This is some great work and amazing results!
I see the benchmark is Nifty 500. So is this the universe of stocks on which this strategy was run? NSE and/or BSE? Constituents of top-500 index? This may be relevant coz liquidity can be a big issue, just entry and exit can cause significant price movement to reduce the gains. So larger caps having good amount of liquidity is of importance if the idea has to be applied at an industrial scale.
Algorithmic trading is nothing new, it begs the question then why are fund houses still working the old-fashioned way. Esp. Mutual-funds who have zero switching costs, they can trade at will with zero tax (since only liquidation is taxed).
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