{ "symbol": "RELIANCE", "captured_at": "2026-10-12T06:14:47.443746+00:00", "generated_at": "2026-10-12T06:15:25.435540+00:00", "price_source": "Daily adjusted OHLC; dividends excluded", "loaded_bars": 750, "starting_cash": 100000, "broker": "zerodha", "slippage_bps": 2, "data_hash": "d74efe41ac006b26bfe8ae8085da7cb15dcec1e3583409e974da2696eff97cea", "note": "Three fixed rules run once on the same 750 completed daily bars. No parameter search. The 70/30 audit is descriptive, not untouched validation; these prices have already been inspected.", "experiments": [ { "id": "ema", "name": "Trend following", "rules": { "template": "ema", "symbol": "RELIANCE", "fast": 20, "slow": 50, "stop_loss": 5, "take_profit": 12, "allocation": 30 }, "source": "from bhav.strategy import indicators as ta\ndef initialize(ctx):\n ctx.set_universe([\"IN_EQ:NSE:RELIANCE\"])\n ctx.set_frequency(\"1d\")\n ctx.set_warmup(60)\n ctx.set_product(\"DELIVERY\")\n ctx.set_protection(stop_loss_pct=0.05, take_profit_pct=0.12)\ndef handle_data(ctx, data):\n symbol = ctx.manifest.universe[0]\n closes = data.history(symbol, 200)\n holding = ctx.has_position(symbol)\n fast, slow = ta.ema(closes, 20), ta.ema(closes, 50)\n enter = ta.crossed_above(fast, slow)\n leave = ta.crossed_below(fast, slow)\n if not holding and enter:\n ctx.order_target_percent(symbol, 0.3)\n elif holding and leave:\n ctx.close(symbol)\n", "result": { "strategy": "Trend following", "metrics": { "total_return_pct": -2.9903, "gross_return_pct": -2.4337, "cagr_pct": -1.0069, "max_drawdown_pct": -5.3597, "max_drawdown_duration_bars": 371, "volatility_pct": 3.1454, "sharpe": -2.4683, "sortino": -3.0823, "calmar": -0.1879, "total_trades": 7, "winning_trades": 1, "losing_trades": 6, "win_rate_pct": 14.2857, "profit_factor": 0.5278, "expectancy": -427.1857, "avg_win": 3343.01, "avg_loss": -1055.5517, "largest_win": 3343.01, "largest_loss": -1563.84, "avg_holding_bars": 19.7143, "max_consecutive_losses": 4, "total_charges": 556.6, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 3, "signal": 3, "take_profit": 1 }, "starting_equity": 100000.0, "ending_equity": 97009.7, "peak_equity": 101248.19 }, "assumptions": { "fill_rule": "signal_next_bar_open", "protection_rule": "same_bar_intrabar_gap_aware", "intrabar_mode": "conservative", "slippage_bps": 2.0, "allow_short": false, "reject_unaffordable": true, "engine_version": "bhav-0.1" }, "rejections": {}, "vda_tax": null, "bars_processed": 690, "wall_seconds": 0.016, "manifest_fingerprint": "825fc0675440b2a7", "trades": [ { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1483.95, "exit_price": 1409.75, "entry_ts": 1716522300, "exit_ts": 1717472700, "gross_pnl": -1484.0, "charges": 79.84, "net_pnl": -1563.84, "return_pct": -5.269, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1470.25, "exit_price": 1459.7, "entry_ts": 1717991100, "exit_ts": 1723175100, "gross_pnl": -211.0, "charges": 80.55, "net_pnl": -291.55, "return_pct": -0.991, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 19.0, "entry_price": 1511.2, "exit_price": 1460.2, "entry_ts": 1725248700, "exit_ts": 1725939900, "gross_pnl": -969.0, "charges": 78.21, "net_pnl": -1047.21, "return_pct": -3.647, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1291.3, "exit_price": 1226.75, "entry_ts": 1742960700, "exit_ts": 1743738300, "gross_pnl": -1420.1, "charges": 77.07, "net_pnl": -1497.17, "return_pct": -5.27, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1297.3, "exit_price": 1453.0, "entry_ts": 1745379900, "exit_ts": 1747280700, "gross_pnl": 3425.4, "charges": 82.39, "net_pnl": 3343.01, "return_pct": 11.713, "exit_reason": "take_profit" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1475.3, "exit_price": 