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..
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..