Refreshing to get the perspective of momentum investing. Is your investment type strictly based on stock price as fundamental do not change on a monthly basis. What is the time period you have to evaluate your performance and what is your return target? What index do you measure your performance against? Wouldn’t the cost of frequent trade be prohibitive on returns? Do you invest all your portfolio based on this thesis or are you trying out just a portion of your portfolio?
The system picks stocks which are in nifty500 at the time of running the algorithm. If a stock has just entered or not is not considered as long as it’s in the list.
If a stock is removed from nifty500 say on jan 31 but the system has picked it on jan 1, then I will hold till the end of the quarter.
My strategies are a mix of momentum, growth and value. Experimenting with what works when, why and how.
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Right now I will not be sharing the actual algorithm. One, because I want to test it and second and more importantly it is proprietary and three, since it is relatively complex, that people who are not into quant strategies will not be able to replicate it.
On replacing some underperforming stock with something else - there is no replacement that is done. The moment you tinker by over fitting your own judgement into a process, the benefit of objectivity and disciplined following of the process is gone. One of the beauties of quant is the replicability and testability of its strategies, which gets lost in discretionary interventions.
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Too many to write. I have been an avid reader since childhood and I generally read across subjects.
I love detective and thrillers for entertainment. Used to read classics when I was in school, but find them very boring 
In fiction my favourite authors are Agatha Christie, Alistair McLean, Sidney Sheldon, Frederick Forsyth, Sir Arthur Conan Doyle, Ruth Rendell, Erle Stanley Gardner (Perry Mason series), Lee Child, Satyajit Ray, Saradindu Bandopadhyay (Bomkesh Bakshi), Nihar ranjan Gupta (Bengali Kiriti Roy detective books), Sunil Gangopadhyay…I have read pretty much everything that these authors have written in this genre.
Non-fiction and non-investment the list is too big and diverse to put down here as a list. But a few of the books which I have loved are:
Atlas Shrugged, Freedom at midnight, Midnight’s Children, The rise and fall of the third Reich, Slowing down to the speed of life, a brief history of time, a short history of nearly everything, selfish gene, anything by Yuval Noah Harari (sapiens, home deus…), Freakonomics, the undercover economist, drunkard’s walk, history of the decline and fall of the roman empire, nudge, thinking fast and slow (needs to be read slowly to be understood!!), Meditations, the war of art, the art of war, surely you are joking mr Feynman …
While writing this list, I figured there are many many more and I should not go on more because the list will keep getting bigger!!
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Earlier this month I had the absolute privilege of addressing Prof Bakshi’s class at MDI Gurgaon. Attached is the presentation I shared in the session. I made this presentation specifically keeping in mind students who may not be seasoned investors and for whom, the meta-skills are more important to learn.
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The Q30 Portfolio Update
The month of December meant this was the 4th month I have been running this strategy live.
December closes the month-2 (October 2019) stocks and I will be buying the new set tomorrow.
Abs return for 3 months bucket, Oct-Dec : 28.24% (improved from last month)
The open 2 buckets are performing as follows:
Nov-Jan : 8.76%
Dec-Feb : 5.74%
Overall XIRR till now : 90.4%
This seems to be working fine!! 
Next thoughts to investigate on this is how to reduce drawdowns and to understand the impact of drawdown on return profile.
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Do you use any filter to remove cyclical stocks?
No. Since, the holding period for this is 3 months, I am not looking at cyclicals or non-cyclicals.
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Can you let us know the name of this course?
It was a classroom session conducted Mr Ravi Khandelwal, by a veteran trader and technical analyst in Calcutta. He does not always conducts the classes, but once in a while. I was lucky because our group of about 18-20 students had some fantastic long term investors and also some very very successful traders, so the learning and focus was also on understanding how technicals can be used by long term investors.
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Hi @basumallick
Thanks for starting the thread and sharing your thoughts with us!
Since this is a quant strategy that you are following and it’s a mix of value, growth and momentum.
As far as I know in quant books that I have read value is defined in some fashion. The most popular one being EBIT/TEV and momentum being defined as relative price strength over some period.
In the algo you are using, how are you defining value , momentum and growth? Just trying to get a sense
Best
Bheeshma
Thanks so much for the list of investment books . Have added many to my 2020 list of "to be read " books
In fact , on the contrary , it would be great for all of us , dada that you add to the above list.
Happy New year dada
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How do we, the common investors, choose stock out of nifty 500 which could be simpler and also close to ur algorithm, since u r unable to share it?
@bheeshma EV/EBIT is just one metric that people use. The point is to think of quantifying each aspect.
For example, let me walk you through a simple exercise… the framework I most often use is QGLP. So, let’s see how we can retrofit QGLP in some quant format.
Parameters for QGLP framework
-
Q meaning Quality (of business & management):
ROE , ROCE, Promoter pledging, OPM, tax rate, dividend payout ratio -
G meaning Growth:
Revenue growth - 1,3,5 years CAGR, PAT growth - 1,3,5 years CAGR -
L meaning longevity: (this is a more subjective parameter but we can have some view by looking into the past)
Revenue growth - 10 yrs CAGR
Order book size / Annual revenue -
P meaning Price:
PE, PEG, EV/EBITDA
You can also add technical factors in the price parameter. Factors like say, 200 day moving average etc.
These are parameters that I use for a QGLP strategy. You can come up with a different set or a bigger or smaller set. The values you use for filtering will also vary. There are literally millions of combinations that can occur by varying the parameters and their threshold values. You need to tinker and come up with your own for create a strategy for yourself.
So, there is no hard and fast rule as what parameters to use. You need to think of a strategy and there has to be a rationale for having that strategy. Then try to quantify it. One of the biggest challenges in quants systems these days is people are using too much on ML (machine learning) and are trying to find patterns in large data sets. Once they find a pattern, they think it can be utilised. But unless there is an underlying logic to that pattern, it usually fails as it ends up being a random pattern.
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Will certainly add on an ongoing basis.
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@atul1082 there is no easy answer to this, unfortunately. I am trying to create different strategies for the last 2 years and have come up with 3 now. Tinkering constantly with them and trying new ones all the time.
Hi Abhishek sir - thanks for sharing your quant investment knowledge via this thread… really liked reading about it…i myself have come to believe that fundamental investing by itself is ineffective if one is trying to beat the market and it needs to be complimented with technical factors as well.
Would you mind sharing the body of knowledge you used to develop knowledge oftechnical aspects of your stock picks?
Hi Basu,
Thanks for sharing a ton of experience. In the last slide, you metioned about a stock that looks promising to u. I am curious to know if you are talking about Midhani Ltd? In my limited stock investing experience, I would say I do not see the intrinsic value of this comany crossing $ 1b MC in 5 years. Great competative advantage with poor quality of business is like Tendulkar’s infamous centuries in loosing matches. Vice-versa works better though 
.
Dear @basumallick dada,
Thank you for deciding to share your experiment in quant space. It is turning out to be a great thread.
Few questions crops up in my mind.
What percentage of overall PF, you use for investing using this strategy ?
Do you put back the whole returns back to investing in next cycle? For ex, wlWill cycle in Jan have a higher investment resulting from the positive returns or will you stick to fixed amount of investing ? Do you use all 3 strategies you came up with in this investment cycle or are you describing so far one of it, that is quant based on an algorithm running in Nifty 500 universe ?
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