Tools
Trend, US large caps, IVV (ETF version)
Six equal sleeves: Nifty 100, Midcap 150, Smallcap 250, gold, 5-year G-secs and US large caps through iShares IVV. Exposure in each sleeve equals its 24-vote trend score; the rest is cash. Weekly decisions with a 5-percentage-point trade band. Its latest target is 17% US equity (IVV), 7% Smallcap 250, 4% gold, 2% Midcap 150, 1% G-secs, 69% cash . From Apr 2006 it returned 11.1% a year before investor tax, against 14.2% for its benchmark; its worst fall was −16%. ETF distributions are reinvested on ex-date before investor withholding and income taxes. An after-tax result is not modelled.
What it holds now
Target : 17% US equity (IVV), 7% Smallcap 250, 4% gold, 2% Midcap 150, 1% G-secs, 69% cash.
Each sleeve is an equal slice of the model, invested in proportion to its market's trend score.
| Market | Trend score | Sleeve | Since | More |
|---|---|---|---|---|
| Nifty 100 | 0 | In cash | Oct 2026 | |
| Midcap 150 | 21 | 21% invested | Sept 2026 | |
| Smallcap 250 | 46 | 46% invested | Sept 2026 | |
| Gold | 17 | 17% invested | May 2026 | |
| G-secs | 8 | 8% invested | Aug 2026 | |
| US equity (IVV) | 100 | Fully invested | Oct 2026 |
Its record
Growth of one rupee after costs, before tax, on a log scale, beside its benchmark: equal parts Nifty 100, Midcap 150, Smallcap 250, US equity (IVV), gold and 5-year G-secs, rebalanced each January. The gap can reflect asset allocation, risk exposure, rebalancing and timing; this comparison alone does not isolate timing skill. The marks show when the rule was published and when it entered this library; the record after entry is tracked separately.
Trend, US large caps, IVV (ETF version): growth of one rupee
How to read it. Log scale, so equal slopes are equal returns.
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Trend, US large caps, IVV (ETF version): fall from its previous peak
How to read it. How far each was below its own previous high, weekly: the model as the line, its benchmark as the grey area, so wherever the line sits above the grey the model was falling less. The model's worst fall was −16%, against −36% for its benchmark, on daily closes; the weekly line can look a little shallower.
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Apr 2006 to Oct 2026. Percentages except the Sharpe ratio, turnover and tax cost. Deflated Sharpe ratio against the benchmark: 0.00 (0.95 is the usual bar), counting every rule tried.
| This model | Benchmark | |
|---|---|---|
| Return a year, before tax | 11.1 | 14.2 |
| Volatility | 7.8 | 12.6 |
| Worst daily fall, before tax | −16.1 | −36.4 |
| Sharpe ratio | 0.6 | – |
| Average share in equity | 41.6 | – |
| Turnover a year | 3.5 | – |
Backtests and recorded returns
No frozen paper record is available in this release. Returns shown here are recomputed backtests, after costs and before tax.
| Period and basis | Dates | Total return, before tax | A year | More |
|---|---|---|---|---|
| Before the source rule was published (backtest) | 10 Apr 2006 to 29 Dec 2017 | 270.5% | 11.8% | |
| After source publication, before library entry (backtest) | 29 Dec 2017 to 13 Oct 2026 | 134.9% | 10.2% | |
| Since library entry (recomputed backtest) | – | – | – |
What it held
The share of the model in each asset at every month-end.
Trend, US large caps, IVV (ETF version): holdings at each month-end
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The rule
Six equal sleeves: Nifty 100, Midcap 150, Smallcap 250, gold, 5-year G-secs and US large caps through iShares IVV. Exposure in each sleeve equals its 24-vote trend score; the rest is cash. Weekly decisions with a 5-percentage-point trade band.
ETF-input amendment: docs/research/models_etf_spec.md. Same signal parameters as the corresponding registered rule. Issuer NAV total returns in INR, with distributions reinvested on ex-date. Before investor tax and dividend withholding; NAV is not an executable quote. Fund expenses are already included; assumed execution costs are 0.60% each way. No pre-inception extension. ACWI includes India, so its exposure overlaps the domestic leg where used. Rule published 2017; entered this library 17 Oct 2026.
Sources
The research this rule comes from. The Indian version substitutes Indian indices for the original assets, as the rule above says.
- Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen (2017). A Century of Evidence on Trend-Following Investing. The Journal of Portfolio Management.
- Tobias Moskowitz, Yao Hua Ooi and Lasse Heje Pedersen (2012). Time Series Momentum. Journal of Financial Economics.
Graded with the deflated Sharpe ratio of Bailey and López de Prado (2014), counting every rule tried: the pre-registered specification.
The workings
Data
Every chart has a table view, a CSV download and a link to its published JSON. Bundles are listed in data status.