@Smart_trade Sir, have you considered any fundamental filters such as revenue growth, ROCE etc or is it just the momentum across these 4 time-frames?
If it is pure momentum based strategy then we may also need to consider the following 2 points:
1. As Index return is used as reference, there are chances that the index would be influenced by selected few stocks. Last year by the time I realized the divergence I had already taken a hit and I had to remove index filter from my strategy, fortunately this year rally brought me back to break even. But one difference was that I had most of my stocks outside the index, however I feel If we need to use the index return filter then it would be better to use equal-weight index return for reference.
2. As we plan to re-balance every quarter we need to consider the impact of momentum in each time-frame. In this case the 1yr momentum will be the most sensitive and impact the quarterly re-balance. Impact from 3,5 & 10 yrs momentum will not be much as they would have already accumulated enough momentum over the years compared to the index returns. Hence during quarterly re-balance few of the good stocks will under-perform index but over the 1yr time period they would perform well, hence we have 2 options either define an additional rule before dropping the stock from the portfolio or re-balance yearly.