Your backtest sees an open, a high, a low, a close and a volume. It does not see that the exchange required 100 percent of trade value as margin that day, restricted the stock to trade-for-trade settlement, and allowed trading on one day of the week. ASM and GSM are where that gap lives.
The triggers differ. GSM, the Graded Surveillance Measure, targets securities whose price is not commensurate with the financial health and fundamentals of the company. ASM, the Additional Surveillance Measure, targets market-based parameters: high-low variation, client concentration, close-to-close price variation, volume variation, delivery percentage and unique PAN counts.
GSM stages
From the NSE GSM FAQ:
| Stage | Surveillance action |
|---|---|
| I | Margin rate 100 percent, price band of 5 percent or lower |
| II | Trade for trade at that band, plus an Additional Surveillance Deposit of 50 percent of trade value from buyers |
| III | As Stage II, but ASD rises to 100 percent and trading is permitted once a week |
| IV | As Stage III, with no upward price movement permitted |
Securities move through the stages sequentially. NSE states that the stage-movement criteria are not disseminated in the public domain, so escalation cannot be anticipated from published rules.
ASM stages
From the NSE ASM FAQ:
| Framework | Stage | Action |
|---|---|---|
| Long-term | I | Margin 100 percent from T+3 day |
| Long-term | II | Price band cut to the next lower level, margin 100 percent from T+3 |
| Long-term | III | Price band cut again, margin 100 percent from T+3 |
| Long-term | IV | Gross settlement, 100 percent margin for all clients, 5 percent price band |
| Short-term | I | Margin of 50 percent or existing, whichever is higher, capped at 100 |
| Short-term | II | Margin of 100 percent or existing, whichever is higher, capped at 100 |
Securities already under GSM or trade-for-trade are excluded from short-term ASM shortlisting. F&O-eligible names run a parallel ladder that also cuts market-wide position limits.
What this means for a backtest
Trade-for-trade removes intraday square-off, so a strategy that entered and exited within the day could not have run. A 100 percent margin requirement removes the leverage the fill assumed, and a once-a-week trading permission breaks any daily rebalance schedule. With no borrow and no intraday exit, a short in a GSM Stage II or higher name is not a position you could have opened.
Caveats
Lists change with about one trading day of notice, issued after market hours, so a live strategy needs the current list rather than a cached one.
The measures stack. A security already in trade-for-trade that qualifies for GSM Stage II attracts the ASD on top of the existing restriction.
Presence on a list is not a verdict on the company. These are pre-emptive measures aimed at trading patterns, and inclusion is reviewed and reversed.