@Mudit.Kushalvardhan Many studies done in the past have shown that the optimum period for look back is 6+ months; that is why we have chosen 6m and 1y in our case.
Shorter look back periods can throw up stocks that show sudden spurts that may not be consistent.
I did a quick check on data from 6m. There is difference between pure rate of change (returns) and volatility managed returns (momentum ratio).
| ROC | Momentum ratio | |
|---|---|---|
| 1 | COCHINSHIP | GLENMARK |
| 2 | GRSE | DEEPAKFERT |
| 3 | POWERINDIA | COCHINSHIP |
| 4 | DEEPAKFERT | WHIRLPOOL |
| 5 | GODFRYPHLP | POWERINDIA |
| 6 | GLENMARK | BIKAJI |
| 7 | AEGISLOG | DOMS |
| 8 | ARE&M | ERIS |
| 9 | KAYNES | CHOLAHLDNG |
| 10 | TEJASNET | CROMPTON |
| 11 | CDSL | NATCOPHARM |
| 12 | MOTILALOFS | GRSE |
| 13 | DOMS | SUVENPHAR |
| 14 | PCBL | GODFRYPHLP |
| 15 | CENTURYTEX | VGUARD |
| 16 | CHOLAHLDNG | JUBLPHARMA |
| 17 | BIKAJI | BALRAMCHIN |
| 18 | SUVENPHAR | CDSL |
| 19 | FSL | ARE&M |
| 20 | WHIRLPOOL | FSL |
So even for 6m look back, there is a difference between rate of returns and one that is managed with volatility. I guess this would be more acute for shorter look back periods.
My suggestion would be to remain with longer periods for look back.
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