Rupee Strength Switch Shows Returns but Limited Edge
A second frontier model re-reads the same evidence. Thesis stance is what gets signed; the independent row is for audit and risk review — track accuracy over time on Model scorecard.
Research simulation only · Not investment advice · Not a trade recommendation · Past backtests do not predict future results.
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Evidence is mixed or benchmark-relative performance is inconclusive — no clear edge. Independent model review is shown separately — it does not change what is signed unless the evidence gate applies.
Rupee Strength Switch Shows Returns but Limited Edge
If USD/INR falls from roughly ₹95.97 toward ₹92 over 6–9 months, domestic India beta should outperform USD-sensitive exposures, with gilts used to dampen drawdowns.
The Rupee Strength Domestic Regime Switch produced a 153.32% total return and 14.73% annualised return over the 2019-05-24 to 2026-05-22 backtest. Risk-adjusted results are adequate but not compelling, with a 0.69 Sharpe, 0.66 Sortino and -20.74% maximum drawdown. The strategy is directionally consistent with the stated rupee-appreciation and domestic-demand regime, but the evidence falls just short of the threshold for a buy rating. We rate it hold, reflecting a real but only modestly proven edge.
- The strategy delivered positive absolute performance, with 153.32% total return and 14.73% annualised return across the full backtest.
- Risk-adjusted performance was borderline, with a Sharpe ratio of 0.69 and Sortino ratio of 0.66, placing it just below the buy threshold.
- Drawdown control was meaningful but incomplete: maximum drawdown reached -20.74%, while CVaR 95% was -2.31%.
- The daily win rate of 54.9% suggests a modest hit-rate advantage rather than a highly asymmetric payoff profile.
- Weekly regime_blend allocation across NIFTYBEES.NS, BANKBEES.NS, CONSUMBEES.NS and GSEC10YBEES.NS aligns the portfolio with domestic beta while retaining a 10Y gilt defensive sleeve.
- Concentration risk remains material because the universe is limited to NIFTYBEES.NS, BANKBEES.NS, CONSUMBEES.NS and GSEC10YBEES.NS.
- Regime fragility is a concern if the market enters a sustained low-volatility or mean-reverting environment in which momentum logic underperforms.
- Liquidity slippage in ETF execution, especially on smaller venues, could reduce realised returns versus the backtest fill assumption.
- Stress scenarios include the Mar-2020 COVID drawdown, where fast reversals can punish lagging weekly rebalancers, and the 2022 rate-hike cycle, where correlations rose and defensive ballast weakened.
Risk-on holds banks, consumption and Nifty when trend and vol are supportive; shifts to 10Y gilts when equity momentum fades.
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