Smallcap momentum portfolio

Interesting… Only we can say if this is working, by evaluating it in longer period of time. Did you try to compare returns in the period you fine tuned it may be using a virtual PF of just momentum ranking and after your refinements? Will be very keen to know the outcome if you did.

One note: My 8 years of closely following VP and trying to observe the markets, I can see many times, looking backwards of few quarters do not always help as it may not capture future fundamental triggers for the stock in question or some times a sector. That becomes more pronounced in cyclical stories, turn arounds and similar changes in the ground. The reason for upmove becomes clear to most only much later after the stock runs up a lot. So some of these filters may prove counter productive.

Disc: I am just in this thread for observation. Not following any momentum strategy so far.

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@james_kerala , Hi…Since I have started this fine tuning just recently, from october, there is no returns data to show.
I get your point when you say, that few quarters of fundamental data is inadequate or sometimes misleading too. But then there is no other way to quickly check the inherent fundamental strength of stocks , may be around 70-100 stocks regularly. Intention is not to go deep into funadmentals, like reading concalls, Annual reports, watching management interviews ( I have done this in my past life, outcome was disastrous) …This is just to check if stock price is moving due to fundamental reasons , not due to some pump and dump scheme. More on the lines of Canslim of Willaim J O’Neil…Just enough to build some conviction…but more focus is on price action only…

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Thanks - thats what i was referring to - as broader markets are going down so it will be difficult for a newcomer to start with a drawdown and dilute capital. what market conditions are required for starting ?

Whats the paper you mentioned? any links?

Yepp.
Unfortunately I am not able to locate the paper now, but it studied rolling returns with different starting points. and surely the returns change when we start at different starting valuations.

I will say wait for some clear signs of market going up. Like crossing recent high. Or closing above 200 ema. or when Market index returns cross some 6.5% or something like that

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When I said that you cannot time the market, this includes both entry and exit.

Can anyone say that the market will continue to fall from here before reversing or can someone say that the market has bottomed out? No one can.

Therefore, people who wait will continue to remain waiting. If one stays in the market long enough, you can make money.

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Hello all, I am new to this thread so apologies in advance if I am repeating any questions. Any guidance would be appreciated, I am here to learn.

  1. Any good sources (articles/videos) to learn about momentum investing
  2. Can someone point towards the return this strategy (the pf mentioned above) is earning vis-a-vis market
  3. How exactly is this strategy working right now (the entry/exit is manual?) and can we automate this through any means?

Why dont you read this thread itself to start with

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Update for entry on 20th Jan 2025 (lookback dates: 19/01/2024 and 19/07/2024)

50EMA (17,517) > 200EMA (16,855); hence, we can continue without any change.

Based on ranking:

  1. ANANTRAJ
  2. GVT&D
  3. KAYNES
  4. MCX
  5. KFINTECH
  6. FSL
  7. DEEPAKFERT
  8. JYOTICNC
  9. NEWGEN
  10. MOTILALOFS
  11. AMBER
  12. CDSL
  13. PTCIL
  14. VIJAYA
  15. ASTERDM
  16. PPLPHARMA
  17. 360ONE
  18. SUVENPHAR
  19. APARINDS
  20. ERIS

Based on A → Z for easy tracking:

  • 360ONE*
  • AMBER
  • ANANTRAJ
  • APARINDS
  • ASTERDM*
  • CDSL
  • DEEPAKFERT
  • ERIS*
  • FSL
  • GVT&D
  • JYOTICNC
  • KAYNES
  • KFINTECH
  • MCX
  • MOTILALOFS
  • NEWGEN
  • PPLPHARMA*
  • PTCIL
  • SUVENPHAR*
  • VIJAYA

Exits:
GLENMARK and JUBLPHARMA make an exit.
BLUESTARCO, CAPLIPOINT and RADICO stay within the top 25 and hence, remain.

Entries:
ASTERDM and PPLPHARMA make an entry.
360ONE, ERIS and SUVENPHAR cannot enter as there is no vacancy.

Note: The above information is provided for educational purposes only. Please consult your Financial advisor before any investment.

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@visuarchie , You have put 2 more values at the end of raw data (which I saw today only). ROC & MR average values & rankings based on that. Do you use them?
MR & Z-Score seems to be somewhat matching in rankings.
Do you think that MR shall give similar results as of Z-score?

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@Keyur_Joshi No, I dont use them. I was just seeing if I there was an alternate strategy possible.

MR is an actual calculation based on returns and Stddev, whereas Z score is a statistical value that is based on how a stock performs in comparison to the universe to which it belongs. When we are comparing two look back periods, it might be better to use Z score as the perf of the universe may be different in two lookback periods and just taking an average of MR might not give the true picture.

If we were ranking based on one lookback only, like 1y or 6m or any other period, then ranking based on Z score and MR should be the same.

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Thanks…
What is the difference between weighted & normalized z-score? Both give same ranking.
Is it for comparing different portfolios (say smallcap vs midcap)?

