SUNDAY WEEKLY #26 Hello EveryFinions!
Powerful rule-based algorithmic trading models have consistently shown that they can beat the benchmark over the long term. What exactly should the rules and signals be is of much research, discussion and debate. In today's cover story, we unravel one approach to implementing a sector rotation/momentum based trading strategy which in our back tests has delivered 2X the returns of the benchmark. Hope you enjoy it!
IN THIS WEEK'S NEWSLETTER
QUIZ How many members does the RBI monetary policy committee have? NEWS IN BRIEF
![]() Picture Courtesy: Bloomberg
This picture shows the other ships waiting to enter the Suez Canal. ![]() GAME : PRICE IS RIGHT Check out the interiors of the latest Mercedes Benz A-class Limousine Sedan. It is ‘a masterpiece in its own right, with an unmistakable character’. It features a gently sloping roof, high performance LED headlamps, panoramic sliding sunroof and an interior which ‘literally hugs its occupants’. Your job now is to guess its price. ![]() SOUNDBITES That's what they said ![]()
COVER STORY Equity Trading Strategy - Systematic Sector-Rotation ![]() Heuristic (rule-based) based equity trading strategies have existed for well over 50 years. The advent of powerful computation tools and the availability of data has only accelerated research on these criteria-based trading models. Large hedge funds like Renaissance Technologies generate several terabytes of data each day and run advanced quantitative models to select stocks.
One such approach is the systematic sector-rotation strategy published by two Italian academics - Paolo Sassetti and Massimiliano Tani. The paper was originally published in 2003 and has been quoted in various subsequent research on this subject. At its heart, the ideas comprised in it are quite simple.
We apply this trading strategy to the Indian context and find exceedingly positive backtest results. Hit the link to read more. IN CRYPTO NEWS
![]() ANSWER TO QUIZ 6 The number of members on the RBI’s monetary policy committee who vote on interest rate decisions. They are Ashima Goyal (Professor at Indira Gandhi Institute for Development Research), Shashanka Bhide (senior advisor, research programmes at the National Council of Applied Economic Research), Jayanth R. Varma (Professor at IIM, Ahmedabad), Shaktikanta Das (RBI Guv.), Michael Patra (RBI Dy. Guv,) and Mridul Saggar (Exec. Director at RBI). ANSWER TO PRICE IS RIGHT ₹40 Lakhs The starting price of a Mercedes-Benz A-Class Limousine. The performance version costs a cool Rs.56 Lakhs. You’ll need to hurry up, because prices are slated to go up from July 2021. © EveryFin.in, 2021, All rights reserved. You are receiving this e-mail because you subscribed to the weekly Sunday newsletter at everyfin.in. To unsubscribe,
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