An Analysis of 52-Weeks High Effect in Indian Stocks

We are really happy to see that guys from QuantInsti did a new independent analysis of a strategy we have in our database. An article is written by Milind Paradkar and is focused on 52-Weeks High Effect in Stocks (Strategy #18) using Indian stocks as an investment universe:

QuantInsti™ is one of the pioneer algorithmic trading research and training institutes across the globe. With its educational initiatives, QuantInsti™ is preparing financial market professionals for the contemporary field of algorithmic and quantitative trading. They offer a really well-prepared professional training course EPAT™ (Executive Programme in Algorithmic Trading) which is Asia’s first algorithmic trading education program. This comprehensive course exposes its participants to various strategy paradigms and enables them to build an algorithmic trading system. QuantInsti™ also offers Quantra™ which is an e-learning portal that specializes in short self-paced courses on algorithmic and quantitative Trading. Quantra™ offers an interactive environment which supports ‘learning by doing’ through guided coding exercises, videos and presentations.

The original academic paper (“Industry Information and the 52-Week High Effect”) has been authored by Xin Hong, Bradford D. Jordan, and Mark H. Liu. They propose a modified rotational momentum strategy which uses a 52-Week High as a predictor of cross-sectional equity performance to select top performing industries.

Milind Paradkar from QuantInsti performed an independent analysis of a resultant strategy during last 3 years (an out of sample period from 2014 until 2017) on Indian stocks. Overall, the performance isn’t very stellar and we can say that Indian market hasn’t been very generous for this strategy (total performance has been only 17% flat over those 3 years with a Sharpe ratio around 0.4). But we are really glad for this analysis as it offers a valuable look on a strategy on different universe as most trading strategies are usually academically researched only on US equities.

The final OOS equity curve:

Strategy's performance

Thanks for nice analysis Milind…

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