Built a rules-based allocation framework using NIFTY 50, GOLD, USD/INR
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u/KeyAssignment14 — 20 hours ago
u/KeyAssignment14
Spent some time testing a simple regime-based allocation model using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress filter
- gold allocation during defensive periods
Backtest:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- transaction costs included
- no leverage
- no shorting
Results vs Nifty buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main thing I noticed:
The edge mainly came from avoiding large drawdowns during stressed periods rather than massively outperforming in bull runs.
Biggest weakness:
The system gets late during sharp V-shaped recoveries because volatility expansion cuts exposure before trend confirmation returns.
Would like genuine criticism on:
- whether gold is actually the best defensive asset for Indian markets
- reducing lag during recoveries
- robustness testing ideas
- whether this is materially better than just holding Nifty long term
Not financial advice. Backtest only.
u/KeyAssignment14 — 14 days ago
▲ 2 r/IndiaStocks
Tested a Nifty + Gold regime allocation model against buy-and-hold (2015–2026)
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
▲ 3 r/IndianStocks
Tested a Nifty + Gold regime allocation model against buy-and-hold (2015–2026)
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
▲ 1 r/RothIRA
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
▲ 1 r/Stocks_Picks
Built a rules-based allocation framework using:
- Nifty 50 trend filters
- realized volatility regimes
- USDINR stress conditions
- defensive gold allocation
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max DD: -18.89% vs -38.44%
- Sharpe: 0.78 vs 0.16
- ₹10L → ₹56L vs ₹26.6L
Main observation:
The biggest edge came from avoiding deep drawdowns during stressed market periods rather than outperforming during strong bull runs.
Weakness:
The model tends to lag during sharp V-shaped recoveries because volatility expansion reduces exposure before trend confirmation returns.
Would genuinely appreciate feedback from Indian traders on:
- whether gold is the best defensive allocation here
- improving regime detection
- reducing lag during recoveries
- robustness testing ideas
u/KeyAssignment14 — 14 days ago
Testing a long-term Nifty + Gold allocation framework against buy-and-hold (2015–2026)
I’ve been testing a rules-based allocation framework combining:
- Nifty 50 exposure
- Gold as a defensive allocation
- Trend and realized volatility filters
- Monthly rebalancing
The objective was not maximizing raw returns, but improving long-term risk-adjusted performance and reducing drawdowns relative to long-only equity exposure.
Backtest period:
Jan 2015 – Mar 2026
Assumptions:
- no leverage
- no shorting
- transaction costs included
Results vs Nifty 50 buy & hold:
- CAGR: 16.57% vs 9.09%
- Max Drawdown: -18.89% vs -38.44%
- Sharpe Ratio: 0.78 vs 0.16
The main tradeoff is that the framework tends to lag during sharp V-shaped recoveries because exposure reduction follows volatility expansion.
Interested in discussion around:
- whether gold is an effective long-term defensive allocation for Indian investors
- whether regime-based allocation genuinely improves long-term portfolios
- alternative defensive assets or diversification methods
- balancing drawdown reduction vs upside participation
u/KeyAssignment14 — 14 days ago
▲ 1 r/portfolios
I’ve been testing a rules-based long-term allocation model using:
- Nifty 50 equity exposure
- Gold allocation during defensive regimes
- Trend + realized volatility filters
- Monthly rebalancing
- No leverage or shorting
Backtest period:
Jan 2015 – Mar 2026
Current allocation logic is focused more on reducing prolonged drawdowns than maximizing raw returns.
Results vs Nifty 50 buy & hold over the same period:
- CAGR: 16.57% vs 9.09%
- Max Drawdown: -18.89% vs -38.44%
- Sharpe Ratio (12M): 0.78 vs 0.16
Assumptions:
- All transaction costs included
- Initial capital: ₹10L
- Gold used as a defensive allocation asset during stressed regimes
Main concern:
The system underperforms during sharp V-shaped recoveries because exposure reduction lags volatility expansion.
Would appreciate feedback specifically on:
- whether gold is an efficient defensive allocation for Indian investors
- ways to reduce lag during recovery periods
- improving long-term tax efficiency of this type of allocation model
- whether this kind of regime allocation adds meaningful diversification vs a simpler static portfolio
u/KeyAssignment14 — 14 days ago
Regime-based Nifty + Gold allocation model (2015–2026 backtest)
Body:
Tested a simple allocation framework on Indian markets using:
- Nifty trend filter
- realized volatility filter
- USDINR stress regime
- defensive gold allocation
Backtest:
Jan 2015 – Mar 2026
Assumptions:
- monthly rebalance
- all transaction costs included
- no leverage
- no shorting
Main metrics:
- CAGR: 16.57%
- Max DD: -18.89%
- Sharpe (12M): 0.78
- Calmar: 0.88
The biggest improvement came from reducing prolonged drawdowns relative to long-only Nifty exposure, especially during high-volatility periods.
Main weakness:
The model tends to lag during sharp V-shaped reversals because exposure reduction happens after volatility expansion.
Interested in feedback on:
- regime detection robustness
- alternative volatility estimators
- reducing lag during recovery phases
- whether USDINR meaningfully improves regime classification
u/KeyAssignment14 — 14 days ago