Rank by the steepness of the trend multiplied by how straight it is, so a single lucky gap cannot buy its way to the top.
-1.22%
Booked, per closed position
10 closed · average excess vs the market
50%
Closed positions ahead of the market
median +0.81%
+19.56%
Open book, marked to market
8 names still held
6
Average sessions held
window is 20 sessions
Only 10 positions have closed. That is a blotter, not evidence — a handful of trades tells you almost nothing about a rule set, and the numbers above will move a lot as it fills.
The rule, as implemented here
every condition, in the order it is applied
Fit a straight line through 90 days of log price; annualise its slope.
Multiply that slope by the R-squared of the fit, so a jumpy climb scores lower than a steady one of the same size.
Discard anything whose largest single-day move in those 90 days exceeded 15%.
Keep only positive scores.
Ranking: Highest slope-times-fit score first. Portfolio is the top 12 names, equal-weighted.
Where our version differs: Position sizing by volatility parity and the index-above-200-day gate are part of the published system and are not applied here; this is the ranking only.
How these numbers were made. Computed here from NSE and BSE end-of-day bhavcopy, adjusted for splits and bonuses, not supplied by anyone being measured. Portfolios are recorded on the day they are published and scored forward from that date, so no figure on this page could have been chosen after the outcome was known. The code that produced them is stamped in build.json.
This is our implementation, not Andreas Clenow’s portfolio. Position sizing by volatility parity and the index-above-200-day gate are part of the published system and are not applied here; this is the ranking only. None of the authors named on this site are associated with it, and nothing here is advice or a recommendation to buy or sell anything.