1458.5, "entry_ts": 1761191100, "exit_ts": 1768535100, "gross_pnl": -336.0, "charges": 80.66, "net_pnl": -416.66, "return_pct": -1.412, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1439.1, "exit_price": 1367.15, "entry_ts": 1778125500, "exit_ts": 1778557500, "gross_pnl": -1439.0, "charges": 77.88, "net_pnl": -1516.88, "return_pct": -5.27, "exit_reason": "stop_loss" 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"equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790135100, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790221500, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790307900, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790567100, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790653500, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790739900, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790826300, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1790912700, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1791171900, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1791258300, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1791344700, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1791431100, "equity": 97009.7, "drawdown_pct": -4.186 }, { "ts": 1791517500, "equity": 97009.7, "drawdown_pct": -4.186 } ], "errors": [], "pending_signals": [], "open_positions": [], "risk_halted": false, "logs": [ "[1717472700] IN_EQ:NSE:RELIANCE stop_loss at 1409.75", "[1743738300] IN_EQ:NSE:RELIANCE stop_loss at 1226.73", "[1747280700] IN_EQ:NSE:RELIANCE take_profit at 1452.98", "[1778557500] IN_EQ:NSE:RELIANCE stop_loss at 1367.14" ], "symbols": [ "RELIANCE" ], "paper_bot_supported": true, "research": { "method": "chronological-70-30-v1", "data_fingerprint": "cd754d97fe57fe0a0e4febef0de9c40071109beaea38cceee7cf111dd9d5f795", "source_hash": "9922a107751d3631cd75253f5d1d047a2e9ac85777a0756f8a1efb427262e13a", "prior_data_exposure": "unknown", "status": "insufficient_evidence", "caveats": [ "Later-period test; prior exposure to these prices is unknown. It is not certified untouched data.", "Same frozen source in all tests; each period starts with fresh cash and strategy state.", "Current charge schedule and next-bar fills apply. Dividends are excluded.", "Screen thresholds are product checks, not statistical significance or a guarantee of profitability.", "Rolling holding-period windows overlap; they are descriptive later-period returns, not independent observations or forecast probabilities.", "Price-only references exclude fees and dividends; exposures may differ from the strategy." ], "checks": [ { "name": "enough_validation_bars", "passed": true }, { "name": "enough_validation_trades", "passed": false }, { "name": "enough_development_bars", "passed": true }, { "name": "no_handler_errors", "passed": true }, { "name": "positive_later_period_net_return", "passed": false }, { "name": "positive_under_slippage_stress", "passed": false } ], "reasons": [ "enough validation trades", "positive later period net return", "positive under slippage stress" ], "development": { "metrics": { "total_return_pct": -0.2667, "gross_return_pct": 0.2133, "cagr_pct": -0.1268, "max_drawdown_pct": -5.3597, "max_drawdown_duration_bars": 341, "volatility_pct": 3.3435, "sharpe": -2.0551, "sortino": -2.7133, "calmar": -0.0237, "total_trades": 6, "winning_trades": 2, "losing_trades": 4, "win_rate_pct": 33.3333, "profit_factor": 0.9394, "expectancy": -44.4433, "avg_win": 2066.555, "avg_loss": -1099.9425, "largest_win": 3343.01, "largest_loss": -1563.84, "avg_holding_bars": 15.6667, "max_consecutive_losses": 4, "total_charges": 479.96, "charges_as_pct_of_gross": 