Momentum based strategy – Long only cash based strategy

o On last trading day of every month momentum screener is run to filter set of stocks (top 30)
which are bought for the month.
o First day of new month, new stocks are bought and left out stocks are sold as per screener.
 Momentum filter criteria
o Stocks in the selected stock universe are sorted based on momentum score. Score is
calculated as 12M returns/Standard deviation.
o Current market price (CMP) should be greater than 200D EMA.
o CMP should be within 70% of All time high (ATH).
o There should not be more than 2 Lower circuit (LC) in last 3 months.
o Daily average volume value should be at least 3 cr.

Rank NSE Stocks

universe based on
Momentum Score –
12M Returns/St Dev

Is Stock CMP
NO YES
> 200 D EMA
on reset date
?

Reject Stock
CMP
>70% ATH

NO
YES

LC in last
YES Reject Stock
90 days ?

NO

NO

Liquidity
Criteria
Met ?

Filtered Stock
NO list
Initial Backtesting Results:

Nifty 200 Annual returns

Nifty 200
Returns (%)
CY Strategy V1 Strategy V2 Strategy V3 Nifty 200
2010 28.4% 28.4% 31.5% 14.2%
2011 -11.2% -5.9% -10.5% -29.1%
2012 35.8% 35.1% 35.5% 29.5%
2013 23.2% 19.8% 17.8% 5.5%
2014 53.9% 57.8% 56.5% 31.7%
2015 16.1% 18.5% 21.7% -1.3%
2016 7.2% 5.1% 7.0% 5.0%
2017 51.2% 40.5% 44.3% 29.6%
2018 2.3% 3.9% 5.8% 0.2%
2019 14.6% 16.5% 16.8% 9.0%
2020 52.3% 56.7% 73.5% 20.6%
2021 66.6% 65.4% 69.5% 25.2%
2022 18.4% 12.3% 11.0% 4.8%
2023 57.4% 52.9% 57.5% 22.1%
2024 21.2% 21.8% 21.2% 7.2%
437.4% 428.8% 458.9% 174.1%

Strategy outperforms benchmark Nifty-200 in all calendar years (14 years) of backtesting (2010-
2023). CY 2024 includes only four months of backtesting data till April24.

Strategy Vs Nifty 200 Returns (%)

80.0%

60.0%

40.0%

20.0%

0.0%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024
-20.0%

-40.0%

Strategy V1 Strategy V2 Strategy V3 Nifty 200

 Nifty 200
DD(%)
CY Strategy V1 Strategy V2 Strategy V3 Nifty 200
201
0 -4.7% -4.4% -4.1% -4.9%
201
1 -15.1% -12.7% -12.4% -14.2%
201
2 -2.7% -0.7% -2.2% -8.9%
201
3 -3.7% -3.4% -3.3% -11.0%
201
4 -1.9% 0.0% 0.0% -4.2%
201
5 -6.4% -3.9% -2.4% -6.2%
201
6 -17.1% -17.8% -17.7% -13.3%
201
7 -0.2% -2.5% -1.3% -2.4%
201
8 -13.1% -12.2% -4.7% -12.2%
201
9 -8.0% -7.9% -6.7% -8.0%
202
0 -29.5% -23.4% -16.8% -30.1%
202
1 -2.5% -2.4% -1.6% -2.1%
202
2 -13.1% -11.4% -13.3% -10.3%
202
3 -9.8% -8.0% -8.6% -6.2%

Nifty 200 Rolling Returns - 2Y

2Y Rolling Strategy V1 Strategy V2 Strategy V3 Nifty 200

2010-11 17.1% 22.5% 21.0% -14.8%
2011-12 24.5% 29.2% 25.0% 0.4%
2012-13 58.9% 54.9% 53.3% 35.0%
2013-14 77.1% 77.6% 74.3% 37.2%
2014-15 70.1% 76.2% 78.1% 30.4%
2015-16 23.4% 23.6% 28.7% 3.8%
2016-17 58.5% 45.6% 51.3% 34.6%
2017-18 53.5% 44.5% 50.0% 29.7%
2018-19 16.9% 20.4% 22.5% 9.1%
2019-20 66.9% 73.2% 90.2% 29.6%
2020-21 118.9% 122.1% 143.0% 45.8%
2021-22 85.0% 77.7% 80.5% 29.9%
 2022-23 75.8% 65.2% 68.5% 26.9%
2023-24 78.6% 74.8% 78.7% 29.3%

Nifty 200 Rolling Returns - 3Y

3Y Rolling Strategy V1 Strategy V2 Strategy V3 Nifty 200

2010-12 52.9% 57.6% 56.5% 14.6%
2011-13 47.7% 49.0% 42.8% 5.9%
2012-14 112.9% 112.6% 109.7% 66.6%
2013-15 93.2% 96.1% 95.9% 35.9%
2014-16 77.3% 81.3% 85.2% 35.4%
2015-17 74.6% 64.1% 73.0% 33.3%
2016-18 60.8% 49.5% 57.0% 34.8%
2017-19 68.1% 60.9% 66.8% 38.7%
2018-20 69.2% 77.1% 96.0% 29.8%
2019-21 133.5% 138.6% 159.8% 54.8%
2020-22 137.3% 134.4% 154.0% 50.6%
2021-23 142.4% 130.6% 138.0% 52.1%
2022-24 97.0% 87.0% 89.7% 34.1%

