u/Katsdivi

Trying to understand something specific about the Indian equity market and curious if anyone here has dug into this.

The pattern: systematic strategies on NSE/BSE-listed equities show reasonable signal at short horizons (intraday to 5 days). Past 30 days, out-of-sample performance collapses. This is well-documented anecdotally in the Indian quant community but I haven't seen rigorous analysis of why.

Two competing hypotheses:

Data problem: Indian markets lack the alternative data layer that US quant funds use to anchor medium-term signals. No credit card transaction data, no structured e-commerce signals, no job posting intelligence for listed companies. Without macro regime anchors and company-level demand signals, models have nothing to latch onto past the short-term noise.

Structural problem: Indian market microstructure makes medium-term alpha structurally difficult regardless of data; retail-dominated order flow, lower institutional participation in mid/small cap, liquidity constraints that make systematic positioning impractical past a certain size.

My instinct is it's both but the Data problem is more solvable than the Structural problem. Has anyone actually tested alternative data signals on Indian equities with enough rigor to know whether they add medium-term predictive power? Or is the consensus that it's primarily a Structural problem?

Trying to understand something specific about the Indian equity market and curious if anyone here has dug into this.

The pattern: systematic strategies on NSE/BSE-listed equities show reasonable signal at short horizons (intraday to 5 days). Past 30 days, out-of-sample performance collapses. This is well-documented anecdotally in the Indian quant community but I haven't seen rigorous analysis of why.

Two competing hypotheses:

Data problem: Indian markets lack the alternative data layer that US quant funds use to anchor medium-term signals. No credit card transaction data, no structured e-commerce signals, no job posting intelligence for listed companies. Without macro regime anchors and company-level demand signals, models have nothing to latch onto past the short-term noise.

Structural problem: Indian market microstructure makes medium-term alpha structurally difficult regardless of data; retail-dominated order flow, lower institutional participation in mid/small cap, liquidity constraints that make systematic positioning impractical past a certain size.

My instinct is it's both but the Data problem is more solvable than the Structural problem. Has anyone actually tested alternative data signals on Indian equities with enough rigor to know whether they add medium-term predictive power? Or is the consensus that it's primarily a Structural problem?