Multi-Sector Adaptive Momentum Strategy

A fully automated, rules-based algorithmic strategy that invests in high-momentum NSE-listed stocks across multiple NIFTY market-cap universes simultaneously. Each universe operates with its own dedicated capital, while a consolidated daily report aggregates results across all sectors.

NSE-listed equities across large-cap, mid-cap, small-cap, and micro-cap segments of the Indian equity market, using live market data.

Passive investing delivers broad market returns. This strategy actively:

• Selects a focused set of high-momentum stocks rather than holding the entire index
• Applies stop-losses and trailing stops to protect capital
• Adjusts exposure dynamically based on market conditions
• Rebalances opportunistically rather than on a fixed calendar

Yes. Every decision — stock selection, position sizing, entry, exit, and rebalancing — is governed by quantitative rules, with no discretionary override.

Yes. It has been extensively backtested across multiple NIFTY indices and market conditions using realistic assumptions for transaction costs, slippage, and volatility.

Stocks are selected using a systematic momentum-based scoring process. Only stocks demonstrating strong, sustained price trends that pass volatility filters are eligible. The specific selection methodology is proprietary.

Position sizing is risk-adjusted rather than equal-weighted.

• Lower-volatility stocks receive larger allocations
• Higher-volatility stocks receive smaller allocations
• No single stock can dominate the portfolio's risk profile
• A larger position reflects lower risk, not more aggression

The portfolio typically holds a handful of stocks per active sector. Across all sectors combined, the portfolio generally holds a diversified set of positions at any given time.

Each sector runs with a fixed dedicated capital allocation. How much is deployed depends on how many stocks meet entry criteria and on prevailing market conditions — in weak markets, a sector may hold more cash.

Every position is protected by a stop-loss calibrated to that stock's recent volatility using GARCH — wider for volatile stocks, tighter for stable ones. Checked once daily at a fixed checkpoint.

After a position has been held for a short period and shows a gain, a trailing stop activates below the highest price reached, locking in gains as the stock rises.

The strategy reduces risk automatically: stop-losses exit positions moving against the portfolio, and a market-condition assessment reduces sector exposure when trend signals deteriorate.

Rebalancing is adaptive rather than calendar-driven, triggered when the portfolio could be meaningfully improved. A minimum cooldown prevents excessive turnover.

Multiple independent protections:

• Individual position stop-losses calibrated to volatility
• Trailing stops that lock in gains
• Maximum position size cap
• Volatility filters excluding excessively volatile stocks
• Market-regime overlay reducing exposure in weak conditions
• Adaptive rebalancing replacing momentum-losing positions

All performance calculations incorporate realistic assumptions for brokerage, taxes, and market impact, deducted from every trade.

The strategy aims to outperform passive benchmarks over full market cycles. Returns vary with market conditions.

Total and annualised return, Sharpe ratio, maximum drawdown, Calmar ratio, profit factor, win rate, rebalance frequency, and total transaction costs.

Investors receive detailed daily reports covering every open position, complete trade history, sector and portfolio metrics, and a rebalance log.

Yes. Risk parameters can be adjusted to suit different investor profiles. The underlying methodology remains proprietary.

Investors seeking active, systematic, risk-managed equity exposure in Indian markets with a medium-to-long horizon.

Request backtest reports, review risk analytics, or schedule a walkthrough. Email harish@praroha-capital.com to get started.