Low-Frequency Financial Trading Strategies

The Financial Strategies project seeks to bring structure and rigor to factor modelling in the Indian equity market. By doing so, it aims to unlock new possibilities for predicting stock returns within the Indian context. Factor modelling is well-established in U.S. markets; it is supported by decades of research and high-quality databases. India still lacks a similarly refined and comprehensive data infrastructure. This project addresses that gap, laying the groundwork for more robust and data-driven investment strategies in India.

Our team aims to analyze approximately 160 financial predictors (or factors) over the past 35 years of historical data and use deep-ML to determine trading position signals and optimal portfolio weightages. In the process, we also plan to create a comprehensive database of factors for the Indian equity market.

The initial phase involves constructing a 6-factor model, incorporating the Fama-French 5-factors (Market Premium, Size, Value, Operational Profitability, and Investment) and Momentum, and then extending these to develop a viable trading strategy with sophisticated machine learning and optimization techniques.