Performance cycles I
Performance cycles II
ALPHA is a pair trading, long only – short only strategy and Numeric Ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above [...]
BHEL starts to underperform. Short Bhel – Long Nifty begins. Long Nifty – Short TCS is at parity and edging up in positive zone. Maruti – M&M continues to hold and is positive 10% since 18 Jan 2010. On the negative side Grasim vs. Nifty is still 2% negative since 25 Feb initiation. Tata [...]
Grasim and Infosys remain the top potential underperformer stocks for the weeks ahead, meanwhile SBI and HDFC are the top potential outperformers. On the sector side, we have Metals and Banks as top potential underperformers and Oil as the top potential outperformer sector for the weeks ahead (which is in sync with our triangle scenario [...]
Performance cycles can harness event risk and offer an alternative
Strategy
What should be the budget strategy? A few investors asked to brainstorm on the above question thought like this. One thought of the Nifty contracting triangle and suggested staying away. Another suggested range bound Nifty was good between 4900 – 4700 and selling puts and calls [...]
Alpha is designed from price performance. This is why all signals whether they come from numeric ranking, numeric ranking changes, performance cycles, strategy update should converge and not diverge. Executing the signals for passive investments should be easier than on active derivatives strategies. However, using mini Nifty futures, Nifty bees or spot stocks as one [...]
The 13 Jan Numeric Ranking illustrated Maruti at the bottom of the rankings and M&M in the top. What happened? Long Maruti-Short M&M delivered 15% since then. The other pairs we mentioned viz. Short Tisco- long Sterlite, short SBI – long HDFC delivered 11% and 6% respectively. Tata Motors and TCS reversal against NIFTY is [...]
These are the running and pairs on Indian markets. We are expecting a close signal on Grasim-L&T; Grasim – Nifty; Tisco- Sterlite; Acc-Nifty; Dlf-Nifty; Tcs-Nifty; Tata Motors – Nifty soon. The longest running pair is TCS-Nifty which delivered 100% returns (divergence from nifty). Tata motors – nifty also delivered 100% plus returns. Over the coming [...]
Alpha, the net performance of a component against the benchmark is an overlooked tool.
If Nifty is down 7.4% for the year, the real stock picks were the one which delivered more than 10% (assuming trading costs). If you don’t track, trade or make systems to track and isolate this alpha, your toolbox is lacking [...]
Grasim was at the bottom of rankings on 29 Dec 09 and now it is at the top of the ranking list. What does this mean? This means that end of Dec Grasim was ready to outperform Nifty. Did it outperform? Yes. Long Grasim, short Nifty delivered 13% over the last 30 days. This means [...]
Last time we said that “Technology is a leading sector, which gives market direction. The respective sector heading into top three performers suggest that the leader is finally taking its preferred slot, getting ready to hoist the topping flag for Indian markets.”
What happened since our last Alpha.India report is that another leading sector, Banks has [...]