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.

https://preview.redd.it/lob9vzkgbvzg1.png?width=1219&format=png&auto=webp&s=4931014d8e1e1995d11035857142fc136e89884e

https://preview.redd.it/4rcu0xkgbvzg1.png?width=1561&format=png&auto=webp&s=3c01371797f5340b6d345db3193e1554c1b4ca9c

https://preview.redd.it/288eoykgbvzg1.png?width=1536&format=png&auto=webp&s=9492a9f3d19de6cf39782f78ff702786b5ed530e

https://preview.redd.it/ubz8xykgbvzg1.png?width=1663&format=png&auto=webp&s=d20ef0066a5d9a42241f5c6e43b222cd2a4f18e6

https://preview.redd.it/8yoaazkgbvzg1.png?width=1024&format=png&auto=webp&s=d5f4de80aecbc9939bf3dea01f1c1882b640c05b

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

https://preview.redd.it/mahcyy30bvzg1.png?width=1219&format=png&auto=webp&s=76bb747a5b43ac3bbf2ed786c9a41acf7f62ff54

https://preview.redd.it/got4yy30bvzg1.png?width=1561&format=png&auto=webp&s=27614c23fdac02edf1775b1b850f2e2a7a2acee1

https://preview.redd.it/mee8l040bvzg1.png?width=1536&format=png&auto=webp&s=ff299fe782114e282cee7aece89fa38e638f6788

https://preview.redd.it/ef1y3040bvzg1.png?width=1663&format=png&auto=webp&s=1c3735099a1757d24577e8dbc11e8ec1971a64ca

https://preview.redd.it/ucchb040bvzg1.png?width=1024&format=png&auto=webp&s=f78c1eb0d2734ac85b01c79c8c4308e387fee57a

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

https://preview.redd.it/4nxmpuqqavzg1.png?width=1219&format=png&auto=webp&s=dde76101d3dc74d0067b332cf5e7d14f13942d3f

https://preview.redd.it/5gtxousqavzg1.png?width=1561&format=png&auto=webp&s=1839db1c03f5ec6a3635486f7df1cda231b90110

https://preview.redd.it/gg3bcrsqavzg1.png?width=1536&format=png&auto=webp&s=f44940d4fb249907d24c48e1fef898220be4b1ac

https://preview.redd.it/wshs2nsqavzg1.png?width=1663&format=png&auto=webp&s=e7c937b0a00099d3ca5ccc99a56296d237727541

https://preview.redd.it/i2i21osqavzg1.png?width=1024&format=png&auto=webp&s=12aa68b1d85229c88138219e2f56bb8073a08b7f

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

https://preview.redd.it/dus9zz1lavzg1.png?width=1219&format=png&auto=webp&s=29e510b76936754f764c818c0f4ce710afdec242

https://preview.redd.it/982d1q2lavzg1.png?width=1561&format=png&auto=webp&s=285cc0ce76e52177c818d09665c539133550778c

https://preview.redd.it/ri8t702lavzg1.png?width=1536&format=png&auto=webp&s=a039da829f658cfd3511316dee083afdaceafff7

https://preview.redd.it/i4z3b12lavzg1.png?width=1663&format=png&auto=webp&s=340a9ed5efc52132d72fbce0382532c081dada75

https://preview.redd.it/nr3nwz1lavzg1.png?width=1024&format=png&auto=webp&s=5739f55fed6605bcc768a0a9f7221c8171471741

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

https://preview.redd.it/73tjyw4y9vzg1.png?width=1219&format=png&auto=webp&s=3e435dbce3e6599fcc806565b0b33b5b4496ae42

https://preview.redd.it/50s7gz4y9vzg1.png?width=1561&format=png&auto=webp&s=be0474ba2b69b13133ca59c174831193ba8cbb3d

https://preview.redd.it/tod3iz4y9vzg1.png?width=1536&format=png&auto=webp&s=ee75d83692b2a8c4a9ecda8d4b60f4bab73bff5d

https://preview.redd.it/swnb3y4y9vzg1.png?width=1663&format=png&auto=webp&s=53d444d6ec5bb00e5947c8f77b6e23d0be446982

https://preview.redd.it/meudhy4y9vzg1.png?width=1024&format=png&auto=webp&s=7819ace17119e4da5d8316859d9f2e68f3adaa6f