225.0164, "exit_reasons": { "stop_loss": 2, "signal": 2, "take_profit": 1, "square_off": 1 }, "starting_equity": 100000.0, "ending_equity": 99733.34, "peak_equity": 101014.24 }, "tested_bars": 465, "errors": 0, "rejections": {}, "start_ts": 1696391100, "end_ts": 1763523900 }, "validation": { "metrics": { "total_return_pct": -1.5169, "gross_return_pct": -1.439, "cagr_pct": -1.684, "max_drawdown_pct": -1.5169, "max_drawdown_duration_bars": 224, "volatility_pct": 1.1129, "sharpe": -7.6377, "sortino": -6.8898, "calmar": -1.1102, "total_trades": 1, "winning_trades": 0, "losing_trades": 1, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -1516.88, "avg_win": 0.0, "avg_loss": -1516.88, "largest_win": 0.0, "largest_loss": -1516.88, "avg_holding_bars": 3.0, "max_consecutive_losses": 1, "total_charges": 77.88, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 1 }, "starting_equity": 100000.0, "ending_equity": 98483.12, "peak_equity": 100000.0 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "stress": { "metrics": { "total_return_pct": -1.5179, "gross_return_pct": -1.44, "cagr_pct": -1.6852, "max_drawdown_pct": -1.5179, "max_drawdown_duration_bars": 224, "volatility_pct": 1.1052, "sharpe": -7.6916, "sortino": -6.9291, "calmar": -1.1102, "total_trades": 1, "winning_trades": 0, "losing_trades": 1, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -1517.94, "avg_win": 0.0, "avg_loss": -1517.94, "largest_win": 0.0, "largest_loss": -1517.94, "avg_holding_bars": 3.0, "max_consecutive_losses": 1, "total_charges": 77.94, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 1 }, "starting_equity": 100000.0, "ending_equity": 98482.06, "peak_equity": 100000.0 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "split_ts": 1763610300, "common_bars": 750, "stress_slippage_bps": 10.0, "minimum_validation_bars": 100, "minimum_validation_trades": 10, "price_only_reference_pct": { "RELIANCE": -24.45290814021044 }, "holding_periods": { "5": { "sessions": 5, "windows": 220, "worst_pct": -1.5168800000000093, "median_pct": 0.0, "best_pct": 0.0, "positive_windows": 0, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "15": { "sessions": 15, "windows": 210, "worst_pct": -1.5168800000000093, "median_pct": 0.0, "best_pct": 0.0, "positive_windows": 0, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "20": { "sessions": 20, "windows": 205, "worst_pct": -1.5168800000000093, "median_pct": 0.0, "best_pct": 0.0, "positive_windows": 0, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true } } } } }, { "id": "breakout", "name": "Channel breakout", "rules": { "template": "breakout", "symbol": "RELIANCE", "fast": 10, "slow": 40, "stop_loss": 5, "take_profit": 12, "allocation": 30 }, "source": "from bhav.strategy import indicators as ta\ndef initialize(ctx):\n ctx.set_universe([\"IN_EQ:NSE:RELIANCE\"])\n ctx.set_frequency(\"1d\")\n ctx.set_warmup(60)\n ctx.set_product(\"DELIVERY\")\n ctx.set_protection(stop_loss_pct=0.05, take_profit_pct=0.12)\ndef handle_data(ctx, data):\n symbol = ctx.manifest.universe[0]\n closes = data.history(symbol, 200)\n holding = ctx.has_position(symbol)\n enter = closes[-1] > max(closes[-41:-1])\n leave = closes[-1] < min(closes[-11:-1])\n if not holding and enter:\n ctx.order_target_percent(symbol, 0.3)\n elif holding and leave:\n ctx.close(symbol)\n", "result": { "strategy": "Channel breakout", "metrics": { "total_return_pct": -4.84, "gross_return_pct": -3.7254, "cagr_pct": -1.6401, "max_drawdown_pct": -8.5097, "max_drawdown_duration_bars": 653, "volatility_pct": 3.2282, "sharpe": -2.6033, "sortino": -3.2097, "calmar": -0.1927, "total_trades": 14, "winning_trades": 4, "losing_trades": 10, "win_rate_pct": 28.5714, "profit_factor": 