MAUKA: Large-Cap Reversal

#Large-Cap #Segment #Reversal

MAUKA Strategy is designed to capture opportunities in oversold markets and build a medium-term portfolio.

MAUKA stands for:

Momentum-based

Approach to

Underperforming & Oversold markets

Knowledge & testing-based

Automated execution

MAUKA is a momentum investing framework for building portfolios when the broader market enters an oversold phase.

For instance, consider periods when the weekly RSI of Nifty falls below 30 indicating extreme pessimism.

Historical occurrences:

> 7 Dec 1996: Nifty at 808.13

> 14 Apr 2001: Nifty at 1024.90

> 15 Sep 2001: Nifty at 919.70

> 11 Oct 2008: Nifty at 3279.95

> 20 Aug 2011: Nifty at 4845.65

> 14 Mar 2020: Nifty at 9955.20

> 28 Mar 2026: Nifty at 22819.60

Historically, Nifty has delivered positive returns over the following 1–2 years after such oversold phases.

However, instead of entering immediately, another approach is to wait for the market to exit the oversold zone indicating recovery.

Recovery confirmation dates:

> 14 Dec 1996: Nifty at 824.62

> 21 Apr 2001: Nifty at 1144

> 29 Sep 2001: Nifty at 913.85

> 13 Dec 2008: Nifty at 2921.35

> 3 Sep 2011: Nifty at 5040

> 11 Apr 2020: Nifty at 9111.9

The portfolio can then be constructed using momentum investing principles, focusing on emerging leaders from beaten-down segments.

The following components of the Momentum Investing Engine are used in the Large-cap MAUKA strategy:

> Breakout

> Trend Filter

> Ranking

> Relative Strength

Strategy details:

> Strategy Name: MAUKA: Large-Cap Reversal

> Universe: Large cap 100 and Nifty 50

> Performance period: 252 & 60 & 20 (Lon-Medium-Short)

> Trend filter: 200-EMA

> Tadka filter: Renko above 40-D Smart on 0.25% brick value

> Allocation: Reinvestment

> Ranking criteria: Return

> Rebalance period: Monthly

> Number of stocks: 5

> Exit Rank: 10

You can copy this strategy into your basket as either a real or virtual strategy.
This strategy is meant to give you an idea of the possibilities — you should modify it according to your own approach.

You can customize the universe, allocation, and portfolio size based on your preferences.

Feel free to tweak the strategy parameters and backtest them using your selected universe and time period in RZone.

The default rebalance frequency is monthly, set to the 1st of each month. You can change this to a weekly frequency and select your preferred day.

Make sure to backtest the changes in RZone to gain confidence in your customized strategy.

 

 

Customer Support :  020-61923200,  [email protected]