Please find below the updated sheet as requested by one of the members.
I have removed the formulae for bhav copy integration as the url will be different when every person does his own integration.
Line 451 contains the formula to pull data directly as suggested by @Anand_Jain. Though I did not use it this week, I might use it in future. People are free to check it out.
@visuarchie will post the sheet, but do not stop your work also. Understand how the whole thing works and go forward, because there could be losses too, not just profits. And, you can also add your own features to the sheet, and make it better.
Let data do the work without looking at anything else!! Really kindled my interest and I kind of ran through each of your comments. Got the idea and it looks very interesting. Taking away all the biases with very clear entry and exits.
One thing that I have noticed is since the time this portfolio has been operated we have been in bull phase. Just eager to know if there has been any backtest done by employing this strategy on the past data, which should give us a clue on what to expect in down phases.
@Siddharth515 As I have said in some of my previous posts, I have not done any backtests. I do not have the resources for that.
When the market goes down, this pf is also expected to go down. However, as we are rebalancing every week, there is a good chance that we will have the strongest stocks from the index in our pf.
@visuarchie sir, the Z-score strategy was not included in the pure momentum strategy because it is often considered more of a statistical method used to identify overbought or oversold conditions rather than a primary momentum strategy. Most momentum strategies focus on trend following and relative strength, which are easier to understand and implement for many investors.
As you know Z-score Strategy measures how far a data point (stock price) is from the mean, expressed in terms of standard deviations. A high Z-score might indicate overbought conditions, while a low Z-score suggests oversold conditions.
This strategy can help identify potential reversals rather than pure momentum plays.
In contrast, traditional momentum strategies like trend following, relative momentum, and sector rotation are more directly aligned with the core concept of momentum investing, which is capitalizing on stocks that are already trending upward or downward.
For us who are interested in momentum investing, combining the Z-score with other momentum strategies might offer additional insights and enhance overall performance. The Z-score can act as a complementary tool to identify extremes and potential mean-reversion points within a broader momentum framework.
Your input please, why not other strategy than z score which you follow, please.
@R_Sawkar Good that you asked so that I can provide an explanation.
In our strategy Z-score is not used to determine over bought or over sold condition. We use it for ranking purposes. As you know our main factor is momentum ratio, that is combination of price action and volatility. We are using two look back periods of 1y and 6m. We use equal weightage factors (though we could use different weightage), that is basically same as finding average of the two.
If the performance of the universe for different time periods is vastly different, finding average might not be a good solution. Instead by using Z-score, we are looking at the position of the scrip in the universe. We calculate Z-score on the momentum ratio and that is used for ranking.
When we calculate the average, we don’t calculate it on momentum ratio (that is the base factor on which ranking is done), but by using Z-score on momentum ratio.
Therefore, we don’t look at absolute numbers, but use Z-score in ranking our scrips for selection.
If you use one look back only, like 1y or 6m, you can do it just on momentum ratio and will not need to calculate Z-score.
PS: Another point you will notice is that all momentum stocks will have an RSI score of over 70, ie over bought condition. That is why we do not use this parameter to determine entry of stocks in our pf.
Thank you sir, but you have earlier planned for changing weightage to 3:7
(12m: 6m), (and you have provided also) Which I think is better reference, as on backtest also should give better results.
As you can see when we pick the stock they r returning consolidation from their best, please if you could provide list based on that, if not possible then 2 separate lists, we will find results in max 4 weeks, we will continue whichever is better, thank you sir.
I am also new in long term I have read some books but still not sure how to start.As u said you were loss before now you doing good. Can you recommend me something how do I start though I have earned some money through but still not confident enough.If you can just tell me what to do how to start long term any strategies that would be helpful…
Rank and some of the constituents also changed. Typically, the scrip that entered this week at 70% weightage for 6m, entered the following week in the other pf.
What I meant was that the returns from both pfs were not significantly different and hence I discontinued.
Kunal,
First off, I’m flattered someone actually wants my advice on stock investment! But full disclosure: I’m no stock-investment guru.