0.5548, "expectancy": -345.7121, "avg_win": 1508.1225, "avg_loss": -1087.246, "largest_win": 3363.5, "largest_loss": -1726.55, "avg_holding_bars": 11.8571, "max_consecutive_losses": 6, "total_charges": 1114.57, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "take_profit": 1, "signal": 8, "stop_loss": 5 }, "starting_equity": 100000.0, "ending_equity": 95160.03, "peak_equity": 104011.04 }, "assumptions": { "fill_rule": "signal_next_bar_open", "protection_rule": "same_bar_intrabar_gap_aware", "intrabar_mode": "conservative", "slippage_bps": 2.0, "allow_short": false, "reject_unaffordable": true, "engine_version": "bhav-0.1" }, "rejections": {}, "vda_tax": null, "bars_processed": 690, "wall_seconds": 0.015, "manifest_fingerprint": "1c497f150aa29bb7", "trades": [ { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1305.3, "exit_price": 1461.95, "entry_ts": 1704253500, "exit_ts": 1706845500, "gross_pnl": 3446.3, "charges": 82.8, "net_pnl": 3363.5, "return_pct": 11.713, "exit_reason": "take_profit" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 21.0, "entry_price": 1461.05, "exit_price": 1464.7, "entry_ts": 1707104700, "exit_ts": 1709178300, "gross_pnl": 76.65, "charges": 83.68, "net_pnl": -7.03, "return_pct": -0.023, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1506.1, "exit_price": 1430.8, "entry_ts": 1709610300, "exit_ts": 1710301500, "gross_pnl": -1506.0, "charges": 80.79, "net_pnl": -1586.79, "return_pct": -5.268, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 20.0, "entry_price": 1498.35, "exit_price": 1423.45, "entry_ts": 1717472700, "exit_ts": 1717472700, "gross_pnl": -1498.0, "charges": 80.46, "net_pnl": -1578.46, "return_pct": -5.267, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 19.0, "entry_price": 1514.1, "exit_price": 1500.65, "entry_ts": 1719459900, "exit_ts": 1721706300, "gross_pnl": -255.55, "charges": 79.08, "net_pnl": -334.63, "return_pct": -1.163, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 19.0, "entry_price": 1519.75, "exit_price": 1436.55, "entry_ts": 1727667900, "exit_ts": 1727927100, "gross_pnl": -1580.8, "charges": 77.95, "net_pnl": -1658.75, "return_pct": -5.745, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1308.0, "exit_price": 1233.05, "entry_ts": 1742874300, "exit_ts": 1743651900, "gross_pnl": -1648.9, "charges": 77.65, "net_pnl": 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-8.51 }, { "ts": 1788752700, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1788839100, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1788925500, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789011900, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789098300, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789357500, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789443900, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789530300, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789616700, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789703100, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1789962300, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790048700, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790135100, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790221500, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790307900, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790567100, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790653500, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790739900, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790826300, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1790912700, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1791171900, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1791258300, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1791344700, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1791431100, "equity": 