Nifty_SM100

Deep Momentum

All publicly traded companies listed on the NSE are included in the universe.

The team applies deep learning to identify stocks expected to demonstrate positive momentum.

The team applies deep neural network learning techniques to smoothen prices and pick individual stocks expected to exhibit momentum in next 1 month. Equity prices drift away from fundamentals due to technical flow. There are known techniques in image processing using convolutional neural network to denoise images or upscale images. Similar techniques are applied to a matrix of equity prices to denoise them and making them closer to fundamentals by training on close to 8000 parameters done at scale using artificial neural network approach. This is a novel technique where false positives from traditional approaches like regression, exponential moving average etc can be controlled better as per historical backtest results.

The smallcase weights the selected stocks equally.

This smallcase has a monthly rebalance schedule. Once every month, the research team reviews this smallcase and realign the weights with the selected asset allocation strategy for the next month

This is a portfolio which can experience large drawdowns as the market turns. That means, this is a high risk portfolio and should be a satellite allocation to your core portfolio of mutual funds. For an aggressive investor your allocation should not exceed 20% of your overall equity allocation, for a moderate investor the allocation should not exceed 10% and for a conservatives investor with low risk profile, this should not exceed 5%.

Lotusdew Deep Momentum Quant

Compare with 101st-250th market cap stocks

Compare with 251st-350th market cap stocks

Compare with 101st-500th market cap stocks

Applying deep neural network learning to identify stocks expected to demonstrate positive momentum 

Lotusdew Deep Momentum Quant

Overview

Stocks & Weights