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. …
In investments, all strategies can be boiled down to two basic philosophies:1. Something is going up, and you bet it’ll keep going up (Momentum)2. Something is going down, and you bet it’ll reverse course soon (Reversion) The problem with the Momentum strat is that you buy something expensive, hoping it’ll become more expensive (thus needing …
Since May has begun, thought I’ll do a small piece of research to provide a look into what actually to Nifty happens in the May to October time frame versus November to April time frame. Data derived from NIFTYINDICES website (Nifty data from 2000-2023 April). First let us look that the returns from the two …
A lot has been said and discussed about the VIX ticker. What it means, what it indicates, how it is a victim of childhood abuse (it was both supported and resisted) and many others. This post doesn’t address any of those issues. The fintwit community has discussed it to death, and I cannot really bring …
Since my Nifty accumulation SIP backtest based on momentum (HERE), I have been obsessed about trying to find a systematic approach to applying momentum strategies for multi-sector investment. The approach in this analysis is similar to the Nifty accumulation one. Based on accumulating fractional shares of whichever sector comes up with the system strategy. The …
Nifty Momentum for the past 6 days Continuing on with the series of Momentum based analysis and backtests. Recently, I got to wondering whether the Nifty momentum data calculated based on 20/60 day methodology (described HERE), could be used to create a conditional SIP into the Nifty Index. However, quite a few questions come to …
When I first read Kora’s book – High Profit trading patterns, what stayed with me was not the patterns, but the way he analyzed the data to get a probability estimate of returns and act on it. Financial market data can be viewed at its simplest as a mix of random (stochastic) and fixed (deterministic) …
Many have wondered why I chose some esoteric analytics for identifying trend. I mostly answer dunno. Haven’t really compared it against other trend indicators. Just seemed intuitive to me, so I continued with it. Here I’ll attempt to explain why I chose these. To answer that thought process, let’s ask. What is a trend?For me, …
Some days in the week have special significance for market participants. Thursday, for NSE is the options expiry day. Last Thursday of the month is the monthly options and futures expiry day. Since a lot of option denominated notional value gets unlocked on this day, Friday is sort of a fresh start.Hence, how the market …
We all know that the main Index of most countries is an upward trending asset class. Same for Nifty. Since its inception it has had a great run. The curious thing is that most of the gains of Nifty have been due to overnight gains rather than intraday gains. The following figures show the extent …