95160.03, "drawdown_pct": -8.51 }, { "ts": 1791517500, "equity": 95160.03, "drawdown_pct": -8.51 } ], "errors": [], "pending_signals": [], "open_positions": [], "risk_halted": false, "logs": [ "[1706845500] IN_EQ:NSE:RELIANCE take_profit at 1461.94", "[1710301500] IN_EQ:NSE:RELIANCE stop_loss at 1430.79", "[1717472700] IN_EQ:NSE:RELIANCE stop_loss at 1423.43", "[1727927100] IN_EQ:NSE:RELIANCE stop_loss at 1436.57 (gapped)", "[1743651900] IN_EQ:NSE:RELIANCE stop_loss at 1233.05 (gapped)", "[1767671100] IN_EQ:NSE:RELIANCE stop_loss at 1501.33" ], "symbols": [ "RELIANCE" ], "paper_bot_supported": true, "research": { "method": "chronological-70-30-v1", "data_fingerprint": "cd754d97fe57fe0a0e4febef0de9c40071109beaea38cceee7cf111dd9d5f795", "source_hash": "6e3883d15248688b6055c4e3c5dbdc2b794899ce3a338ae02873db823a22ef18", "prior_data_exposure": "unknown", "status": "insufficient_evidence", "caveats": [ "Later-period test; prior exposure to these prices is unknown. It is not certified untouched data.", "Same frozen source in all tests; each period starts with fresh cash and strategy state.", "Current charge schedule and next-bar fills apply. Dividends are excluded.", "Screen thresholds are product checks, not statistical significance or a guarantee of profitability.", "Rolling holding-period windows overlap; they are descriptive later-period returns, not independent observations or forecast probabilities.", "Price-only references exclude fees and dividends; exposures may differ from the strategy." ], "checks": [ { "name": "enough_validation_bars", "passed": true }, { "name": "enough_validation_trades", "passed": false }, { "name": "enough_development_bars", "passed": true }, { "name": "no_handler_errors", "passed": true }, { "name": "positive_later_period_net_return", "passed": false }, { "name": "positive_under_slippage_stress", "passed": false } ], "reasons": [ "enough validation trades", "positive later period net return", "positive under slippage stress" ], "development": { "metrics": { "total_return_pct": -1.0825, "gross_return_pct": -0.2772, "cagr_pct": -0.516, "max_drawdown_pct": -7.249, "max_drawdown_duration_bars": 429, "volatility_pct": 3.4844, "sharpe": -2.083, "sortino": -2.672, "calmar": -0.0712, "total_trades": 10, "winning_trades": 4, "losing_trades": 6, "win_rate_pct": 40.0, "profit_factor": 0.8429, "expectancy": -108.249, "avg_win": 1452.43, "avg_loss": -1148.7017, "largest_win": 3363.5, "largest_loss": -1726.55, "avg_holding_bars": 12.7, "max_consecutive_losses": 6, "total_charges": 805.29, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "take_profit": 1, "signal": 4, "stop_loss": 4, "square_off": 1 }, "starting_equity": 100000.0, "ending_equity": 98917.51, "peak_equity": 104011.04 }, "tested_bars": 465, "errors": 0, "rejections": {}, "start_ts": 1696391100, "end_ts": 1763523900 }, "validation": { "metrics": { "total_return_pct": -4.2752, "gross_return_pct": -3.8859, "cagr_pct": -4.7388, "max_drawdown_pct": -4.7587, "max_drawdown_duration_bars": 220, "volatility_pct": 2.4109, "sharpe": -4.831, "sortino": -4.9132, "calmar": -0.9958, "total_trades": 5, "winning_trades": 0, "losing_trades": 5, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -855.046, "avg_win": 0.0, "avg_loss": -855.046, "largest_win": 0.0, "largest_loss": -1499.15, "avg_holding_bars": 7.4, "max_consecutive_losses": 5, "total_charges": 389.33, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "signal": 4, "stop_loss": 1 }, "starting_equity": 