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Momentum Strategy

NIFTY Momentum Backtest

Rules-based momentum approach tested across multiple market cycles in India

Discover how a systematic momentum approach compares to NIFTY (TRI) across different market regimes. This page provides clear methodology, key insights, and practical guidance for running your own backtests.

Methodology Overview

Universe & Selection

Large-cap Indian equities (NSE), rebalanced on signal dates using systematic momentum criteria

Signal Logic

Consistent short-term price strength measured using rolling growth windows

Execution Rules

Equal-weight entries with defined profit targets, stop losses, and holding period limits

Benchmark

NIFTY Total Return Index (TRI) serves as the passive baseline for comparison

Key Takeaways

  • Market Cycles Matter: Momentum strategies can outperform during sustained trends but may underperform during sharp reversals and choppy markets
  • Sequence Risk: The timing of withdrawals significantly impacts long-term outcomes, especially during market drawdowns
  • Tax Considerations: StratLab enables after-tax, after-withdrawal comparisons with STCG/LTCG modeling for realistic results
  • Configurable Costs: Include transaction costs, taxes, and withdrawal rules to match your actual investment scenario

Ready to Test This Strategy?

Run this momentum backtest with your own parameters, time periods, and tax assumptions—completely free

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Frequently Asked Questions

Momentum investing is a strategy that focuses on stocks showing strong recent price performance. It operates on the premise that trends tend to persist in the short to medium term. However, momentum strategies are not guaranteed to work and can experience significant losses during market reversals or choppy, directionless markets.

Results depend on your assumptions. StratLab supports configurable transaction costs, STCG/LTCG tax rates, and withdrawal rules to create realistic scenarios. Remember that backtests use historical data from surviving stocks (survivorship bias) and past performance does not guarantee future results.

Yes! StratLab allows you to adjust growth windows, holding periods, profit targets, and stop loss levels. You can test different parameter combinations to understand how they impact performance across various market conditions.

The backtest uses NIFTY TRI as a passive baseline. Momentum strategies may outperform during trending markets but can lag during reversals. Use the comparison tools in StratLab to see performance differences across different time periods and market cycles.