@visuarchie Sir, please help sharing the spreadsheet. Hope it can be downloaded and edited. Thank you.
Please find link to the latest spreadsheet.
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Chola , DOMS and Godfrey are in the list. However note says they can’t get in?
Thanks.
They cannot enter because there is no vacancy.
Of the 8 stocks that dropped below the 20th rank, 3 are within the 25th rank and hence are not replaced.
Can someone share the link to find the historical inclusions and exclusions from the index?
As per my knowledge
1 year : 2023-09-01
6 months : 2024-03-01
GODFRYPHLP , ERIS , DOMS , WHIRLPOOL , QUESS → IN into List
HSCL , JAIBALAJI , MOTILALOFS, BLUESTARCO, BLUESTARCO → Out from the List
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@VeeraBrahmam You have repeated BLUESTARCO twice in your message; maybe a typo. It should read HUDCO (but it does not go out as it remains within to 25). As a result, QUESS cannot enter.
Update for entry on 2nd September 2024 (look back dates: 01/09/2023 and 01/03/2024)
50EMA (17383) > 200EMA (15457); hence, we can continue without any change.
As per ranking:
- GLENMARK
- COCHINSHIP
- GODFRYPHLP
- GRANULES
- INOXWIND
- POWERINDIA
- ERIS
- MOTILALOFS
- PCBL
- DOMS
- ARE&M
- SIGNATURE
- SUVENPHAR
- DEEPAKFERT
- WHIRLPOOL
- MCX
- 360ONE
- QUESS
- BIKAJI
- CDSL
Based on A → Z for easy tracking:
- 360ONE
- ARE&M
- BIKAJI
- CDSL
- COCHINSHIP
- DEEPAKFERT
- DOMS*
- ERIS*
- GLENMARK
- GODFRYPHLP*
- GRANULES
- INOXWIND
- MCX
- MOTILALOFS
- PCBL
- POWERINDIA
- QUESS*
- SIGNATURE
- SUVENPHAR
- WHIRLPOOL
Exits:
BLUESTARCO, HSCL, JAIBALAJI and KAYNES make an exit.
HUDCO remains within the top 25 and hence stays.
Entries:
DOMS, ERIS, GODFRYPHLP and WHIRLPOOL make an entry.
QUESS cannot enter as there is no vacancy.
One observation I made recently. When I change my screening criteria to sharpe return of 3 months , I get stock list of such stocks which is quite different than when i select 6month+12 month sharpe returns. I compared the charts under both categories and I realised that when i select only Sharpe return of 3 months I get stocks like India Glyco, Gabriel, sardaen, Dodla, etc who has recently broken out in last 2-3 months, but the problem is that their charts are too volatile and non-secular with very high drawdowns…While in 6+12 month sharpe returns , charts are very secular with consistent performance with non volatile and small drawdowns if at all… Also those stocks which come under 3 months , also come under 6+12 , but at lower ranks like beyond 30 and all. @visuarchie , if you could comment on this observation…pls
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@Mudit.Kushalvardhan Your observations are very valid and that is why we do not consider very short look back periods. It has been proven that look back periods beyond 6 months are more appropriate.
Update for entry on 9th September 2024 (look back dates: 08/09/2023 and 07/03/2024)
50EMA (17526) > 200EMA (15589); hence, we can continue without any change.
As per ranking:
- GLENMARK
- INOXWIND
- MOTILALOFS
- SUVENPHAR
- GODFRYPHLP
- PPLPHARMA
- ERIS
- DOMS
- MCX
- PCBL
- GRANULES
- COCHINSHIP
- 360ONE
- POLYMED
- POWERINDIA
- QUESS
- WHIRLPOOL
- JUBLPHARMA
- NATCOPHARM
- CHOLAHLDNG
Based on A → Z for easy tracking:
- 360ONE
- CHOLAHLDNG*
- COCHINSHIP
- DOMS
- ERIS
- GLENMARK
- GODFRYPHLP
- GRANULES
- INOXWIND
- JUBLPHARMA*
- MCX
- MOTILALOFS
- NATCOPHARM*
- PCBL
- POLYMED*
- POWERINDIA
- PPLPHARMA*
- QUESS*
- SUVENPHAR
- WHIRLPOOL
Exits:
ARE&M, CDSL and HUDCO make an exit.
BIKAJI, DEEPAKFERT and SIGNATURE remain within the top 25 and hence remain.
Entries:
POLYMED, PPLPHARMA and QUESS make an entry.
CHOLAHLDNG, JUBLPHARMA and NATCOPHARM cannot enter as there is no vacancy.