100000.0, "ending_equity": 95724.77, "peak_equity": 100507.67 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "stress": { "metrics": { "total_return_pct": -4.4559, "gross_return_pct": -4.0665, "cagr_pct": -4.9386, "max_drawdown_pct": -4.9169, "max_drawdown_duration_bars": 220, "volatility_pct": 2.4, "sharpe": -4.9408, "sortino": -5.0049, "calmar": -1.0044, "total_trades": 5, "winning_trades": 0, "losing_trades": 5, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -891.18, "avg_win": 0.0, "avg_loss": -891.18, "largest_win": 0.0, "largest_loss": -1501.0, "avg_holding_bars": 7.4, "max_consecutive_losses": 5, "total_charges": 389.4, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "signal": 4, "stop_loss": 1 }, "starting_equity": 100000.0, "ending_equity": 95544.1, "peak_equity": 100484.84 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "split_ts": 1763610300, "common_bars": 750, "stress_slippage_bps": 10.0, "minimum_validation_bars": 100, "minimum_validation_trades": 10, "price_only_reference_pct": { "RELIANCE": -24.45290814021044 }, "holding_periods": { "5": { "sessions": 5, "windows": 220, "worst_pct": -2.023368483943422, "median_pct": 0.0, "best_pct": 1.0806474151148437, "positive_windows": 12, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "15": { "sessions": 15, "windows": 210, "worst_pct": -2.314677836682655, "median_pct": 0.0, "best_pct": 1.0806474151148437, "positive_windows": 7, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "20": { "sessions": 20, "windows": 205, "worst_pct": -2.314677836682655, "median_pct": 0.0, "best_pct": 1.0806474151148437, "positive_windows": 7, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true } } } } }, { "id": "rsi", "name": "Mean reversion", "rules": { "template": "rsi", "symbol": "RELIANCE", "fast": 14, "slow": 50, "stop_loss": 5, "take_profit": 12, "allocation": 30 }, "source": "from bhav.strategy import indicators as ta\ndef initialize(ctx):\n ctx.set_universe([\"IN_EQ:NSE:RELIANCE\"])\n ctx.set_frequency(\"1d\")\n ctx.set_warmup(60)\n ctx.set_product(\"DELIVERY\")\n ctx.set_protection(stop_loss_pct=0.05, take_profit_pct=0.12)\ndef handle_data(ctx, data):\n symbol = ctx.manifest.universe[0]\n closes = data.history(symbol, 200)\n holding = ctx.has_position(symbol)\n rsi = ta.rsi(closes, 14)[-1]\n enter = rsi < 30\n leave = rsi > 65\n if not holding and enter:\n ctx.order_target_percent(symbol, 0.3)\n elif holding and leave:\n ctx.close(symbol)\n", "result": { "strategy": "Mean reversion", "metrics": { "total_return_pct": -3.0887, "gross_return_pct": -2.4547, "cagr_pct": -1.039, "max_drawdown_pct": -4.6568, "max_drawdown_duration_bars": 257, "volatility_pct": 3.1215, "sharpe": -2.4979, "sortino": -3.0915, "calmar": -0.2231, "total_trades": 8, "winning_trades": 2, "losing_trades": 6, "win_rate_pct": 25.0, "profit_factor": 0.6161, "expectancy": -386.085, "avg_win": 2478.845, "avg_loss": -1341.0617, "largest_win": 3267.11, "largest_loss": -1570.71, "avg_holding_bars": 26.625, "max_consecutive_losses": 3, "total_charges": 633.93, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 5, "take_profit": 1, "signal": 1, "square_off": 1 }, "starting_equity": 100000.0, "ending_equity": 96911.32, "peak_equity": 100413.55 }, "assumptions": { "fill_rule": "signal_next_bar_open", "protection_rule": "same_bar_intrabar_gap_aware", "intrabar_mode": "conservative", "slippage_bps": 2.0, "allow_short": false, "reject_unaffordable": true, "engine_version": "bhav-0.1" }, "rejections": {}, "vda_tax": null, "bars_processed": 690, "wall_seconds": 0.063, "manifest_fingerprint": "62ded49b372d5f89", "trades": [ { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 21.0, "entry_price": 