Selection of Universe of stocks for Volatility Decile strategy

Course Name: Momentum Trading Strategies, Section No: 7, Unit No: 16, Unit type: Exercise

Hi,

How the universe of stocks will be selected for Volatility Decile strategy? can you please give example wrt Nifty 50, will it be entire Nifty 50, or we need to screen it?

Hi Rohit,



So, the 50 stocks in Nifty 50 will be sorted by volatility (on the basis of standard deviation), and then the highest volatility decile (10%) will be selected for the trading strategy. Also, you can check this notebook, which explains this in detail.