Filtering the Signal

 
We at Orpheus reach a trade signal by filtering from a large universe of assets. These are the two kind of filters we have used to generate short ideas.
Filter One
1) We took the best 24 month performers above 80% percentile ranking. (LIST1)
2) We filtered them for falling Jiseki (LIST 2)
3) Then we ran a price filter. How many of LIST 2 assets were also below 20 day average.
This filter returned just one stock among CNX 100 stocks
Filter two
1)Take the best 24 month performers above 80% percentile ranking. (LIST1)
2)Take the LIST 1 and filter it for quarterly 80% percentile ranking. (LIST2)
3)Filter this for negative Jiseki (LIST 3)
4)Rank (LIST3) from nearest to farthest from Historical Highs. (LIST4)
5)Filter LIST 4 for top ranking sectors.
This filter also returned just one stock among CNX 100 stocks.
To read about the two trade signal ideas download the latest ALPHA India reports from the Orpheus e-store.


Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.