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

https://preview.redd.it/398td8lt9vzg1.png?width=1219&format=png&auto=webp&s=88577209fd8b0971600a060b981faf8f9b0045b7

https://preview.redd.it/8vwo9alt9vzg1.png?width=1561&format=png&auto=webp&s=08c2aba4c9a3f70d4107e4ceba4f8138bf1ac2ef

https://preview.redd.it/i5j3c8lt9vzg1.png?width=1536&format=png&auto=webp&s=b711178ee30bfedcbacd6eba27a197a3da0aa429

https://preview.redd.it/i8jr99lt9vzg1.png?width=1663&format=png&auto=webp&s=37feeac93081cc4917f55c8ea9ade74a23c0db58

https://preview.redd.it/490xg9lt9vzg1.png?width=1024&format=png&auto=webp&s=1294ea3494b4468ce0514fb4a50ab3005902395b

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

https://preview.redd.it/ewzxzlwr8vzg1.png?width=1254&format=png&auto=webp&s=d1130f6027d2de3889cf6a42861d184ba006d273

https://preview.redd.it/lvimwlwr8vzg1.png?width=1536&format=png&auto=webp&s=49ee6429317179e94a43b519d24d42358367e585

https://preview.redd.it/k2d3nlwr8vzg1.png?width=1536&format=png&auto=webp&s=6dcc96fea9da31fe7472b572259ac890bd37412c

https://preview.redd.it/u02n9lwr8vzg1.png?width=1692&format=png&auto=webp&s=dd1406dc3155bfea227af5e41feea9c3d35ee088

https://preview.redd.it/fnjs9lwr8vzg1.png?width=1024&format=png&auto=webp&s=8dd11b6df515e49085f5a0ec580da186f486a59c

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

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

https://preview.redd.it/zpheuhk56vzg1.png?width=1219&format=png&auto=webp&s=b5c7bafd72b337ee2bdf1b1abb2886d02f662b86

https://preview.redd.it/ffwqyik56vzg1.png?width=1561&format=png&auto=webp&s=157012ba0e387bbf0b5605bc0eedc71271a5298e

https://preview.redd.it/4ssj8jk56vzg1.png?width=1536&format=png&auto=webp&s=088d3750d3a1cf5da95cb91aea74302b547d3517

https://preview.redd.it/lbytwik56vzg1.png?width=1663&format=png&auto=webp&s=3c276766ae849b74b493fa77b0d6cd5b572f746b

https://preview.redd.it/73ktwik56vzg1.png?width=1024&format=png&auto=webp&s=b1bd6b1f7224c6de029f0ffb2c25e6c9d5d2c364

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

https://preview.redd.it/h3lok0el4vzg1.png?width=1219&format=png&auto=webp&s=ac65aa0f91d31d1022f3a7a66129aa6f067e058a

https://preview.redd.it/ohpan0el4vzg1.png?width=1561&format=png&auto=webp&s=f66f5ea5ff0e91d7b0f9290f570fc22b340a30bf

https://preview.redd.it/11z1s0el4vzg1.png?width=1536&format=png&auto=webp&s=01c6d541b213c1c4b3fc1ef8d8f3fcbdf16d664a

https://preview.redd.it/mlcdq1el4vzg1.png?width=1663&format=png&auto=webp&s=3edac36cccb8579e9099fab49294d2017472ac10

https://preview.redd.it/1i3lx0el4vzg1.png?width=1024&format=png&auto=webp&s=3f0d8d0bab35cc2543691e694de82953f4c40214