The methodology of “Nifty 200 Momentum 30 Index” is very much identical to your strategy except that the rebalance is every 6 months and no of stocks are 30. It aims to pick stocks with high momentum score (returns+low volatility). Link is here https://www.niftyindices.com/indices/equity/strategy-indices/nifty200-momentum-30.
Have you had a chance to compare the returns of your strategy with this index? There are few etfs that replicate this index saving tons of analysis and manual work. Like to hear your views.
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