Aegis Vopak Terminals Ltd. (AEGISVOPAK)

Date Range: 2026-03-23 to 2026-06-23 | Starting Capital: ₹100,000

Symbol-Specific Risk & Execution Parameters

These execution parameters have been optimized specifically for AEGISVOPAK based on historical volatility, structural character, and friction constraints:

• ATR Stop Distance (max_stop_atr): 1.50x ATR
• Minimum Reward-to-Risk Ratio (min_reward_risk): 1.20R
• Friction Buffer Target (friction_min_target_pct): 0.03%
• Positional Holds Allowed (allow_positional_hold): True

[!WARNING]

Offline Daily Macro Data Missing: The macro and multi-horizon outlook sections were omitted because local daily price data was not found.

Executive Summary

Model Backtest & Validation Summary

To validate the conviction score recommendations, the system ran historical simulation backtests for AEGISVOPAK under institutional execution assumptions:

What Changed Since Previous Report?

• Initial Run / Baseline: No previous report was found for this symbol to perform comparative validation. This report establishes the baseline parameters.

Actionable Trading Guidance

Direct Stock Setup Outlook

No active intraday setup detected for the next session.

⌥ Options Strategy Recommendation

Recommended Vehicle: Iron Condor

Reason: Volatility-adjusted options edge (EV/Risk Ratio of 3.912) with defined risk and high capital efficiency (9.9% expected return on margin), utilizing the stock's 67.7% Implied Volatility Rank.

[!IMPORTANT]

Options Risk & Invalidation Warning: Recommending options strategies involves high leverage and the risk of rapid capital loss due to time decay (theta) and volatility changes (vega). The maximum risk of the recommended options vehicle is capped at ₹294.53. Ensure you understand contract mechanics, bid-ask spreads, and exercise rules before allocating capital.

• Volatility Dashboard: Realized Vol (RV): 58.5% | Implied Vol (IV): 62.2% | IV Rank: 67.7% | IV Percentile: 85.7%
• Directional Probabilities: P(up): 10% | P(down): 10% | P(flat): 80%
• Expected Return Distribution: Median: -1.81% (10th: -13.59%, 90th: +15.03%) | Expected Move: 0.02 ATR

Expected Value (EV) Payoff Matrix:

Systematic Execution Plan (Generic Framework)

• Stop Loss: 1.5 × ATR from entry
• Profit Targets: Target 1 (1R) for 50% scale-out, trail remainder.

Expected Outcomes & Suitability

Expected 1 Month Outcome

• Bullish: 10.0%
• Neutral: 79.9%
• Bearish: 10.0%

Expected Return Range

• Median: -1.81%
• 25th percentile: -7.72%
• 75th percentile: +4.95%

Portfolio Suitability

Suitable For:

• ✓ Swing Traders

Not Suitable For:

• ✗ Positional Traders
• ✗ Long-Term Growth Investors
• ✗ Income Investors

Sector & Regime Context

• Sector: Oil, Gas & Consumable Fuels
• Sector Strength: 6.7/10
• Relative Strength: -4.76% vs NIFTY
• Sector Rank: 12 of 19 sectors
• Structural Regime: COMPRESSION
• Tactical Setup Focus: Compression Breakout, Inside Bar Breakout, Volatility Expansion, Extended Base Breakout, Theta-Decay Trap

Conviction Score Breakdown:

• 1. Technical Setups: +0.0 / 35 (No active technical setup and no strong daily momentum structure)
• 2. Fundamentals: +20.0 / 25 (Steady business growth structure (Grade B))
• 3. Sector Context: +13.4 / 20 (Sector Strength: 6.7/10 (Oil, Gas & Consumable Fuels))
• 4. Regime & Momentum: +12.5 / 20 (Daily candle close location: +2.5 pts (50% of range), Market in low-volatility/range regime COMPRESSION: +5.0 pts, VIX is 13.5 (Low volatility/risk): +5.0 pts)

Conviction Rating System Matrix:

Fundamental Analysis & Annual Guidance

• Valuation: Trailing P/E: 85.0 | Forward P/E: N/A | PEG Ratio: N/A | Price/Book: 6.16
• Business Growth: Revenue YoY: 0.54% | Quarterly EPS: 0.48% | ROE: N/A
• Risk & Dividend: Beta: N/A | Dividend Yield: N/A | Book Value: 38.75
• Investment Grade: Grade B (Accumulate)
• Recommendation: Business is growing steadily. Consider accumulating on technical pullbacks.
• Annual Entry Guidance: Do not chase breakouts. Accumulate gradually exclusively during market corrections or pullbacks to the 50-day and 200-day SMAs.
• Annual Exit Guidance: Liquidate if earnings growth turns negative, or if the broader market regime turns structurally bearish (NIFTY loses 200 SMA).

Historical & Simulation Evidence

Direct Stock Performance (Cash Equity)

Intraday (Close at 15:20)

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• Trades: 15 | Win Rate: 20.0% (n=15) - Moderate Reliability | Net PnL: ₹-10,958.75
• Ending Cash: ₹89,041.25 | Max Drawdown: ₹10,958.75 (11.0%)
• Profit Factor: 0.31 | Sortino Ratio: -0.51 | Expectancy: ₹-730.58/trade

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Positional (Hold Overnight)

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• Trades: 19 | Win Rate: 21.1% (n=19) - Moderate Reliability | Net PnL: ₹-12,573.14
• Ending Cash: ₹87,426.86 | Max Drawdown: ₹12,573.14 (12.6%)
• Profit Factor: 0.35 | Sortino Ratio: -0.48 | Expectancy: ₹-661.74/trade

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Buy & Hold Benchmark Performance (Buy on Day 1, Hold to End)

• Strategy: Buy & Hold | Net Return: 28.53% | Net PnL: ₹28,531.86
• Ending Cash: ₹128,531.86 | Max Drawdown: ₹14,560.63 (-14.56%)
• Entry Price: ₹180.50 | Exit Price: ₹232.00

Performance Comparison: Buy & Hold outperformed Trading by ₹39,490.61 (steady long-term appreciation beat friction/filtering rules under the simulated period).

• Best Strategy: Mean Reversion (Confluence: Theta-Decay Trap + RS Leadership Breakout Net PnL: +₹3,158.30)

Signal Frequency Breakdown:

• Compression Breakout: ~0.7 signals/month (Win Rate: 0%, n=2)
• Confluence: RS Leadership Breakout + Compression Breakout: ~0.7 signals/month (Win Rate: 0%, n=2)
• Confluence: Theta-Decay Trap + RS Leadership Breakout: ~0.7 signals/month (Win Rate: 100% (Pass), n=2)
• ORB: ~1.3 signals/month (Win Rate: 0%, n=4)
• Overnight Premium: ~1.3 signals/month (Win Rate: 25%, n=4)
• RS Leadership: ~1.3 signals/month (Win Rate: 0%, n=4)
• RS Leadership Breakout: ~3.3 signals/month (Win Rate: 20%, n=10)
• Theta-Decay Trap: ~1.3 signals/month (Win Rate: 50% (Pass), n=4)
• Volume Capitulation Reversal: ~0.7 signals/month (Win Rate: 0%, n=2)

Portfolio Statistics (Combined)

Advanced Statistical Inference

Performance by Setup (Cash Equity)

Strategy Backtest Performance Matrix (Futures & Options)

Historical performance of all candidate derivative, leverage, and hedged strategies over the same setups:

For granular trade logs, see AEGISVOPAK_signals.csv in this folder.