Overview

Filters out stocks that have given golden crossovers and can thus go up on a monthly timeframe.

The moving average crossover algorithm is probably the most well known and simple quantitative trading algorithm there is. Doesn't work well anymore, since everyone knows of it (Standard alpha decay). However the concept is still valid, the moving averages de-noise the data plus a difference between short and long term moving averages is a lagging indicator of an expected change in the metric. Rather than implementing a moving average crossover on the price, we calculate the short term/ long term moving average ratio of other variables which are derived from the price and volume of the stock as well as from it's analogous instruments in the derivatives segment. The algorithm then recommends the best stocks to hold for the coming month by ranking the 207 FNO stocks on the basis of these MARs, the top 10% stocks are chosen and weighted using anti-volatility measures.

Backtested Results
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Backtesting results are based on past data. Historical data does not guarantee future results.

Key Parameters

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Drawdown

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Risk : Reward

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moderate Risk

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This algo is managed by...

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Stratzy

INH000009180 SEBI registered algo provider

Algos in market
Algos in market24
Active since
Active since5 Years
Deployed by
Deployed by12.5K users

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Frequently Asked Questions

How does the Algo work?

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Instead of simple price-based moving average crossovers, the Algo uses short/long-term average ratios of price- and volume-derived variables (including derivatives data). It ranks all the F&O stocks and selects the top 10% each month, weighting them with anti-volatility measures.

What is the amount I can start with?

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How frequently does the Algo execute trades?

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What is DDPI?

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What is SIP?

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