Nifty 500 Momentum 30
The textbook cross-sectional momentum factor, built the way NSE builds its own momentum index. Ranks Nifty 500 constituents on 12-month price return excluding the most recent month, holds the top 30, and sizes them by rank so conviction scales with the signal. Monthly rebalance, 5% position cap.
Why this is expected to work
Cross-sectional momentum is the most replicated anomaly in equities: Jegadeesh and Titman (1993) documented that past 3-12 month winners keep outperforming past losers over the next 3-12 months, and the result has survived out-of-sample in nearly every market studied since. The most recent month is deliberately skipped because short-horizon returns reverse — including it contaminates a momentum signal with a reversal signal, which is why the standard academic construction is "12-1" rather than "12". NSE's own Nifty200 Momentum 30 index uses the same skip-a-month, normalised-score, capped-weight construction.
How the pipeline works
NIFTY500 constituent
Keeps rows where nifty500_member == 1
nifty500_member == 1 Liquid: traded > Rs 5 cr/day
Keeps rows where turnover > 50000000
turnover > 50000000 Price 1 month ago
Computes price_1m_ago = @shift(close, 21)
@shift(close, 21) Price 12 months ago
Computes price_12m_ago = @shift(close, 252)
@shift(close, 252) 12-1 momentum
Computes momentum_12_1 = price_1m_ago / price_12m_ago
price_1m_ago / price_12m_ago Top 30 by 12-1 momentum
Selects the top 30 by momentum_12_1
Rank-proportional sizing
Sizes positions: Rank proportional
Cap any name at 5%
Caps any single position at 5%
What this template teaches
- Calculator decomposition (@shift chained into arithmetic)
- Point-in-time index membership as a universe filter
- RankProportionalWeighting
- ConstraintsRule position cap
- Turnover brake via worst-held ranking
Momentum Investing in India: Why the Best Signal Skips Last Month
Momentum is the most replicated anomaly in equities, but the standard construction deliberately throws away the most recent month of returns. Here is why, and how to build the screen on the Nifty 500.
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