Here’s my take on long-term investing:
Long-term = quality earnings at a reasonable valuation. i think this strategy is about Holding for at least 5 years. it Ignores short-term market movements, which may go down, up, or sideways for 1-2-3 years. Charts, technicals, momentum, and quant are out of the game here.
What I did (I got lucky with Value Picker. After picking stocks based on friends’ advice and making losses, I was about to quit):
I noticed markets favor certain sectors. I tried to jump on these trends (first renewable, then power, industrial, PSU, defense… what’s next? Not sure yet).
Sold anything that didn’t move in a week or month, even at a loss. No regrets.
Kept adding to positions that went up.
My theory: In a bull market, a stock should rise in the first week or month.
What i think i am doing by taking positions on small caps ? > its not investment - its momentum trading. In a slang its a betting. in a most of names some might have quality earning but in present state where valuation is simply tossed out its simply a betting
After initial losses and trauma, I started reading 4 hours a day. Reading is key. If you’re a student or early in your career, focus on it while staying in the game and continuing to learn.
What i read - When the bull market ends, small caps can be beaten badly (i mean very very badly. upto -100% ? possible. . I wish i dont have to experience it so i may also contemplate to quit most of positions at 1st sight of the storm at certain index level). If detailed analysis isn’t your thing, you may consider momentum investing—buy strong names and sell based on ranking. Momentum is a simple math-based strategy.
Shoutout to Vishwanath, with his very young enthusiasm and young energy, he is doing phenomenal selfless work by posting his studies.
@vishwanath Sorry for the ramble & littering this thread , and if anyone feels it’s off-topic, feel free to flag it!
a small point - I found desktop computer to be helpful at focusing. I use no social media.
I just put money today itself in vishwanath sir strategy…let’s see what I can learn from this… I am into market for 1 year or so read quite number of books still didn’t understand the concept of valuation like how do you get an idea of how much value a stock holds for long term?
Hi…Is there any website which provides a readymade ranking list of stocks based on 12 month and 6 month momentum in Nifty 500 universe or midcap, smallcap and microcap universe? If yes , pls provide the details and do they update the list daily , weekly,monthly??
Thanks… Will their subscription rpovide similar results like your rebalncing does? Is it worthwhile subscribing them instead of doing all that work, you have described in your webinar videos? Currently I am reading Quantitative Momentum by Wesley Gray and totally sold on momentum concept and its practicality. Now only the effectively doing part remains…Kindly advise .Also since u are doing this from almost 1 year and 7 months, what are your DP charges and STT and other charges? Including Short term capital gains taxes? I know you are using discount broker , so I am excluding the brokerage charges. What percentage of your portfolio amount, all these charges turn upto?
Also habe you tried 1 month re-balancing and 3 month re balancing? What have been the effects on returns and costs?
I have not used their service, so will not be able to comment if the list is the same or not. I preferred to do things myself. It does not take me more than 15 min every weekend to process this data. This activity and subsequent results gives me a lot of satisfaction.
The overall reduction in XIRR is couple of % points. When the XIRR of pf is 80%+, I don’t mind losing some to DP charges or STT.
I follow different rebalancing strategy for different market caps. For this and the microcap pf, I do weekly. For midcap, it is 15 days and for Nifty 50 / Next 50, I do it monthly.
I believe 3 months is too long even for a large cap pf.
Churn costs will come down, but I guess the risks will be a lot higher.
We are looking at creating a pf that is system driven without any discretion. Therefore, if we keep a rebalancing frequency that is distant, you might be tempted to rebalance using discretion.
Hello sir, thank you very much for asking such good question, there by clarifying our doubts with sir answer. Please expect reply from Vishu sir, I may wish to clarify a spec,
micro cap r not coming under NIFTY 500.
This is strategy based momentum based on std deviation moderated by Z score, the rankings of Sharpe and this may differ some time.
Brokerage in my case about 1-2 % using discount broker with year plan offer, reduces their charge significantly.
. I wish i dont have to experience it so i may also contemplate to quit most of positions at 1st sight of the storm at certain index level). If detailed analysis isn’t your thing, you may consider momentum investing—buy strong names and sell based on ranking. Momentum is a simple math-based strategy.
, and if anyone feels it’s off-topic, feel free to flag it!