General Trading Chat

[ncube]

The above momentum strategy is based on a very good book "Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies" by hedge fund manager Andreas Clenow. This strategy is very easy to replicate and requires minimum efforts and follows a systematic process.

My key observation running this strategy in Indian Market:
1. Gives good result when the overall market trend is up, but suffers when the market is in down trend.
2. Gives back good portion of profit between re-balances (I tried weekly). Hence proper balance/rules would be required for re-balance frequency.
3. Using Index filter is not helpful as Nifty index does not correctly reflect the overall market trend.
4. Can give between 10-20% returns over long runs. (Need to assess the value over MF instead)
5. Easy to track and re balance using a application like smallcase

Some creative ways to improve the returns:
1. Select an universe of only growth stocks as suggested by @Smart_trade sir. It can be designed for a long term portfolio.
2. Use intelligent position sizing like sell only half the quantity when the ranking of the stocks fall below some threshold or based on some rules instead of selling all.

If interested, read this book first and explore develop creative strategy rules . Note: Having some programming knowledge will help if you want to automate it, else even excel can be used. Enjoy..

 

[travi]

The above momentum strategy is based on a very good book "Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies" by hedge fund manager Andreas Clenow. This strategy is very easy to replicate and requires minimum efforts and follows a systematic process.

My key observation running this strategy in Indian Market:
1. Gives good result when the overall market trend is up, but suffers when the market is in down trend.
2. Gives back good portion of profit between re-balances (I tried weekly). Hence proper balance/rules would be required for re-balance frequency.
….

Weekly is too short IMHO, if one does follow the DeMark thread, you will see that the average cycle is atleast a calendar month or more and it also helps the cost of rebalancing etc
Only in individual cases, where you are taken out very early will be the outliers ( or in some case exceptional favourable move) but in general momentum it holds.

 

[timepass]

A volatile scrip like JSPL, it has only 2Rs. range so far today.

Looks like the metals are waiting for VEDL results

 

[ncube]

Weekly is too short IMHO, if one does follow the DeMark thread, you will see that the average cycle is atleast a calendar month or more and it also helps the cost of rebalancing etc
Only in individual cases, where you are taken out very early will be the outliers ( or in some case exceptional favourable move) but in general momentum it holds.

Yes, Andreas Clenow in few interviews later on have suggested to use monthly rebalances instead of weekly to reduce the cost for retail traders.

However I considered the weekly rebalance which is suggested in the book for only profit protection as I used NIFTY 500 as my universe and found that most of the stocks are very volatile and there is higher chance of giving back the profit, hence to avoid that I scan the universe weekly and based on price action of individual stocks in portfolio I have defined a rule to sell half the position even if the stocks are in the top ranks.

Also I use the top 10% rule mentioned in the book for dropping the stock. i.e if I have selected the top 20 ranked stocks from NIFTY 500, I will wait for it to drop below 10% of 500, i,e below 50 rank to be considered to drop. Even if it falls below 50 and the price action is strong I will not drop it maybe just reduce it by 50%. I drop the stocks only at the end of month if it has not recovered by then. What I have observed is that in weekly scan rarely any stock falls below the 50 rank in the 1st few weeks.

Also I did not rebalance the position size of the stocks weekly based on volatility. There are many creative ways in which we can run this strategy. Like I said if our universe is just growth stocks/largecap with long term view then we can reduce the rebalance frequency to monthly or even quarterly. The concept works fine as I have tested it and found to have an edge hence have shared it here in the forum if someone wants to explore it further.

 

[PreSap]

ST da,

Is it swing short entry today on NF?

Sent from my A0001 using Tapatalk

 

[Smart_trade]

ST da,

Is it swing short entry today on NF?

Sent from my A0001 using Tapatalk

We are in a large rage 11800-11550 ...as the market could not sustain above 11800 , we are now testing the lower end of the range.

Smart_trade

 

[NJ78]

Is anyone following Equitas Holdings? Following last year's drop in small & midcaps, there was a base building in this stock a the 107-110 level. Post this, it rallied a bit and has been consolidating in a channel for a while now. This channel is part of a bullish continuation pattern and so far (including today), it's been respecting the boundaries of this channel quite well. I think that a breakout of this channel to the upside can take it to 159-163. Any views or divergent opinions on this stock?

 

[timepass]

I wonder if Vedanta will see an upside tomorrow, because of bad results

https://www.moneycontrol.com/news/b...43-to-rs-3218-cr-revenue-down-15-3944011.html

Vedanta Q4 profit tanks 43% to Rs 3,218 cr, revenue down 15%

 

[Smart_trade]

Corporate profit is not coming upto the expectations....cause for worry...how will the market sustain at higher prices ???
Very few companies are posting ok results ....we want growth in corporate profits to sustain the level at which the market is...

Smart_trade

 

[ncube]

Corporate profit is not coming upto the expectations....cause for worry...how will the market sustain at higher prices ???
Very few companies are posting ok results ....we want growth in corporate profits to sustain the level at which the market is...

Smart_trade

Also except few stocks in Nifty Index, almost all of the broader market stocks have been lagging for quite some time now without any clear growth visibility. Once the visibility improves I think small and midcaps would lead the next uptrend giving good profit potential. Hence keep the shopping list and resources ready...