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 »
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 …
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. …
Bulk deal data is published by NSE daily. A lot of the data comprises of clients buying large quantities and selling it during the day to benefit from small price changes. However, there are quite a few that are outright buy or sell. Since, these are high volume transactions, it makes sense to test whether …
Bulk Deal Data – does it have any embedded alpha? Read More »
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 …
Unveiling a screening tool for high momentum stocks in the Nifty 500 Universe. Methodology:The methodology is similar to that use by NSE for its Momentum 30 Index. Except, the time frame has been shortened. The original index uses returns of 6 months and one year on an equi-weighted basis to calculated the metric they call …
