A rigorous historical simulation of a proprietary intraday trend-following system on NSE equities. 4+ years. Every trade accounted for. Fees deducted. No illusions.
Cumulative equity across all 1,785 trades. Fixed capital mode — no compounding of position size.
Five consecutive positive years. No calendar year ended in loss.
96.2% monthly win rate. Both negative months occurred in the earliest phase of the study period.
Raw returns are the story. Risk-adjusted ratios are the integrity check.
Maximum drawdown across the full 4+ year period. A system's resilience is measured by how it behaves under pressure — not just in favourable conditions.
| Granularity | Total Periods | Negative | Negative % | Reading |
|---|---|---|---|---|
| Years | 5 | 0 | 0.0% | No year ended in loss |
| Months | 52 | 2 | 3.8% | Both in early 2022 |
| Weeks | 226 | 59 | 26.1% | Normal for intraday |
| Days | ~588 | ~212 | ~36.1% | Edge compounds at month/year |
High-level thinking. The formula is proprietary. The architecture is here.
This system belongs to the trend-following family — a well-documented class of systematic strategies that profits from persistent directional moves in price rather than mean reversion. The edge does not come from predicting where price will go. It comes from a simple structural asymmetry: let winning trades run, cut losing trades quickly. Over enough occurrences, a win rate above 50% combined with winners larger than losers compounds into the return profile shown above. The system makes no forecast. It reacts, sizes, and exits — systematically, every session.
The signal is one part. What sits around it is the other.
Context for sophisticated readers. Not disclaimers — just the full picture.