Once in a while, I take ideas from the Fintwit community and convert it into a strat, and if useful, into a screener. This article was spawned off an idea suggested by KalpaTrader, as an extension of the NSE methodology for selecting Momentum stocks. The word “Kalpa” stands for “competent/proper/fitting” in Sanskrit. Since the results …
Duration weighted Stock Momentum Portfolio – The Kalpa Strat Read More »
INTRODUCTION Since the relatively successful results of the stock trend screener (HERE), I have been obsessed with poking holes into it. I mean, something too good to be true, usually is. One of the criticisms I could think of (and has been pointed out by other astute observers on twitter), has been the fact the …
Pinning the bounce screener stocks at the top. The backtest is below the currently screened stocks. Large Cap Bounce Stocks Mid Cap Bounce Stocks Small Cap Bounce Stocks INTRODUCTION Most investors can classify themselves into either momentum investors or value investors. The preferred scheme of momentum investing is for those who like to buy things …
Unveiling the stock trend screener based on AC and LR criteria.* The rationale behind trend identification using Autocorrelation and Linear regression has been detailed HERE.* The use of this method to identify trending stocks, and naively backtested (as proof of concept) HERE.* Improving the backtest to remove limitations detailed therein (backtest 2.0) has been detailed …
If you’re reading the series on development of the stock trend screener for the first time, please go through the following articles first to develop some context:1. AC and LR strategy for stock trend detection, backtested (naively): https://alphaleaks.info/stock-trend-backtest-using-ac-and-lr-criteria/2. Improvement of the previous backtest: https://alphaleaks.info/stock-trend-backtest-using-ac-and-lr-criteria/ INTRODUCTION This is the penultimate article exploring stock trend detection strategies. …
In the last article I put out, conducting a backtest on the AC and LR criteria for stock trend identification and robustness, the process was naive and mainly showcased as a proof of concept, that this signal is viable. Those who missed it, can read it HERE.The test suffered from multiple limitations, some of which …
Trends in markets are a brilliant phenomenon. Its simple to observe, compute, and act on, and it just works. Something going up, will keep going up. But the simplicity hides quite a few intricacies.1. How much up is good enough to be called up?2. Is the up accompanied by heart attack inducing downs once in …
Positive Momentum is one of the most common factors considered useful for buying in. Since I designed the Sector momentum screener, I have been obsessed with finding more efficient ways to trade/invest within the Index universe.Recently, after my twitter post showcasing the Ranking system of Indices based on Momentum, one of my followers suggested backtesting …
Monte Carlo is a term you’d be hearing a lot when talking about equity curves along with terms like “path dependency”. This post is NOT about Monte Carlo. The problem with this term is that it comes with a lot of baggage. The baggage is not in what Monte Carlo is, but how to go …
Current Index Bounce Signal Status I’m writing this article to improve upon some of the limitations that I’d observed in the previous article (Catching the Bounce, Not the Falling Knife – HERE). 1. Autocorrelation works better when it is conducted on returns (daily close to close change), rather than Close values themselves. Hence, redid that. …