@Keyur_Joshi Weighted Z score is clear - if we want to allot different weights for different lookback, we can use this factor. Currently, we have set the Z score for both lookback at 0.5.

Normalised uses the same data and ensures there are no -ve values. Everything is converted to a +ve number. Useful for some post-processing; not very useful in our ranking. It was there in the original calculations and I have used it ever since.

Update for entry on 27th Jan 2025 (lookback dates: 25/01/2024 and 26/07/2024)

50EMA (17,308) > 200EMA (16,832); hence, we can continue without any change.

Based on ranking:

  1. ANANTRAJ
  2. GVT&D
  3. LAURUSLABS
  4. MCX
  5. KFINTECH
  6. FSL
  7. ASTERDM
  8. AMBER
  9. DEEPAKFERT
  10. KAYNES
  11. PPLPHARMA
  12. JYOTICNC
  13. POLYMED
  14. PTCIL
  15. 360ONE
  16. CDSL
  17. CAPLIPOINT
  18. RADICO
  19. JUBLPHARMA
  20. GILLETTE

Based on A → Z for easy tracking:

  • 360ONE*
  • AMBER
  • ANANTRAJ
  • ASTERDM
  • CAPLIPOINT
  • CDSL
  • DEEPAKFERT
  • FSL
  • GILLETTE*
  • GVT&D
  • JUBLPHARMA*
  • JYOTICNC
  • KAYNES
  • KFINTECH
  • LAURUSLABS*
  • MCX
  • POLYMED*
  • PPLPHARMA
  • PTCIL
  • RADICO

Exits:
MOTILALOFS and NEWGEN make an exit.
APARINDS, BLUESTARCO and VIJAYA stay within the top 25 and hence remain.

Entries:
LAURUSLABS and POLYMED make an entry.
360ONE, GILLETTE and JUBLPHARMA cannot enter as there is no vacancy.

Note: The above information is provided for educational purposes only. Please consult your Financial advisor before any investment.

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Can we compare your method to @visuarchie method. For 2-3 months that you have been doing it.

We are having same method. My further refining is yet to bear fruits, as before that market went down and I have to come into cash. Once I start deploying again, I will post in my thread the results of my trades.

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Update for entry on 03rd Feb 2025 (lookback dates: 02/02/2024 and 02/08/2024)

50EMA (16,945) > 200EMA (16,760); hence, we can continue without any change.

Based on ranking:

  1. RADICO
  2. VIJAYA
  3. LAURUSLABS
  4. GVT&D
  5. ZENSARTECH
  6. MCX
  7. POLYMED
  8. BLUESTARCO
  9. SUVENPHAR
  10. PPLPHARMA
  11. DEEPAKFERT
  12. AMBER
  13. DOMS
  14. CONCORDBIO
  15. ANANTRAJ
  16. KFINTECH
  17. JUBLPHARMA
  18. FSL
  19. GODFRYPHLP
  20. GLENMARK

Based on A → Z for easy tracking:

  • AMBER
  • ANANTRAJ
  • BLUESTARCO
  • CONCORDBIO*
  • DEEPAKFERT
  • DOMS*
  • FSL
  • GLENMARK*
  • GODFRYPHLP*
  • GVT&D
  • JUBLPHARMA*
  • KFINTECH
  • LAURUSLABS
  • MCX
  • POLYMED
  • PPLPHARMA
  • RADICO
  • SUVENPHAR*
  • VIJAYA
  • ZENSARTECH*

Exits:
APARINDS, CDSL, JYOTICNC, KAYNES and PTCIL make an exit.
ASTERDM and CAPLIPOINT stay within the top 25 and hence remain.

Entries:
CONCORDBIO, DOMS, JUBLPHARMA, SUVENPHARM and ZENSARTECH make an entry.
GLENMARK and GODFRYPHLP cannot enter as there is no vacancy.

Note: The above information is provided for educational purposes only. Please consult your Financial advisor before any investment.

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I follow this thread just to keep a watch of companies with strong momentum, so never tried to understand your entry exit strategy in detail. Can you please explain how is Anant Raj not in the exit list after such a huge fall?

@Naval We go by price action only. Please remember this is a relative comparison of a stock’s performance against those in the same index. Even today, ANANTRAJ shows significantly better performance than the next placed VIJAYA over 12 months and over next placed RAMCOCEM over 6 months. Combined its overall position is in 15th rank and hence stays.

Incidentally, its price improved about 7% on Saturday.

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Thanks @visuarchie. Will you be replacing the 2 exiting stocks ?

I have kims in my list as well

KIMS
LAURUSLABS
SUVENPHAR
CONCORDBIO
VIJAYA
ERIS
GLENMARK
DEEPAKFERT
MCX
BLUESTARCO
AMBER
CAPLIPOINT
GODFRYPHLP
DOMS
POLYMED
RADICO
FSL
JUBLPHARMA
PPLPHARMA
ZENSARTECH