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 …
Presenting a simple and straight forward tool which is useful in general. Just keeping track of sectors which have highest momentum and those who have lowest. Methodology is similar to the stock momentum screener found HERE. The graphs will be updated daily after market data comes out. The numbers of the graph will be available …
Inter-asset Correlation is one of primary metrics for maintaining a good portfolio. Loosely defined, correlation is a metric which tells you how much an asset price varies vis a vis another asset. The metric varies from -1 to +1. -1 means perfect negative correlation (an asset always goes down when corresponding asset goes up)+1 means …
Since the idea of mean variance optimization sounded so quanty, I have been obsessed with it. Finally, got around to backtesting it. Quite a painful procedure compared to most that I have done previously. The results were equally painful. Read on to know. Rules of backtest: 1. Data: Indices data from 2012-current. Included Indices are: …
I’d made the Mean variance function to automate the process that Kora had shown in his video HERE.Had posted it on twitter and gotten a good response for it. But I quickly realized that very few people would be able to use it since R isn’t a very prevalent language. So this video is dedicated …
Just to illustrate how the optimal portfolio can change over time, here is a video illustrating the changes in a portfolio of Nifty sectors from 2012 to 2022. With a look back period of 20 days. More interestingly, during the March 2020 crash, the optimal portfolio was 100% in Pharma even at the beginning of …
Based on teachings by Kora (@paststat on twitter) via his watanabe you tube show, had made a function to run create the optimal portfolio weights for a given portfolio. The post on twitter had gained a good response, since I’d made the code open source. However, later I realized that the tool might not be …