Nifty 200 Rolling Returns - 5Y

5Y Rolling Strategy V1 Strategy V2 Strategy V3 Nifty 200

2010-14 130.0% 135.2% 130.7% 51.8%
2011-15 117.8% 125.2% 121.0% 36.3%
2012-16 136.3% 136.2% 138.4% 70.4%
2013-17 151.7% 141.7% 147.2% 70.5%
2014-18 130.8% 125.8% 135.2% 65.1%
2015-19 91.5% 84.5% 95.5% 42.5%
2016-20 127.7% 122.7% 147.3% 64.4%
2017-21 187.0% 183.0% 209.8% 84.5%
2018-22 154.2% 154.8% 176.5% 59.7%
2019-23 209.3% 203.8% 228.2% 81.7%
2020-24 215.9% 209.1% 232.6% 79.9%
Nifty 500 Annual Returns

Nifty 500
Returns (%)
CY Strategy V1 Strategy V2 Strategy V3 Nifty 500
2010 24.7% 14.4% 14.3% 14.1%
2011 -8.9% -10.9% -13.1% -29.4%
2012 42.4% 38.0% 40.4% 29.6%
2013 34.1% 28.3% 22.6% 4.7%
2014 81.0% 74.8% 73.3% 33.4%
2015 22.3% 25.7% 28.7% -0.1%
2016 -3.9% -7.0% -3.8% 5.2%
2017 89.7% 87.1% 79.5% 31.5%
2018 -4.6% 1.8% 0.8% -2.2%
2019 9.6% 16.6% 12.1% 8.1%
2020 61.9% 62.2% 70.4% 21.7%
2021 113.5% 84.0% 75.6% 27.3%
2022 11.1% 8.7% 9.5% 4.2%
2023 74.2% 66.5% 66.9% 24.0%
2024 30.9% 19.4% 20.3% 7.8%
578.0% 509.7% 497.6% 179.8%

Strategy outperforms benchmark Nifty-200 in 13 out of 14 calendar years of backtesting (2010-

2023). CY 2024 includes only four months of backtesting data till April24.
 Strategy Vs Nifty 500 Returns (%)
140.0%
120.0%
100.0%
80.0%
60.0%
40.0%
20.0%
0.0%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024
-20.0%
-40.0%

Strategy V1 Strategy V2 Strategy V3 Nifty 500

Nifty 500
DD(%)
CY Strategy V1 Strategy V2 Strategy V3 Nifty 500
201
0 -4.2% -6.1% -7.1% -4.7%
201
1 -15.8% -16.5% -16.6% -15.2%
201
2 -4.8% -5.1% -4.9% -8.6%
201
3 -4.6% -9.0% -8.6% -6.6%
201
4 -0.7% -0.5% -0.9% -4.2%
201
5 -7.3% -4.5% -4.2% -6.9%
201
6 -25.9% -26.1% -26.3% -13.8%
201
7 0.0% 0.0% 0.0% -2.2%
201
8 -18.1% -15.2% -16.0% -12.8%
201
9 -9.2% -8.3% -8.6% -6.4%
202
0 -31.8% -27.1% -24.6% -30.7%
202
1 0.0% 0.0% -2.0% -2.9%
202
2 -12.3% -13.3% -11.4% -10.4%
 202
3 -9.9% -5.2% -8.7% -6.1%

Nifty 500 Rolling Returns – 2Y

2Y Strategy Strategy
Rolling Strategy V1 V2 V3 Nifty 500
2010-11 15.9% 3.5% 1.2% -15.3%
2011-12 33.5% 27.1% 27.3% 0.2%
2012-13 76.5% 66.3% 63.0% 34.3%
2013-14 115.1% 103.2% 95.9% 38.1%
2014-15 103.3% 100.6% 102.0% 33.3%
2015-16 18.5% 18.7% 24.9% 5.1%
2016-17 85.8% 80.1% 75.7% 36.7%
2017-18 85.0% 89.0% 80.3% 29.3%
2018-19 4.9% 18.5% 12.9% 5.9%
2019-20 71.4% 78.8% 82.6% 29.8%
2020-21 175.3% 146.2% 146.0% 49.0%
2021-22 124.6% 92.7% 85.0% 31.4%
2022-23 85.3% 75.2% 76.4% 28.1%
2023-24 105.1% 85.9% 87.2% 31.8%

Nifty 500 Rolling Returns – 3Y

3Y Strategy Strategy
Rolling Strategy V1 V2 V3 Nifty 500
2010-12 58.2% 41.5% 41.6% 14.2%
2011-13 67.6% 55.4% 49.9% 4.9%
2012-14 157.5% 141.1% 136.3% 67.7%
2013-15 137.5% 128.9% 124.6% 38.0%
2014-16 99.5% 93.5% 98.2% 38.5%
2015-17 108.1% 105.8% 104.4% 36.6%
2016-18 81.2% 81.9% 76.5% 34.5%
2017-19 94.6% 105.6% 92.5% 37.3%
2018-20 66.8% 80.6% 83.4% 27.6%
2019-21 184.9% 162.8% 158.1% 57.1%
2020-22 186.4% 154.9% 155.5% 53.1%
2021-23 198.8% 159.2% 152.0% 55.4%
 2022-24 116.2% 94.6% 96.7% 36.0%

Nifty 500 Rolling Returns – 5Y

5Y Strategy Strategy
Rolling Strategy V1 V2 V3 Nifty 500
2010-14 173.3% 144.6% 137.5% 52.4%
2011-15 170.9% 156.0% 152.0% 38.2%
2012-16 176.0% 159.8% 161.2% 72.8%
2013-17 223.3% 208.9% 200.3% 74.7%
2014-18 184.5% 182.5% 178.5% 67.8%
2015-19 113.1% 124.3% 117.4% 42.5%
2016-20 152.6% 160.7% 159.1% 64.3%
2017-21 269.9% 251.8% 238.5% 86.3%
2018-22 191.4% 173.4% 168.4% 59.0%
2019-23 270.2% 238.0% 234.5% 85.2%
2020-24 291.6% 240.8% 242.7% 84.9%

Appendix

Research Papers