1393.8, "exit_price": 1324.1, "entry_ts": 1728272700, "exit_ts": 1729741500, "gross_pnl": -1463.7, "charges": 78.95, "net_pnl": -1542.65, "return_pct": -5.27, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1337.3, "exit_price": 1270.45, "entry_ts": 1730087100, "exit_ts": 1731296700, "gross_pnl": -1470.7, "charges": 79.27, "net_pnl": -1549.97, "return_pct": -5.268, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 22.0, "entry_price": 1275.85, "exit_price": 1212.05, "entry_ts": 1731383100, "exit_ts": 1734666300, "gross_pnl": -1403.6, "charges": 76.34, "net_pnl": -1479.94, "return_pct": -5.273, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 24.0, "entry_price": 1162.45, "exit_price": 1301.95, "entry_ts": 1741059900, "exit_ts": 1742787900, "gross_pnl": 3348.0, "charges": 80.89, "net_pnl": 3267.11, "return_pct": 11.711, "exit_reason": "take_profit" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 21.0, "entry_price": 1383.3, "exit_price": 1467.7, "entry_ts": 1753760700, "exit_ts": 1761018300, "gross_pnl": 1772.4, "charges": 81.82, "net_pnl": 1690.58, "return_pct": 5.82, "exit_reason": "signal" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 21.0, "entry_price": 1411.0, "exit_price": 1340.0, "entry_ts": 1768880700, "exit_ts": 1770003900, "gross_pnl": -1491.0, "charges": 79.71, "net_pnl": -1570.71, "return_pct": -5.301, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 23.0, "entry_price": 1269.3, "exit_price": 1205.85, "entry_ts": 1780976700, "exit_ts": 1790567100, "gross_pnl": -1459.35, "charges": 78.78, "net_pnl": -1538.13, "return_pct": -5.269, "exit_reason": "stop_loss" }, { "symbol": "IN_EQ:NSE:RELIANCE", "side": "long", "quantity": 24.0, "entry_price": 1182.25, "exit_price": 1170.3, "entry_ts": 1790739900, "exit_ts": 1791517500, "gross_pnl": -286.8, "charges": 78.17, "net_pnl": -364.97, "return_pct": -1.286, "exit_reason": "square_off" } ], "equity_curve": [ { "ts": 1696391100, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1696477500, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1696563900, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1696823100, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1696909500, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1696995900, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1697082300, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1697168700, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 1697427900, "equity": 100000.0, "drawdown_pct": 0.0 }, { "ts": 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"[1770003900] IN_EQ:NSE:RELIANCE stop_loss at 1340.00 (gapped)", "[1790567100] IN_EQ:NSE:RELIANCE stop_loss at 1205.83" ], "symbols": [ "RELIANCE" ], "paper_bot_supported": true, "research": { "method": "chronological-70-30-v1", "data_fingerprint": "cd754d97fe57fe0a0e4febef0de9c40071109beaea38cceee7cf111dd9d5f795", "source_hash": "68b7a0fc62e3cef0d20c1f1ca045e6eac3dc0f34b84bc69d72af6514fa5538f9", "prior_data_exposure": "unknown", "status": "insufficient_evidence", "caveats": [ "Later-period test; prior exposure to these prices is unknown. It is not certified untouched data.", "Same frozen source in all tests; each period starts with fresh cash and strategy state.", "Current charge schedule and next-bar fills apply. Dividends are excluded.", "Screen thresholds are product checks, not statistical significance or a guarantee of profitability.", "Rolling holding-period windows overlap; they are descriptive later-period returns, not independent observations or forecast probabilities.", "Price-only references exclude fees and dividends; exposures may differ from the strategy." ], "checks": [ { "name": "enough_validation_bars", "passed": true }, { "name": "enough_validation_trades", "passed": false }, { "name": "enough_development_bars", "passed": true }, { "name": "no_handler_errors", "passed": true }, { "name": "positive_later_period_net_return", "passed": false }, { "name": "positive_under_slippage_stress", "passed": false } ], "reasons": [ "enough validation trades", "positive later period net return", "positive under slippage stress" ], "development": { "metrics": { "total_return_pct": 0.3851, "gross_return_pct": 0.7824, "cagr_pct": 0.1832, "max_drawdown_pct": -4.6568, "max_drawdown_duration_bars": 257, "volatility_pct": 2.7582, "sharpe": -2.3852, "sortino": -3.1325, "calmar": 0.0393, "total_trades": 5, "winning_trades": 2, "losing_trades": 3, "win_rate_pct": 40.0, "profit_factor": 1.0842, "expectancy": 77.026, "avg_win": 2478.845, "avg_loss": -1524.1867, "largest_win": 3267.11, "largest_loss": -1549.97, "avg_holding_bars": 23.8, "max_consecutive_losses": 3, "total_charges": 397.27, "charges_as_pct_of_gross": 50.7758, "exit_reasons": { "stop_loss": 3, "take_profit": 1, "signal": 1 }, "starting_equity": 100000.0, "ending_equity": 100385.13, "peak_equity": 100413.55 }, "tested_bars": 465, "errors": 0, "rejections": {}, "start_ts": 1696391100, "end_ts": 1763523900 }, "validation": { "metrics": { "total_return_pct": -3.4738, "gross_return_pct": -3.2371, "cagr_pct": -3.8355, "max_drawdown_pct": -3.4917, "max_drawdown_duration_bars": 225, "volatility_pct": 3.8585, "sharpe": -2.7612, "sortino": -3.1424, "calmar": -1.0985, "total_trades": 3, "winning_trades": 0, "losing_trades": 3, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -1157.9367, "avg_win": 0.0, "avg_loss": -1157.9367, "largest_win": 0.0, "largest_loss": -1570.71, "avg_holding_bars": 31.3333, "max_consecutive_losses": 3, "total_charges": 236.66, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 2, "square_off": 1 }, "starting_equity": 100000.0, "ending_equity": 96526.19, "peak_equity": 100000.0 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "stress": { "metrics": { "total_return_pct": -3.522, "gross_return_pct": -3.2853, "cagr_pct": -3.8887, "max_drawdown_pct": -3.54, "max_drawdown_duration_bars": 225, "volatility_pct": 3.8593, "sharpe": -2.775, "sortino": -3.1575, "calmar": -1.0985, "total_trades": 3, "winning_trades": 0, "losing_trades": 3, "win_rate_pct": 0.0, "profit_factor": 0.0, "expectancy": -1174.0133, "avg_win": 0.0, "avg_loss": -1174.0133, "largest_win": 0.0, "largest_loss": -1594.9, "avg_holding_bars": 31.3333, "max_consecutive_losses": 3, "total_charges": 236.79, "charges_as_pct_of_gross": 0.0, "exit_reasons": { "stop_loss": 2, "square_off": 1 }, "starting_equity": 100000.0, "ending_equity": 96477.96, "peak_equity": 100000.0 }, "tested_bars": 225, "errors": 0, "rejections": {}, "start_ts": 1763610300, "end_ts": 1791517500 }, "split_ts": 1763610300, "common_bars": 750, "stress_slippage_bps": 10.0, "minimum_validation_bars": 100, "minimum_validation_trades": 10, "price_only_reference_pct": { "RELIANCE": -24.45290814021044 }, "holding_periods": { "5": { "sessions": 5, "windows": 221, "worst_pct": -1.4893573445647013, "median_pct": 0.0, "best_pct": 1.7316820901872587, "positive_windows": 39, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "15": { "sessions": 15, "windows": 211, "worst_pct": -2.4447030494198385, "median_pct": 0.0, "best_pct": 1.4462463358213995, "positive_windows": 38, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true }, "20": { "sessions": 20, "windows": 206, "worst_pct": -3.110683696842942, "median_pct": 0.0, "best_pct": 1.4462463358213995, "positive_windows": 39, "threshold_hits": { "5": 0, "10": 0, "20": 0, "38": 0 }, "overlapping": true } } } } } ] }