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 …
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 …
This was my first attempt at video logging and trying to explain data analysis using R. Made a major mistake, and realized after the video was recorded. Still going forward and putting it out here. Will be useful for starters on R and will give a gentle intro to backtesting. The extremely negative return on …
Here I present the backtest of Insider trading based on the following rules: 1. Which Stocks to buy: The top 10 Pure Insider Buy stocks on Monthly and Quarterly timeframes – as presented HERE.2. How to Buy: Buy Rs. 1000 worth of every stock – so total 1000*10= Rs. 10000, every month.3. When to Sell: …
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, …
This is not a rant about how Gold should be at the center of the monetary universe, or how hard money is what counts, or how it is just a pretty rock. This is a post only for those who wish to invest in gold in India rather than debate about its utility. So, only …
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 …
Summary: The best results in all cases of dojis is to go long for next day gap up when there’s a doji in an uptrend. The basis of many technical analysis signals is the shape of the candle stick. It always fascinated me that the candlestick patterns might hold some intuitive logic to them, for …
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 …
