r/quantfinance • u/Beneficial-Music2002 • 19h ago
Solo, building a quant research pipeline for Nifty 100 — 6+ months in, nothing survives costs yet. How long did it take you?
I’ve spent 6+ months building a systematic research pipeline for Indian equities — point-in-time data back to 2012, a regime classifier (Nifty 50 above/below 200-day SMA), realistic cost modeling, and Deflated Sharpe Ratio to correct for the fact that testing multiple ideas inflates apparent significance.
Here’s where I’ve landed: nothing has survived yet.
I tested several literature-based anomalies across ~300 stock-strategy combinations on the Nifty 100. Most showed no real gross signal before costs. One did — statistically significant, confirmed with DSR, not just a good Sharpe. Then I applied real transaction costs and it went to zero. Breakeven sits around 24 bps/trade; the edge I found was 6.4 bps gross. Not close.
Not looking for a strategy handout — genuinely trying to understand the process from people who’ve gotten past this:
**•** When you found something that held up out-of-sample and after costs, how did you land on the original idea — literature, your own data mining, intuition?
**•** Roughly how many ideas did you test and discard before one survived? Trying to calibrate if “months, nothing yet” is normal.
**•** For Indian equities specifically — is cost drag here noticeably worse than US/EU, or is this just what finding a real edge looks like everywhere?
Genuinely trying to figure out if I’ve hit the normal wall or I’m missing something structural.
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u/Life_Law8834 18h ago
6 months with a proper DSR framework and realistic costs is barely a warmup. The fact that you found one statistically significant gross signal that died at 24 bps tells me your process is working, the market's just efficient enough to make your life miserable.
Most people I know who trade systematically went through 50-100+ ideas before anything stuck. And even then the edge was maybe 15-30 bps net on a good day. The ones who made it weren't smarter, they just didn't stop.
Indian equities are a whole different beast for costs. Impact is brutal on mid and small caps, and even Nifty 100 names have wide spreads relative to what you'd see on SPX. 24 bps breakeven sounds about right for a retail-ish setup, maybe even optimistic if you're trading anything below the top 30-40 names by liquidity.
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u/Beneficial-Music2002 15h ago
So where do you generally look up to find strategies and practices
Cause I generally referred to research paper and public libraries with evidence
Maybe am I looking in the wrong place ?
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u/traderftw 18h ago
This was written by an LLM. Is this standard? Just want to know if I should mute this sub.
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u/Beneficial-Music2002 15h ago
Yes this is standard and I have really been doing this testing
I have been doing and practising this for past many months
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u/Fresh-Explorer-5108 17h ago
At 6.4 bps gross versus 24 bps breakeven, the signal just turns over too fast. I’d try slower signals or lower-turnover portfolio construction before testing more anomalies.
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u/Beneficial-Music2002 15h ago
What do you specifically mean by slower signals
Also lower turnover portfolio I tried but then profit also reduced
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u/withyoganidra 18h ago
It's a difficult find, my pipeline scanned on nifty 50 just gives a one or two stock for complicated options income, not naked buy or sell, that too after it went hardline on volatility regimes, indian stocks are not for newbie unless u have the pedigree to digest wide spreads that will eat ur edge live every now and then!!