Got it. Thanks for the reply.
Sorry I missed earlier posts on variations. Did you finally add the 3 month lookback period? Also what are your thoughts on the 1 month lookback period?
can you start a thread or give some more color on that? also any other changes in strategy or excel for the micros?
@vkediaonline No, I did not add the 3 month look back period. It was too much of an effort to see what would be changes. I might do it some time in the future.
From whatever I have read, 1 month is too short (in fact even 3 months is short!). I believe the churn would be larger and the overall benefits not any better.
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@vkediaonline As I mentioned, I will try and have a new thread based on Microcap 250 index this evening. I did not change anything. This is working well for me.
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thanks for both the replies - helpful 
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All, I have created a separate thread on Microcap momentum portfolio. Interested people can view that.
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Please find his thread here…
Update for entry on 4th March 2024
Based on ranking:
- BSE
- TATAINVEST
- SUZLON
- MRPL
- SWANENERGY
- HUDCO
- MEDANTA
- NBCC
- SOBHA
- MCX
- BSOFT
- KAYNES
- OLECTRA
- IRCON
- COCHINSHIP
- KALYANKJIL
- NAM-INDIA
- CHALET
- MOTILALOFS
- BRIGADE
Based on A → Z for easy tracking:
- BRIGADE*
- BSE
- BSOFT
- CHALET
- COCHINSHIP
- HUDCO
- IRCON
- KALYANKJIL
- KAYNES*
- MCX
- MEDANTA
- MOTILALOFS*
- MRPL
- NAM-INDIA*
- NBCC
- OLECTRA
- SOBHA
- SUZLON
- SWANENERGY
- TATAINVEST
Entry:
KAYNES and NAM-INDIA make an entry.
BRIGADE and MOTILALOFS cannot enter as there is no vacancy.
Exit:
PCBL and SJVN exit.
ITI and WELCORP stay within the top 25 and hence remain.
Also 2 qs
- Do you see most of the price action on Monday itself
- When do you place the orders - Friday during market, After Market over the weekend, or Monday post market opening?
Same Q for the microcap portfolio as well
Update for entry on 11th March 2024
Based on ranking:
- TATAINVEST
- BSE
- HUDCO
- MRPL
- SUZLON
- MEDANTA
- BSOFT
- SWANENERGY
- KALYANKJIL
- KAYNES
- MCX
- NBCC
- SOBHA
- INFIBEAM
- EIHOTEL
- MOTILALOFS
- IRCON
- SJVN
- NAM-INDIA
- ITI
Based on A → Z for easy tracking:
- BSE
- BSOFT
- EIHOTEL*
- HUDCO
- INFIBEAM*
- IRCON
- ITI
- KALYANKJIL
- KAYNES
- MCX
- MEDANTA
- MOTILALOFS*
- MRPL
- NAM-INDIA
- NBCC
- SJVN*
- SOBHA
- SUZLON
- SWANENERGY
- TATAINVEST
Entry:
EIHOTEL and INFIBEAM make an entry.
MOTILALOFS and SJVN cannot enter as there is no vacancy.
Exit:
CHALET and OLECTRA exit.
COCHINSHIP and WELCORP stay within the top 25 and hence remain.
Note: I expect significant changes in the pf in two weeks time as the Nifty indices have been rejigged. Several of the top performers in the Microcap index are entering this index and could find a place. Similarly, couple of top performers from this index will be exiting and going to the higher cap index.
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- Not sure I understand the q fully; can you please rephrase?
- I place the orders on Monday morning post market opening only. Being a small investor, my orders will not move the needle very much. I do all my worksheet updation over the weekend and hence the orders are placed on Monday morning only.
Same for the Microcap pf also.
Thanks on 2
On 1 - my question was that do you see a large impact of getting delayed in placing orders on Monday - like do you think it misses the to be growth ?
As I mentioned, being a small retail investor, our orders have negligible impact in the markets.
There is a different dilemma actually. I find some of the new entrants have given a -ve closing on Friday (even when the markets have +ve closing). In spite of the negative closing they find a place in the pf and should be included. However, given the -ve closing, it is possible they might trend lower.
If I start applying my thought process on such things, I will move away from rigour that is needed to follow the system. So, the net result is that I ignore the -ve closing and just follow what my sheet says.
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This is true. Such stocks may start losing momentum but still make the cut, and you have a system based approach, so you buy. Also, given your holding period, the stocks may pick up momentum again. If discretion is applied, then these should be eleminated. Hard to say which one is better.
Thanks - One q - are you also seeing negative returns for the past 2 weeks in this as well as microcap portfolio?
@vkediaonline In the smallcap momentum pf, I am seeing -ve returns for weeks ending 2nd March and 9th March 2024.
But in the Microcap pf, I was +ve during the week ending 2nd March, but -ve last week.
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@mrlearner Last couple of weeks it has given -ve returns. Today also it is in red. But over 16 months the XIRR is still close to 95%.
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Hi. I tried to do some tweak into it.
Considering that small caps are volatile I compressed the lookback period to 1 month and 3 months. To simplify I didn’t consider standard deviation out of equation and made it pure momentum base not moderated for volatility.
I sensed that strategy is very volatile stocks which were racing the last 3 months were not maintaining the momentum and some other random stocks were coming into the momentum. .
Given this I thought it is the moderation of standard deviation. Maybe screening out the more volatile stocks. But that also did not seem to be very much true.
So since you’re taking a long-term view of 6 months and 12 months momentum, it seems the strategy works better when there are stocks which are on long-term momentum. I think shortening the lookback screens in stocks with short term momentum and that dies out sooner than it arises .
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Thanks for the reply, ever faced any problem with liquidity, while entering or exiting?
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