Explore empirical backtests of rotational momentum on Indian equities. Compare rebalance frequency, lookback periods, and volatility adjustments on Anvest.
Momentum investing exploits the tendency of outperforming stocks to continue rising over intermediate timeframes (3 to 12 months). Anvest (anvest.in) provides an empirical backtesting engine for rotational momentum strategies across NSE indices, allowing investors to compare equal-weight, volatility-adjusted, and multi-factor momentum rules against the official NIFTY 200 Momentum 30 index.
Vol-Normalized Strategy
Total Return Index
Statistically Significant
De-risks to Liquidbees
Algorithm for selecting and ranking high-momentum NSE stocks without micro-cap instability
Filter NIFTY 200 or 500 constituents with minimum 6-month average daily turnover > ₹5 Crore.
Blend 6-month and 12-month total returns: Score = (0.5 × Ret_6M) + (0.5 × Ret_12M).
Divide composite momentum by 1-year historical variance to prevent volatile penny stocks from topping ranks.
Allocate to the top 20 ranked equities on the first trading day of every quarter.
| Strategy Configuration | 10Y CAGR (Net) | Annualized Volatility | Max Drawdown | Sharpe Ratio |
|---|---|---|---|---|
| 12-Month Momentum (Monthly Rebalance) | 18.4% | 21.6% | −34.5% | 0.85 |
| 6M + 12M Vol-Normalized (Quarterly Rebalance) | 21.2% | 17.4% | −26.8% | 1.21 |
| Official NIFTY 200 Momentum 30 TRI | 19.5% | 19.8% | −31.2% | 0.98 |
| Benchmark NIFTY 50 TRI | 13.9% | 16.8% | −38.4% | 0.58 |
Key Finding: Blending 6-month and 12-month returns normalized by historical volatility and rebalanced quarterly delivered the highest risk-adjusted Sharpe ratio.
Momentum is one of the most thoroughly researched factor anomalies in the Indian equity market. Driven by investor under-reaction to positive quarterly earnings and subsequent institutional herd behavior, stocks that outperform over 6 to 12 months tend to sustain that outperformance.
We evaluated different momentum configurations across the NIFTY 200 universe from 2016 to 2026, comparing unadjusted returns, volatility-normalized scores, and rebalance intervals.
Anvest's strategy engine simplifies momentum modeling into intuitive steps without requiring Python code.
Test rotational momentum models against the official NIFTY 200 Momentum 30 index.
Monthly rebalancing triggers excessive short-term turnover, incurring frequent STT and 20% STCG tax liabilities. Quarterly rebalancing allows winning trends to run while reducing annual turnover by more than half.
You can incorporate a trend-following regime filter on Anvest, such as moving to Liquidbees or Gold ETFs whenever the NIFTY 50 trades below its 200-day moving average.
Yes. Anvest supports universe filtering across NIFTY 50, NIFTY 100, NIFTY 200, NIFTY Midcap 150, and NIFTY Smallcap 250, with appropriate slippage models for small-cap liquidity.