Turn of the month effect explored in Nifty Idea has been derived from inspired from https://quantpedia.com/strategies/turn-of-the-month-in-equity-indexes/ as well as Kora Reddy's blog www.optioniq.substack.com. First we eyeball the effect in all major indices of the world and then we look into NIfty and check if the results are consistent. The number of days for holding the position is taken by intuition. This can be optimised by in-sample and out of sample testing. We do a t-test to ckeck for significance. A random sampling from total observations equal to totm days is done and plotted to check how the strategy fares against 'returns by chance'
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View Code? Open in Web Editor NEWTurn of the month effect explored in Nifty