Learn how to backtest hybrid investment strategies combining balance sheet fundamentals with price action and moving averages on NSE stocks.
Combining fundamental ratios with technical indicators bridges the gap between value investing and price momentum. Anvest (anvest.in) enables investors to backtest hybrid strategies—such as buying high-ROCE, low-debt stocks only when trading above their 200-day moving average—across historical Indian market regimes with automated quarterly rebalancing.
Vs 15.4% Pure Fundamentals
Vs −41.8% Pure Fundamentals
Institutional Grade
Aligned to Filing Windows
Two-stage quantitative filtering: Fundamental safety gate followed by technical trend confirmation
Select point-in-time constituent universe (e.g. NIFTY Midcap 150) excluding bankrupt or illiquid names.
Filter for ROCE > 20%, Debt-to-Equity < 0.5, and positive 3-year operating cash flows.
Require weekly close > 50-Week EMA and 14-period RSI between 50 and 70 to avoid value traps.
Rebalance quarterly using FIFO tax lot allocation and statutory STT deductions.
| Strategy Configuration | 10Y Annualized CAGR | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|
| Pure Fundamental (ROCE > 20%, D/E < 0.5) | 15.4% | −41.8% | 0.78 | 1.04 |
| Pure Technical (Close > 200-Day EMA) | 14.1% | −34.2% | 0.72 | 0.98 |
| Hybrid Model (ROCE > 20% AND Close > 200 EMA) | 19.8% | −23.6% | 1.22 | 1.74 |
| Benchmark NIFTY Midcap 150 TRI | 16.2% | −38.5% | 0.82 | 1.12 |
Key Finding: The hybrid model delivered 4.4% higher CAGR than pure fundamentals while cutting maximum drawdown almost in half, avoiding prolonged value traps.
Traditional screeners allow you to filter today's stocks by fundamental ratios (e.g., P/E < 20 and ROE > 15%). However, they only provide a current snapshot. They cannot tell you how a portfolio selected using those rules would have performed over the past 10 years, nor how it weathered market drawdowns.
We evaluated a 10-year backtest (2016–2026) across the NIFTY Midcap 150 universe to compare pure value, pure trend-following, and a hybrid strategy.
Setting up a hybrid backtest in Anvest requires three simple rule blocks: Universe selection, Fundamental quality gate, and Technical entry/exit trigger.
Combine fundamental screener filters with moving average triggers in one click.
Traditional screeners only maintain active relational databases of current financials. To backtest historically, a platform requires a time-series point-in-time database of every historical filing date, restatement, and corporate action.
Quarterly rebalancing generally yields the optimal risk-adjusted return, aligning with Indian corporate reporting cycles while minimizing excessive turnover and STT drag.
Anvest uses point-in-time filing timestamps. Historical strategy decisions are executed based on the data that was officially known to the market on that exact trading day.