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 …
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 »
This blog piece is based on questions asked to me a while back by Gaurav Rungta (@grt_0101) on twitter. The question was regarding t-test and its utility in context of backtests. While this can be treated as a super expansive topic, I’ll try to approach this from a very basic perspective so that maximum people …
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 …
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 …
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) …
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 …
