- Calculating the Momentum Rank. a. Momentum Rank is calculated for all securities on the basis of returns of previous 6 months prices. b. For e.g. For Jul 2019 Rank - Calculate the return from 1st Jan 2019-30th June 2019 for all stocks and rank them in order of returns – highest to lowest.
- Initial Buying a. After getting the momentum rank as above, buy the top 20 stocks in equal amounts and hold them for 1 month. Assume the starting cash is Rs. 10 lakhs.
- Rebalancing a. On the 1st or the first trading day of the next month, repeat the process of calculating the momentum rank again by calculating the returns of the previous 6 months. Sell all the 20 stocks held previously and buy the new top 20 stocks. Account for the gain or loss of the previous month.
- Assume no brokerage or slippage.
- Data set attached. Daily prices for 100 stocks from 1/1/2019-13/4/2020 are attached.