@Anand_Jain Thank you. There was a corporate action in KIMS in Sept 2024. This was missed in my sheet. I will update and post the list. I will delete the previous version to avoid confusion.
Update for entry on 10-Feb-2025 (lookback dates: 09/02/2024 and 09/08/2024)
50EMA (16,767) > 200EMA (16,720); hence, we continue without any change.
50EMA is now very close to 200EMA. In one the recent videos I saw, it was suggested that we can go to cash in a graduated way. For example: do not replace the exiting stocks. If we are going to exit two stocks, do not replace them, but remain in cash. Please note that I will be fully invested at all times.
Based on ranking:
- KIMS
- LAURUSLABS
- SUVENPHAR
- CONCORDBIO
- VIJAYA
- ERIS
- GLENMARK
- DEEPAKFERT
- MCX
- BLUESTARCO
- AMBER
- CAPLIPOINT
- GODFRYPHLP
- DOMS
- POLYMED
- ZENSARTECH
- RADICO
- AEGISLOG
- FSL
- JUBLPHARMA
Based on A → Z for easy tracking:
- AEGISLOG*
- AMBER
- BLUESTARCO
- CAPLIPOINT
- CONCORDBIO
- DEEPAKFERT
- DOMS
- ERIS*
- FSL
- GLENMARK*
- GODFRYPHLP*
- JUBLPHARMA
- KIMS*
- LAURUSLABS
- MCX
- POLYMED
- RADICO
- SUVENPHAR
- VIJAYA
- ZENSARTECH
Exits:
ANANTRAJ, ASTERDM and KFINTECH make an exit.
GVT&D and PPLPHARMA stay within the top 25 and hence, remain.
Entries:
ERIS, GLENMARK and KIMS make an entry.
AEGISLOG 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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@nil Yes; as I said, I will be fully invested always.
Your momentum strategy seems to be the same as the Nifty Momentum indexes am I right?
Many Thanks @visuarchie @Anand_Jain. Was wondering how do we keep track of all corporate actions, please advise. Any email alerts possible ?
Came across a paper by George and Hwang (2004) which covers an effect called 52 week high effect. They claim that this strategy beats momentum. Also saw a paper by Rajan Raju which claims to have tested this in India.
Anyone has come across this earlier? Any thoughts?
Have they invested in say 12,15,20 stocks among the stocks reaching near to 52 week high or they calculated the return of whole universe (all who reach near 52 week high)? If its later, we can’t invest in each & every stock… If its prior, then worth to explore.
@vkediaonline I have not read this specific paper, but have seen some strategies based on 52w high. Here they use nearness to 52w high as a filter and then rank stocks. The 52w high zone could be in the region of max 15% below 52w or all time high (another option that is possible).
It could work, but it is possible we might miss out some of the stocks because of this. They may not be near 52w high but on their way there and showing good momentum, but not get caught in this screener.
Do share the link to papers with the community. That way everyone can read and then have fruitful discussion on it.
Link to the original paper
Link to a paper that tests the strategy in India
The method seems to be very simple -
- Identify stocks that are in the vicinity of 52 week high
- Hold such sticks for 3 months
- Sell the stocks and pocket a retrun better than academic momentum (as suggested by Jagadeesh and Titman in 1993 paper)
i tried baack testing the strategy from Jan 2023- Dec 24 - seemed to give terrible performance - which makes me think i’m missing something as both papers talk about very good performance
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Do they use 52 week as a separate strategy or as a filter to momentum? from both the papers it seems as a separate strategy unless i’m missing something?? any other source where you have read something about this?
@vkediaonline People use proximity to 52w high as an additional filter. They keep a limit of 15 to 20% and choose stocks from the momentum list that satisfy this condition also.
Update for entry on 17-Feb-2025 (lookback dates: 16/02/2024 and 16/08/2024)
50EMA (16,457) < 200EMA (16,640); index has turned significantly bearish. People can shift to cash. The easiest way would be to not replace the exiting stocks.
However, I will continue to remain fully invested.
Based on ranking:
- GODFRYPHLP
- KIMS
- SUVENPHAR
- LAURUSLABS
- FSL
- DEEPAKFERT
- ECLERX
- BLUESTARCO
- MCX
- AMBER
- NAVINFLUOR
- DOMS
- ZENSARTECH
- RADICO
- JUBLPHARMA
- VIJAYA
- REDINGTON
- ERIS
- GVT&D
- CHAMBLFERT
Based on A → Z for easy tracking:
- AMBER
- BLUESTARCO
- CHAMBLFERT*
- DEEPAKFERT
- DOMS
- ECLERX*
- ERIS
- FSL
- GODFRYPHLP*
- GVT&D
- JUBLPHARMA
- KIMS
- LAURUSLABS
- MCX
- NAVINFLUOR*
- RADICO
- REDINGTON*
- SUVENPHAR
- VIJAYA
- ZENSARTECH
Exits:
CONCORDBIO, GLENMARK and KFINTECH make an exit.
CAPLIPOINT and POLYMED stay within the top 25 and hence remain.
Entries:
ECLERX, GODFRYPHLP and NAVINFLUOR make an entry.
CHAMBALFERT and REDINGTON 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.
50 EMA going below 200 EMA is not considered? I know stocks can rebound on Monday, and 50 EMA can cross above 200 EMA if the movement is big. And these are strong stocks. But this serves as a general direction, a data point. You are not considering it?
That is what is have said. 50EMA is now below 200EMA which is a good signal for bearishness.
Yes, bearishness.
Continue meaning exiting old ones and adding new ones like every week? Are you testing draw down by going forward and not going into cash?
Yes, I will continue to exit old ones and enter the fresh ones identified.
As a strategy, I feel if you go to cash you might miss some of the up move.
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Sir, I am new joining of the forum, and your thread is interesting, and hats off to you for providing inputs. I have also read a lot on momentum investing and also following Mr. Alok Jain of weekendinvesting for the same. What i observed is many similarities in both portfolios. And you are providing over here in open forum thats so nice of you.
Would you like to share, how you gather everyday data for all smallcap stocks ( i know BHAVCOPY from NSE, But how do you arrange it in excel and derive momentum score from it) is it some automation or something, that i wanted to learn from you if you dont mind.
@Dr_Zindgi There are links to two videos that was shared in the forum around the 252nd message. Please have a look at them. They will give you an idea on how this sheet is populated.
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@visuarchie Are you also tracking the returns from this strategy vis-a-vis the index/market? And if yes, is it possible to include it somewhere in your updates? Basically I was keen on knowing if alpha can be generated through this strategy. Thanks.