Backtest Report for TEST_SYM
Date Range: 2026-01-01 to 2026-06-30 | Starting Capital: ₹100,000
Symbol-Specific Risk & Execution Parameters
These execution parameters have been optimized specifically for TEST_SYM 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
Offline Daily Macro Data Missing: The macro and multi-horizon outlook sections were omitted because local daily price data was not found.
Executive Summary
🧠 Predictive Decision Layer
Note on interpretation: Structural Conviction measures overall quantitative attractiveness based on trend, relative strength, fundamentals, and regime alignment. Experimental Setup Probability (ML Setup Success) estimates the historical success probability of the specific active setup. For lower-reliability models, this setup probability is informational only and does not alter the final recommendation.
- ML Setup Success:
N/A(No active setup triggered)
No active algorithmic setup was detected for this stock today. ML predictions are only generated for active trade recommendations.
Phase 1: Recommendation State
RECOMMENDED ACTION: ALLOCATE CAPITAL IMMEDIATELY NEAR KEY SUPPORT LEVELS.
| Attribute | Value |
|---|---|
| Rating | STRONG BUY |
| Conviction Score | 85/100 |
| Path Probability | 50.0% (Prior) |
| ML Setup Success | N/A (No active setup) |
| Trend | Neutral |
| Sector Rank | N/A |
| Industry Rank | N/A |
| Suitable Horizon | Watchlist Focus |
| Action | Allocate capital immediately near key support levels. |
<!-- SUB_SCORES: setup=0.00, risk=0.00, regime=0.00, rs=0.00, fundamental=0.00, sector=0.00 -->
Phase 2: Historical Simulation & Backtest Performance
To validate the conviction score recommendations, the system ran historical simulation backtests for TEST_SYM under institutional execution assumptions:
| Metric | Backtest Performance |
|---|---|
| Validation Date Range | 2026-01-01 to 2026-06-30 |
| Total Signals Executed | 1 trades |
| Historical Win Rate | 100.0% (1W / 0L) <span style="font-size: 0.8rem; padding: 2px 6px; border-radius: 4px; background-color: #ef444420; color: #ef4444; font-weight: bold; margin-left: 6px;" aria-label="Low reliability: fewer than 10 trades">Exploratory</span> |
| Average Trade Expectancy | ₹195.00/trade |
| Profit Factor / Sortino Ratio | ∞ / 0.00 |
| Maximum Backtest Drawdown | 0.0% |
| Net Strategy Return | +0.19% |
| Cost & Friction Assumptions | 0.16% round-trip trading friction (0.05% slippage, 0.03% commission) |
| Execution Sizing Rules | ₹1,000 risk target per trade, ATR-based stop sizing (max 20.0% position cap) |
| Validation Methodology | Historical Backtest Evaluation (5-min / 1-min execution) |
Portfolio Capital Notice: Per-symbol backtest metrics reflect independent risk budgets per trade (₹1,000 risk target). Portfolio-wide capital allocation across concurrent trades is constrained by the separate multi-symbol portfolio manager.
Rating vs. Evidence Attribution: Why is this stock rated STRONG BUY despite a limited trade count or weak historical backtest return in the evaluation window?
The STRONG BUY rating is driven by structural and quantimental factors (Sector Strength: 8.0/10, Investment Grade: Grade A, Relative Strength: +0.00%) which indicate medium-to-long term institutional accumulation. The backtest summary represents historical execution performance focusing on high-probability technical triggers. The lack of trades or low expectancy in this specific window indicates that technical entry triggers were suppressed due to market risk constraints, not that the stock lacks quantimental strength. It remains on the STRONG BUY because its fundamental business growth and regime alignment remain intact, making it an excellent candidate for accumulation on pullbacks or when a fresh technical setup triggers.
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.
Phase 3: Tactical Edge & Execution Plan
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, lower capital requirements, consistent expectancy.
- ML Setup Success Probability:
N/A(No active setup triggered)
Systematic Execution Plan (Generic Framework)
- Stop Loss: 1.5 × ATR from entry
- Profit Targets: Target 1 (1R) for 50% scale-out, trail remainder.
Phase 4: Defensive Invalidation & Structural Risk (Generic)
- Time Stop: For any positional entry, if the trade does not reach Target 1 (1R) within 5 trading sessions, exit to preserve capital velocity.
- Structural Invalidation: Execute a defensive close if the stock closes below its 20-period EMA or loses Relative Strength against the benchmark index.
Phase 5: Quantimental & Structural Details
Expected Outcomes & Suitability
Expected 1 Month Outcome
- Bullish: 33.0%
- Neutral: 34.0%
- Bearish: 33.0%
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
- Structural Regime: NO_TRADE
- Tactical Setup Focus: No specific setups.