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Sir, for some reason PPLPHARMA prices are not fetching in google sheets for the last many weeks. May i know what NSE code you use pls? I use PPLPHARMA. thanks.
I have seen similar issues. Google Finance plays truant sometimes.
Recently, I have shifted the fetch code as BOM:543635 and it works.
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Update for entry on 16th September 2024 (lookback dates: 15/09/2023 and 15/03/2024)
50EMA (17696) > 200EMA (15730); hence, we can continue without any change.
Based on ranking:
- INOXWIND
- GLENMARK
- GODFRYPHLP
- JUBLPHARMA
- MOTILALOFS
- PPLPHARMA
- DOMS
- SUVENPHAR
- PCBL
- MCX
- CENTURYTEX
- ERIS
- HSCL
- POWERINDIA
- GLS
- BIKAJI
- SIGNATURE
- COCHINSHIP
- NATCOPHARM
- POLYMED
Based on A → Z for easy tracking:
- BIKAJI
- CENTURYTEX*
- COCHINSHIP
- DOMS
- ERIS
- GLENMARK
- GLS*
- GODFRYPHLP
- HSCL*
- INOXWIND
- JUBLPHARMA*
- MCX
- MOTILALOFS
- NATCOPHARM*
- PCBL
- POLYMED
- POWERINDIA
- PPLPHARMA
- SIGNATURE
- SUVENPHAR
Exits:
360ONE, DEEPAKFERT, GRANULES, QUESS and WHIRLPOOL make an exit.
Entries:
CENTURYTEX, GLS, HSCL, JUBLPHARMA and NATCOPHARM make an entry.
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Hi @visuarchie,
Insightful thread !! Kudos for the great work
Would be great if you can help get clarity on few points
- What is the assumption behind why the strongest performers (over 6m/1y lookback periods and adjusted for Beta) will continue to show similar performance in future?
- Has anyone analyzed if there is a common pattern to be found for such stocks during the time of breakout?
- Cochin Shipyard has fallen by almost 40% from ATH still appears on the list. Is there any way to finetune the approach to avoid such huge drawdowns?
- Would it be advisable to start investing in this strategy during current bull run scenarios where the impact of falls could be much higher? Are there any leading indicators apart from EMA crossovers (which are lagging indicator) to move to cash or increase allocation to large caps?
Also, it would be of great help if you can share the updated sheet for Nifty50/100 and Nifty Midcap since I couldn’t find on this thread
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Hi @visuarchie ,
Seeing COCHINSHIP still in the list I have a question if you ever thought about optimising by adding additional filters like exiting stocks which are below certain MAs like 50DMA or 50DMA>20dma ? Thoughts invited from others too
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@visuarchie , hello Vishwanath ji,
As you know , I am also following rank based momentum approach.
My query is
In case of rank based momentum strategy, a stock rises in rank and becomes part of portfolio, if rises in price it will become a profit making position, but while going out of ranking list, it may lose out all the profits it has earned, before going out of portfolio when it goes beyond worst held rank. How to retain such profits?
This happened with Gravita…it went to 38% profit and then came back to 12% profit as rank went down.
Can we do this ??
-
Trailing Stop loss , let’s say at 15% from top, to protect the gain…
-
Ranking + technical indicator like 50 day moving average
-
Partial exit , if rank goes down substantially, even if it’s still in portfolio
I know this will increase churn and I am introducing human bias, but this may be viewed as a risk management or profit retention measure, while rank momentum still being the core principle.
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More often the stock price rebounds from the point where we sell 
and go up higher to make fresh highs.
We shouldn’t tweak the system for these small things. It should be left to the individuals following this broad strategy.
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What is the impact of such one stock on the overall PF? If the profit that we lose by not applying discretion is not substantial in absolute terms, then I guess, we can continue with our system; more so if such occurrences are common but don’t have any material impact on the overall return, say 3 in 20 stocks. But, if such losses seem big enough, then we can apply discretion using our experience, intuition and what we can see when we sell. Although, we have to accept and welcome the possibility of the sold stocks getting back up and moving higher. Until the system becomes robust enough for us to depend on it, discretion is not bad per se, more so when we are booking a profit.
And, if the system can provide with many such positions, a few missed profits or booked early profits would not make any difference.
Jim Simons wanted to use discretion, so no problem, I guess
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@visuarchie
Sir, i started the momentum around end on july (NSE 500) and still the PF is in negative with 1.95% whereas the index gained around 2%. Just wanted to cross check how others are doing? thanks.