Bharti Airtel (BHARTIARTL): three strategies, 2019–2024.

Holding Bharti Airtel over these years returned 462%, a Sharpe ratio of 1.15. At their default settings none of the three rules beat that Sharpe. Tuned on the first 70% of the period and scored on the rest, one of the three held up.

Against holding it

Each rule at the workspace's default parameters, with 10 basis points of cost on every change of position, over 1,481 trading days.

Total returnSharpeWorst fall
Buy and hold462%1.15−33%
Momentum45%0.26−29%
MACD−66%−0.57−70%
Bollinger−11%−0.18−28%

On years it never saw

For each rule, every combination in its grid was run on the period up to 2023-03-09, the best was picked, and only that one was scored on what came after. How walk-forward works.

PickedSharpe, tunedSharpe, afterVerdict
Momentumlookback 20 · MA 2000.481.23held up
MACD12 / 26 / 9−0.43−0.72failed
Bollinger10 days · 1.5σ0.75−1.36failed

Skill or luck

Three more readings of the same runs. A permutation p-value under 0.05 means the timing beat random timing; a probability of overfitting near 0.5 or above means picking by backtest did no better than picking at random; the rolling column slides the split through the period. What each one asks.

Permutation pProbability of overfittingAcross rolling windows
Momentum0.0900.30positive in every window
MACD0.4930.56depends on the window
Bollinger0.0660.61depends on the window

Hypothetical results on past data (2019-01-01 to 2024-12-31), from a script in the repository that re-runs every figure. Not a recommendation to buy, sell or trade Bharti Airtel or any other security.

Run it yourself

Each opens in the workspace on Bharti Airtel over the same dates, straight after sign-up if you are new. Change the ticker or the dates and the numbers change with them, which is the point.

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