Crude Oil Macro Sector Rotator - Conditional Commodity Shock Rebalancer
Crude oil is the primary input cost for consumer decorative paint companies (~50% of raw material COGS) while serving as the top-line revenue driver for upstream energy explorers. When Brent/MCX Crude spikes >15% over 20 sessions, this strategy systematically reduces exposure to Asian Paints and overweights Reliance and ONGC to harvest commodity cycle momentum.
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Verified Simulation Metrics & Risk Attribution
Slippage Assumed: 2.5 bpsVisible White-Box AST & BNF Grammar Specification
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PORTFOLIO Crude_Oil_Macro_Sector_Rotator
MARKET INDIA_CASH
EXCHANGE NSE
CONSTITUENTS RELIANCE:35% ONGC:35% ASIANPAINT:10% GOLDBEES:10% LIQUIDBEES:10%
TRIGGER MCX_CRUDE_20D_ROC > 15%
ACTION SHIFT_SECTOR CONSUMER_PAINTS -> UPSTREAM_ENERGY
CADENCE MONTHLY
PRODUCT CNC_DELIVERY
EXECUTION 1_CLICK_BASKET{
"schema_version": "3.1.0-IN",
"strategy_id": "crude-oil-macro-sector-rotator-ast",
"blueprint_id": "IN_REBALANCE_01_CRUDE_SECTOR_ROTATION",
"strategy_name": "Crude Oil Macro Sector Rotator",
"market_regime": "IN_NSE_BSE",
"product_segment": "NSE_CASH_DELIVERY_CNC",
"engine_archetype": "PORTFOLIO_REBALANCE",
"config_type": "PORTFOLIO_REBALANCE",
"portfolio_assets": [
{
"sym": "RELIANCE",
"name": "Reliance Industries Ltd",
"category": "EQUITY",
"price": 2980,
"weightPct": 35
},
{
"sym": "ONGC",
"name": "Oil & Natural Gas Corp",
"category": "EQUITY",
"price": 265,
"weightPct": 35
},
{
"sym": "ASIANPAINT",
"name": "Asian Paints Ltd",
"category": "EQUITY",
"price": 2480,
"weightPct": 10
},
{
"sym": "GOLDBEES",
"name": "Nippon India Gold BeES ETF",
"category": "GOLD",
"price": 74,
"weightPct": 10
},
{
"sym": "LIQUIDBEES",
"name": "Nippon India Liquid ETF",
"category": "DEBT",
"price": 1000,
"weightPct": 10
}
],
"rebalance_cadence": "MONTHLY",
"drift_tolerance_pct": 5,
"trend_shield_enabled": true,
"timeframe": "1d"
}Realistic Statutory Taxes, Exchange Levies & Slippage
Post-Tax Real ReturnsMost retail backtest software shows inflated profits because it completely ignores government levies, exchange fees, and execution slippage. Crucible models exact statutory tax schedules and bid-ask slippage on every simulated fill:
| Statutory Fee / Levy | Schedule / Rate | Cost per Standard Trade | Regulatory Authority |
|---|---|---|---|
| STT (Delivery) Applicable on equity delivery transactions. | 0.1% on Buy & Sell | ₹100 per ₹1L | Dept of Revenue, MoF |
| Stamp Duty Levied on gross purchase turnover. | 0.015% on Buy only | ₹15 per ₹1L | Indian Stamp Act, 1899 |
| Exchange Turnover Charges Standard exchange trading infrastructure fee. | 0.00345% | ₹3.45 per ₹1L | NSE / BSE |
| GST Goods and Services Tax on transaction fees. | 18% | 18% on exchange charges | CBIC |
Deterministic Execution Rules & Risk Guardrails
1. Entry Triggers
- Monitor 20-session Rate of Change (ROC) on MCX Crude Oil futures / Brent Spot benchmark.
- When Crude ROC > 15.0%, generate Demat rebalancing basket: Overweight ONGC (35%) and RELIANCE (35%), reduce ASIANPAINT (10%).
- Allocate remaining 20% equally across GOLDBEES (10%) and LIQUIDBEES (10%) for portfolio defense.
2. Exit & Stop Rules
- When Crude ROC normalizes below 5.0% for 30 consecutive trading sessions, revert to baseline neutral sector weights.
- 200-DMA regime shield: If crude rises during broader market crash (Nifty < 200 DMA), park 30% in LIQUIDBEES.
3. Risk Collars & Circuit Breakers
- Zero futures leverage: Underlying stock holdings executed strictly in CNC delivery mode.
- Rebalance execution via 1-click delivery basket confirmation.
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