{"id":40889073,"date":"2022-11-27T10:39:21","date_gmt":"2022-11-27T05:09:21","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40889073"},"modified":"2022-11-28T11:25:48","modified_gmt":"2022-11-28T05:55:48","slug":"trending-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2022\/11\/27\/trending-momentum\/","title":{"rendered":"Trending Momentum"},"content":{"rendered":"\n<p>Can a simple moving-average be used to time momentum indices? Returns from 2010 through 2015 of NIFTY MIDCAP150 MOMENTUM 50 TR and NIFTY200 MOMENTUM 30 TR under different SMA strategies look like this:<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY%20MIDCAP150%20MOMENTUM%2050%20TR.test.cumulative.png\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY200%20MOMENTUM%2030%20TR.test.cumulative.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>It appears the moving averages with short lookbacks can at least help reduce drawdowns, if not boost returns. If you pick the &#8220;best&#8221; config from the dataset and apply it across data from 2016 through 2022, it looks promising.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY%20MIDCAP150%20MOMENTUM%2050%20TR.validate.cumulative.png\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY%20MIDCAP150%20MOMENTUM%2050%20TR.validate.annual.png\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY200%20MOMENTUM%2030%20TR.validate.cumulative.png\" alt=\"\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/trend-momentum\/NIFTY200%20MOMENTUM%2030%20TR.validate.annual.png\" alt=\"\" \/><\/figure>\n\n\n\n<p>Should expect trend returns to be much lower after incorporating taxes and transaction costs but the lower drawdowns merit a closer look.<\/p>\n\n\n\n<p>Given how our <a href=\"https:\/\/stockviz.biz\/theme-eq\/83C44574-894C-4C24-98D4-08FCA42CBE6C\" target=\"_blank\" rel=\"noreferrer noopener\">trend-midcap strategy<\/a> has performed, we expect trend effects to be stronger in midcap-momentum than in the largecap version.<\/p>\n\n\n\n<p>Code and charts: <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/trend-momentum\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a><\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Can a simple moving-average be used to time momentum indices? Returns from 2010 through 2015 of NIFTY MIDCAP150 MOMENTUM 50 TR and NIFTY200 MOMENTUM 30 TR under different SMA strategies look like this: It appears the moving averages with short lookbacks can at least help reduce drawdowns, if not boost returns. If you pick the &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091073,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491,3793],"class_list":["post-40889073","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","tag-trend-following","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40889073","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40889073"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40889073\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091073"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40889073"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40889073"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40889073"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}