Performance Results
Equity curve - trailing-stop basis
A momentum-driven breakdown strategy designed to capture major intraday downward trends, mirroring the Long Trend logic.
Prepared for client review. Contains an illustrative backtest, not investment advice or a guarantee of future results.
A momentum-driven strategy designed to capture major intraday trends. It triggers on strong directional momentum confirmed by market internals (Equity Matrix & Apex) and capital inflow (Equity Flow).
The system calculates the AVG5 (5-bar trailing average) price when conditions align, creating a stabilized base rather than chasing an erratic spike.
A trade is only executed when the price subsequently breaks the stabilized AVG5 level, acting as a final confirmation filter.
By requiring multi-timeframe breadth confirmation and capital inflows, false breakouts are minimized. The strict risk-capping logic protects capital during choppy regimes.
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).
Models the financial outcome of the 178 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.
Baseline -125pt SL paired with a 100-pt step Trailing Stop.
Strict -125pt stop-loss, trailing at +100pt steps. Capping downside while keeping upside open for trend capture.
An alternative 75/25 rule increased win rate but significantly reduced mathematical expectancy by cutting massive runners short.
A vulnerability in many trend-following strategies is the lack of an initial stop-loss before the trailing stop activates, exposing the strategy to uncapped adverse moves on immediate failures.
Chokes the strategy — stops out too many trades that eventually recover. A −50pt stop prematurely stops out over 84.8% of trades (151/178), severely reducing mathematical expectancy.
Worst-case tail risk is cleanly severed while giving the trade enough room to breathe. Stop-out rate drops to 63.9% (114/178), allowing maximum profit capture.
| Metric | Buy Option (A) | Sell Option (B) | Futures (C) |
|---|---|---|---|
| Return Metrics | |||
| Total P&L (₹) | ₹61,971 | ₹61,971 | ₹123,942 |
| Total Return % | 103.3% | 10.3% | 36.5% |
| CAGR (Annualized %) | 53.9% | 6.1% | 20.7% |
| Risk-Adjusted Metrics | |||
| Sharpe Ratio (Trade) | 0.03 | 0.03 | 0.03 |
| Sortino Ratio | - | - | - |
| Calmar Ratio | 0.25 | 0.28 | 0.27 |
| Drawdown Metrics | |||
| Max Drawdown (₹) | −₹129,360 | −₹129,360 | −₹258,720 |
| Max Drawdown % | −215.6% | −21.6% | −76.1% |
| Trade-Level Metrics | |||
| Win Rate (%) | 36.1% | 36.1% | 36.1% |
| Largest Win (₹) | ₹47,826 | ₹47,826 | ₹95,652 |
| Largest Loss (₹) | −₹7,500 | −₹7,500 | −₹15,000 |
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.
The theoretical maximum profit available from the entry price through the end of the trading day.
Nearly all confirmed entries (89.8%) reach at least breakeven MFE, with nearly half retaining 100+ pts of favorable move before day's end — this is the raw opportunity the trailing exit method is designed to capture.
What if we just closed the trade after a fixed amount of time?
At what time of day does the strategy typically hit its absolute highest profit (for trades crossing +100pts)?
The vast majority (over 61%) of maximum favorable excursions are achieved in the final 90 minutes of the trading day. This underscores why capping trade duration (e.g., exiting after 60 minutes) heavily limits profitability.
Models the financial outcome of the 178 trades using standard lot sizing (4 lots = 120 units).
| 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 | ₹61,971 | ₹61,971 | ₹123,942 |
| Max Drawdown (₹) | −₹129,360 | −₹129,360 | −₹258,720 |
| Win Rate | 36.1% | 36.1% | 36.1% |
| Max Consecutive Losses | ~11 | ~11 | ~11 |
| Largest Single Win | ₹47,826 | ₹47,826 | ₹95,652 |
| Largest Single Loss (Baseline) | −₹7,500 | −₹7,500 | −₹15,000 |
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.
Each of the 178 executed trades is logged with its entry time, entry price, max favorable/adverse move, and final trailing-stop outcome.
Full row-level trade log available as a companion data file.
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2026-06-23 | 10:50 | 10:53 @ 57893.8 | 15:30 @ 57096.7 | +797.10 (EOD) | +802.2 / -17.2 |
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2025-10-13 | 11:20 | 11:22 @ 56777.4 | 14:25 @ 56902.4 | -125.00 (SL) | +46.2 / -172.4 |
| Date | Signal | Entry | Exit | Outcome (pts) | MFE / MAE |
|---|---|---|---|---|---|
| 2025-01-21 | 14:18 | 14:20 @ 48840.0 | 15:10 @ 48740.0 | +100.00 (TS_100) | +205.7 / -48.0 |
The Rulebook's manual price stabilization and bearish candle confirmation is not fully automated. It is mathematically approximated via the AVG5 level-break mechanic.
Unlike the Long Trend, the Short Trend exhibits massive drawdowns (over 2000 pts) indicating that shorting momentum in this regime is structurally more difficult than buying it.
Simulation results are purely gross and do not deduct brokerage, STT, exchange transaction charges, stamp duty, or SEBI turnover fees. For 178 trades (356 legs), these frictional costs will significantly compress net yields.
This strategy has not yet been promoted to confirmed/live status internally. While it has cleared sample-size and historical-accuracy gates (analyzing 178 trades), regime stability under out-of-sample walk-forward testing is under active review, particularly to ensure the high stop-out rate (63.9%) remains within modeled tolerances.