Went through the videos @visuarchie very informative.
I have been experimenting with a basic price-based momentum template [i.e. compare overall returns over 6 months and 12 months for Nifty200 universe]. I keep the size highly concentrated (limited to 3-5 picks) and I have also observed that the performance of the 6M portfolio is much better than both the 3M and 12M portfolios.
However, I was never convinced with the method as I was just using “overall returns” and as you rightly pointed out in your video, you end up having at times few wild cards, which may be false positives in nature. 3M was very volatile, while 12M kinda couldn’t pick “real momentums” early on.
I liked how you filtered the noise using both standard deviation and distribution of momentum score.
Since my observation was that 6M worked better than 12M, I shall experiment with your algo keeping 6M slightly overweight (maybe ~60-65%).
Thanks for educating us on this topic.
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