Case Study: Analyzing a Momentum Strategy's Performance Across Market Cycles

A backtest that shows 18 percent CAGR over twenty years tells you almost nothing until you know where those returns came from and when they disappeared. This intermediate case study takes a completed cross-sectional momentum strategy on the Nifty 500 universe, the same 12-1 monthly rebalanced design built in our beginner backtesting course, and puts it through the analysis a prop desk or quant fund would run before allocating capital. You will define Indian market regimes from 2005 to 2025 using rules rather than hindsight, slice the track record by bull, bear, sideways and recovery phases, dissect the momentum crashes of 2009 and 2020, measure drawdown depth against duration, run rolling Sharpe and beta, attribute returns to sectors, size and style factors, and price the STT, brokerage and short-term capital gains tax that vary with turnover across cycles. The course ends with the performance memo a hiring manager expects, and a verdict on what should change before the strategy runs with real money.