Long the index when DMA regime confirmed bull for 2 trading days. Cash (earning country's liquid fund yield) when confirmed bear for 2 trading days. Compared against simple buy-and-hold.
—confirm 2 days
How this strategy works. Each day, we check if the regime (price above/below the chosen DMA) has been consistent for at least 2 trading days. If two consecutive bull days → go long the index. If two consecutive bear days → move to cash earning the country's risk-free rate. Otherwise, hold the previous position. This 2-day confirmation reduces whipsaws from one-day regime flips. No transaction costs, no slippage. Cash yield is approximate but realistic.
Strategy
Long in bull / cash in bear —
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Total return
CAGR
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Sharpe
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Ann. vol
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Max drawdown
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Benchmark
Buy & hold just held the index
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Total return
CAGR
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Sharpe
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Ann. vol
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Max drawdown
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Strategy vs Buy & hold
Return difference
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strategy minus B&H
Vol reduction
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lower vol is better
Drawdown reduction
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less negative is better
Equity curve — ₹100 invested at start
Strategy behaviour
Total trades
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buys + sells
Buys
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cash → long
Sells
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long → cash
% time invested
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Most recent 30 trades
Date
Action
Index price
Trigger (2 days of consistent regime)
What to look for. Three questions to answer with this backtest:
Does the strategy reduce drawdown? Usually yes — exiting in bear regimes typically dodges the worst of the crashes.
Does it reduce volatility? Almost always yes — cash periods damp the overall ride.
Does the return give-up justify the risk reduction? Compare the Sharpe ratios. If strategy Sharpe ≥ buy-and-hold Sharpe, you got risk-adjusted improvement.
Pre-cost gross returns. Real-world friction (commissions, bid-ask, taxes on each trade) would erode strategy returns more than buy-and-hold's. Strategies with many trades suffer more. Not investment advice — see DisclaimerTerms.