Tata Capital Ltd. (TATACAP)

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 TATACAP 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

Executive Summary

Model Backtest & Validation Summary

To validate the conviction score recommendations, the system ran historical simulation backtests for TATACAP 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: Cash Equity

Reason: Highest risk-adjusted return (EV/Risk Ratio of -0.051) with consistent historical expectancy and zero options friction.

• Volatility Dashboard: Realized Vol (RV): 41.8% | Implied Vol (IV): 43.2% | IV Rank: 97.9% | IV Percentile: 97.3%
• Directional Probabilities: P(up): 10% | P(down): 10% | P(flat): 80%
• Expected Return Distribution: Median: -0.58% (10th: -8.42%, 90th: +9.76%) | Expected Move: 0.01 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: 80.0%
• Bearish: 10.0%

Expected Return Range

• Median: -0.58%
• 25th percentile: -4.92%
• 75th percentile: +4.95%

Portfolio Suitability

Suitable For:

• None

Not Suitable For:

• ✗ Swing Traders
• ✗ Positional Traders
• ✗ Long-Term Growth Investors
• ✗ Income Investors
• ✗ Low Volatility Portfolios
• ✗ Growth Investors

Sector & Regime Context

• Sector: Financial Services
• Sector Strength: 1.7/10
• Relative Strength: -6.71% vs NIFTY
• Sector Rank: 15 of 19 sectors
• Structural Regime: RANGE
• Tactical Setup Focus: Range Mean Reversion, Failed Breakout Reversal, Directional Change Overshoot, Bollinger Band Reversal, Volume Capitulation Reversal, PDH/PDL Breakout, Opening Gap Fade

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: +3.4 / 20 (Sector Strength: 1.7/10 (Financial Services))
• 4. Regime & Momentum: +13.5 / 20 (Daily candle close location: +3.5 pts (70% of range), Market in low-volatility/range regime RANGE: +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: 30.3 | Forward P/E: N/A | PEG Ratio: N/A | Price/Book: 3.37
• Business Growth: Revenue YoY: 0.07% | Quarterly EPS: 0.52% | ROE: N/A
• Risk & Dividend: Beta: N/A | Dividend Yield: N/A | Book Value: 90.27
• 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: 2 | Win Rate: 0.0% (n=2) - Exploratory | Net PnL: ₹-2,201.85
• Ending Cash: ₹97,798.15 | Max Drawdown: ₹2,201.85 (2.2%)
• Profit Factor: 0.00 | Sortino Ratio: -1.00 | Expectancy: ₹-1,100.92/trade

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Positional (Hold Overnight)

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• Trades: 2 | Win Rate: 0.0% (n=2) - Exploratory | Net PnL: ₹-2,201.85
• Ending Cash: ₹97,798.15 | Max Drawdown: ₹2,201.85 (2.2%)
• Profit Factor: 0.00 | Sortino Ratio: -1.00 | Expectancy: ₹-1,100.92/trade

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

• Strategy: Buy & Hold | Net Return: 12.79% | Net PnL: ₹12,789.20
• Ending Cash: ₹112,789.20 | Max Drawdown: ₹12,153.40 (-12.15%)
• Entry Price: ₹311.20 | Exit Price: ₹351.00

Performance Comparison: Buy & Hold outperformed Trading by ₹14,991.05 (steady long-term appreciation beat friction/filtering rules under the simulated period).

Signal Frequency Breakdown:

• RS Leadership Breakout: ~1.3 signals/month (Win Rate: 0%, n=4)

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 TATACAP_signals.csv in this folder.