | 15.8% | -0.14 | 151.0 | 0.0 | 61% | -0.94 | +9.4% |
| Validation 2024-01 to 2025-09 | 2x | -5.7% | -9.7% | 17.3% | -0.42 | 142.0 | 0.0 | 56% | -1.43 | +9.4% |
| Validation 2024-01 to 2025-09 | 3x | -9.1% | -13.1% | 20.2% | -0.73 | 157.0 | 0.0 | 57% | -2.0 | +9.4% |
| Development 2015-2023 | random-entry null (30 seeds) | median +4.0%, 90th pct +7.5% | ||||||||
| Validation 2024-01 to 2025-09 | random-entry null (30 seeds) | median -4.9%, 90th pct +0.1% |
Rules and parameters
Rules
- Entry, stop and exits as Tidewater v1 (50 calendar days below RSI 50, cross above 50, stop at the 50-session low, +1.5R, RSI above 75, SMA50 + 2 sd).
- Risk per trade 2.0% of equity when the Nifty 500 closes above its 200-day average AND India VIX is at or below 20 at the previous close; otherwise 0.75%. Position cap 12% of equity, 15 positions, drawdown brake and costs as v1.
Parameters
- risk
- 2.0% in a calm uptrend, 0.75% otherwise
- position cap
- 12% of equity
- pre-registration
- research/rsi50/STRATEGY_RSI50_V2.md (Study 2)
- periods
- development 2015-2023; validation 2024-01 to 2025-09; sealed unopened
Instrument
Nifty 500 stocks (point-in-time membership, ADV at least ₹5 crore), delivery, whole shares · capital ₹1,000,000
Known limitations
- Survivorship: delisted-name coverage of the price store is the same limitation as MFS-15; a 4% a year allowance is subtracted in the headline.
- Daily bars: stop-versus-target order inside one bar is assumed stop-first; opening and closing auctions are not modelled.
- Slippage tiers by traded value are assumptions carried over from MFS-15.
- Three runs and the disclosed amendments reduce the weight of the result; it is a failure either way.
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.