Conviction Score Breakdown:
- High RS (+25)
Conviction Rating System Matrix:
| Score Range | Meaning |
|---|---|
| 90 - 100 | Strong Buy |
| 75 - 89 | Buy |
| 60 - 74 | Watchlist |
| 40 - 59 | Neutral |
| Below 40 | Avoid |
Fundamental Analysis & Annual Guidance
Historical & Simulation Evidence
Direct Stock Performance (Cash Equity)
Intraday (Close at 15:20)
<div style="color: #64748b; font-style: italic;" class="low-reliability-block">
- Trades: 1 | Win Rate: 100.0% (n=1) - Exploratory | Net PnL: ₹195.00
- Ending Cash: ₹100,195.00 | Max Drawdown: ₹0.00 (0.0%)
- Profit Factor: ∞ | Sortino Ratio: 0.00 | Expectancy: ₹195.00/trade
</div>
Positional (Hold Overnight)
- No positional trades taken.
- Best Strategy: Trend Following (
ORBNet PnL: +₹195.00)
Signal Frequency Breakdown:
- ORB: ~0.2 signals/month (Win Rate: 100% (Pass), n=1)
Portfolio Statistics (Combined)
| Metric | Value |
|---|---|
| Starting Capital | ₹100,000 |
| Ending Capital | ₹100,195.00 |
| Net Return | + ₹195.00 (+0.19%) |
| Max Drawdown | ₹0.00 (0.0%) |
| Profit Factor | ∞ |
| Sortino Ratio | 0.00 |
| Expectancy | ₹195.00/trade |
| Total Trades | 1 |
| Win Rate | 100.0% (1W / 0L, n=1) |
| Avg Win | ₹195.00 |
| Avg Loss | ₹0.00 |
| Largest Win | ₹195.00 |
| Largest Loss | ₹0.00 |
Advanced Statistical Inference
| Metric | Value |
|---|---|
| Avg Max Adverse Excursion (MAE) | 0.00 ATR (0.00%) |
| Avg Max Favorable Excursion (MFE) | 0.00 ATR (0.00%) |
| Monte Carlo Median Max DD | ₹0.00 |
| Monte Carlo 95% Drawdown (VaR) | ₹0.00 |
| Monte Carlo 99% Drawdown (VaR) | ₹0.00 |
| MC DD Ruin Probability (> Actual) | 0.0% |
| Bootstrap Entry Edge Significance | 1.000 (Not Statistically Significant) |
Performance by Setup (Cash Equity)
| Setup Type | Trades | Win Rate | Expectancy (R) | 95% Confidence Interval | Net PnL | Max DD | Profit Factor | Ending Cash |
|---|---|---|---|---|---|---|---|---|
| <span style="color: #64748b; font-style: italic;">ORB</span> | <span style="color: #64748b; font-style: italic;">1</span> | <span style="color: #64748b; font-style: italic;">100.0%</span> <span style="font-size: 0.72rem; padding: 2px 4px; border-radius: 4px; background-color: #ef444420; color: #ef4444; font-weight: bold; margin-left: 4px;" aria-label="Exploratory reliability: 1 trades">Exploratory</span> | <span style="color: #64748b; font-style: italic;">+1.95R</span> | <span style="color: #64748b; font-style: italic;">Insufficient Data (n < 5)</span> | <span style="color: #64748b; font-style: italic;">+ ₹195.00</span> | <span style="color: #64748b; font-style: italic;">₹0.00 (0.0%)</span> | <span style="color: #64748b; font-style: italic;">∞</span> | <span style="color: #64748b; font-style: italic;">₹100,195.00</span> |
Strategy Backtest Performance Matrix (Futures & Options)
Historical performance of all candidate derivative, leverage, and hedged strategies over the same setups:
| Strategy | Trades | Win Rate | Net Return (PnL) | Max DD | Profit Factor | Sortino | Avg Margin | Capital Efficiency |
|---|
Institutional Governance, Methodology & Compliance Disclosures
Quantitative Methodology & Backtest Integrity Standard
- Execution Friction & Slippage Model: All backtest performance figures incorporate a mandatory 0.03% (3 bps) execution friction buffer per side, accounting for market impact, bid-ask spread friction, exchange transaction charges, and Securities Transaction Tax (STT).
- Purged Cross-Validation & Out-of-Sample Verification: XGBoost meta-label setup success probabilities and conviction scores are evaluated using combinatorial purged cross-validation to eliminate lookahead bias, serial correlation leakage, and data snooping.
- Corporate Action & Split Adjustments: Price histories and setup triggers utilize dynamically split-adjusted intraday and daily price series.
- Sample Reliability Standards: Backtest statistics with sample counts $n < 10$ trades are categorized as Exploratory, $10 \le n < 20$ as Moderate Reliability, and $n \ge 20$ as High Reliability.
- Fiduciary Disclaimer: This report is generated automatically by a quantitative research system for educational, informational, and analytical purposes. It does not constitute personalized investment advice or a solicitation to buy or sell securities.
For granular trade logs, see TEST_SYM_signals.csv in this folder.