Momentum based ETF rotation - Amazing backtested results - Need Reviews

Investor Toolkits
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Its a react app driven from a python/pandas based api. Wanted to learn full-stack development and thought building my own tool was the best idea.

Regarding DEB, here are the indicators they support.

As you can see, it has a lot of indicators that are available quarterly.

So, if you want to request the Quarterly Net Profits for TCS for the last 2 years:
https://www.quandl.com/api/v3/datasets/DEB/TCS_Q_NP?start_date=2015-12-31&end_date=2017-12-31&api_key=
Using your web link, it will be something like this:
https://www.quandl.com/data/DEB/TCS_Q_NP

Furthermore, you can export the entire database to a csv file using
https://www.quandl.com/api/v3/databases/DEB/data?api_key=

To save money, I subscribe, export to csv, unsubscribe and repeat every 3-4 months.

44

Hi @sharmaudi Superb thread, Thanks for the insights. Just needed help with a couple of queries

  • You are running this weekly so just to confirm all ROCs you are checking are weekly
  • Is there a situation that you are on cash (except if none of the stock meeting criteria)
  • What kind of fundamental triggers do you apply as in are they different for different sectors (especially financials)?

Would it possible for you to share the your backtest results from amibroker as in hit rate, drawdown, P/L factor, avg holding period of a trade, etc?

45

@sharmaudi @manishd

Are you guys still using the momentum based portfolio? For last few months, momentum return hadn’t been great even though the market is ATH.

BTW - did any of you try to simulate/modify Gary Antonacci’s dual momentum? @sharmaudi - you had started this thread with this strategy - was there any reason to not continue with that?

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Icymi https://freefincal.com/momentum-investing-india/amp/

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Yes I am. running the system, currently in draw downs/

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How long have you been running this? Any experience/data that you can share will help the community here.

49

I tried to backtest momentum strategy…between Gold Bees, Nifty Bees…its out performance seems only on account of limited downside during GFC crisis…post 2009 returns are lower for this strategy

3 Likes
50

April 2017 officially on my site. Since 2014 for my personal use.

Here is the backtest details.

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I have two doubts.

  1. I saw PMS invested in Reliance Bank Bees. Since the Reliance is in doldrums, some thing bad happens what will happen to our investment in that?

  2. can i buy and sell frequently these ETFs and also Intraday?

Requested for information.

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Jan 18 to July 19 has been a downcycle for most. How is the strategy performing now for you? TIA

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Is there a good resource or book that explains various trading strategies that we can experiment with? I couldn’t find a lot on the web. Zerodha’s varsity has an excellent starter on Pair Trading & a basic momentum system.

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Quantitative momentum by Wesley Grey

How to beat wallstreet by JB Marwood

Michael Covel – Trend Following

1 Like
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Thanks a lot. Could you also point me towards finding a free dataset for historical NSE / BSE prices? I see that Quandl has a NSE product but for some reason, the data is not updated from April 1 onwards.

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Well.I tried backtesting the NIFTY ETF and GOLDBEES strategy that was explained by @sharmaudi at the start of this thread.

The time period that I chose was from 2012 - 2019 (Mar) and the results were a meager 55 %

nifty_gold
nifty_gold1920×927 103 KB

Is this expected? Or am I doing something wrong?

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Interesting read https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3614509

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Repository of all the factor-based strategies research I have found till today.

https://drive.google.com/drive/folders/17FX9ps3CKAEoU8UgVVey7EsQ4V0hoisj?usp=sharing

2 Likes
59

https://abimehrotra.wixsite.com/mysite/sectorrotation

I have done sector rotation backtests using various parameters. Dual momentum on sectors doesn’t work. Tried anti-DMS as well (choose the worse performer) no great result.

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Nice. BTW noticed volume breakout NSE500 is not updated.
https://abimehrotra.wixsite.com/mysite/volume-breakout-nse500

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I was using it to live backtest volume, and price breakouts of weekly, and monthly timeframes. Doesn’t work so defunct now.

1 Like