We Tested Whether More Diversification Helps a Mean-Reversion Strategy. It Doesn't.

We tested 5 position-sizing configs for our NSE SmallCap mean-reversion strategy — from 5 to 15 concurrent positions. More diversification hurt every metric. The 7-position limit acts as a quality filter, not a risk concentration.

We Extended Our Walk-Forward Window from 6 to 15 Months. Here's What We Found.

We extended our walk-forward factor validation from 6 to 15 months on NSE SmallCap 250. Signal got stronger — IC improved, stability increased, and two new persistent factors emerged that a shorter window couldn't detect.

NIFTY SmallCap 250: High Churn — flat index with unusually strong breadth

Cut smallcap exposure to 60%, overweight NBFC/Real Estate, and keep 35% defensive until >55% above 50DMA.

SmallCap Dislocation: Why This Mean-Reversion Edge Survived 18 Attempts to Break It

Most mean-reversion strategies break when you touch the parameters. This one didn’t. After 18 sensitivity tests, removing logic, and tightening constraints, SmallCap Dislocation held up—because it’s driven by forced selling, not curve-fitting.

SmallCap Dislocations: A Quantitative Alpha Source Most NSE Small-Cap Funds Ignore

Indian small caps misprice during forced selling, not fundamentals. Using a day-by-day portfolio simulation, we tested a dislocation strategy that exploits liquidity shocks—64.8% win rate, −1.02 skew, and 3.1% max drawdown with strict risk controls.

Mean Reversion vs Trend Following in NSE Small-Caps: The Return Distribution Most Traders Ignore

Most NSE small-cap traders obsess over indicators. That’s a mistake. The real difference between mean reversion and trend following isn’t RSI or breakouts—it’s the return distribution you’re betting your capital and psychology on.

Exit Criteria That Actually Work in Small-Caps

We tested multiple exit models in a small-cap strategy and found that binary exits destroy value. A score-driven decay framework with hysteresis improved returns by 7.4pp, raised Sharpe, and cut turnover by 46%.

Low IC, High Sharpe: The Quant Paradox Most Factor Models Get Wrong

Most quants chase high IC factors. That’s a mistake. This article breaks down, with real numbers, how low-IC quality signals can outperform through volatility suppression, regime behavior, and correct portfolio construction.

Why We Didn’t Go Aggressive in a “Risk-On” Small-Cap Market: An Empirical Test of Portfolio Concentration

Should risk-on markets mean aggressive concentration? We tested 8–10 stock portfolios across regimes using live and backtested data. The result surprised us: concentration destroyed Sharpe. Here’s what the data actually says.