Strategy

Portfolio
DRAVYANITI CONSULTING LLP
WWW.DRAVYANITI.COM
Overview
 We offer a portfolio of strategies (on NSE/BSE)
which are complementary to each other
 Systems for all types of Market - Bullish, Bearish,
Sideways, Unusually volatile markets
 All strategies are 100% objective and rule-based
 Position sizing and money-management rules are
in-built
 We are constantly designing new strategies and
time-to-time reviewing existing strategies
 The Strategies are in multiple timeframes which
helps diversify trades.
 The DNC Strategy Portfolio

Capital : 1 Cr. Avg. Annual Return : 60% Max. DD : 19% Leverage : 3.5X
 DNC (The Portfolio of Strategies)
 Reward is Commensurate with Risk
 Single Strategies carry Obsolescence risk
 By combining strategies, we aim to keep consistent gains with low risk
 It smoothens the clients Equity Curve. Key Performance Metrics are
better than any standalone strategy
 Some strategies work in only certain market conditions. The Portfolio is
designed to survive any market condition. This is an “All-Weather”
portfolio.
 Multiple Strategies have the capacity to absorb more volumes making
the product more scalable.
DNC Portfolio Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 3.60 4.70 (6.50) (3.20) 11.40 15.30 1.00 2.50 7.60 40.60
2013 6.40 0.00 7.80 3.10 10.00 18.80 (2.20) 16.30 4.80 8.40 4.80 4.30 118.20
2014 9.40 1.60 12.70 3.60 20.30 13.20 4.60 5.20 8.70 2.40 21.00 (3.40) 153.20
2015 10.60 6.70 5.30 9.80 4.00 0.70 1.50 23.90 (1.90) (1.10) 3.60 6.70 92.80
2016 15.40 0.30 4.70 2.70 6.70 (5.50) 9.70 (1.90) (2.30) 0.00 3.00 1.60 37.90
2017 9.00 8.80 2.40 8.90 10.80 1.50 7.50 (3.50) 1.70 5.50 2.10 5.60 78.40
2018 (3.10) 6.40 1.70 7.50 4.50 6.20 3.50 (1.80) (4.10) (2.20) 0.00 (5.60) 12.60
2019 5.50 5.50

Avg. Annual Ret- 58.71% Capital – Rs. 1 Cr. Max Drawdown 19% Max. Exposure – Rs. 3.5 Cr.
 Strategy Statistics:- 2012-2019
Strategy Name Asset Style Universe Approx. No. Winning Reward/Risk Avg. Annual
Class/Type of Trades/ Ratio Ratio (approx.) Return / Max DD
Year (approx.) (approx.)

MTF Stock Breakout, Short High Beta 10 Stock 38% 2:1 Return:
Futures, Term Liquid Futures, Portffolio, 48%
Long/Short Momentum ranked on 600 Signals Drawdown:
proprietary 25%
Algorithm Leverage: 2.66x

CONS_LS Stock Breakout + Entire F&O 8 Stock 44% 2:1 Return:

Futures, Retracement, Universe, Portffolio, 55%
Long/Short Swing Trading selected on 160 Signals, Drawdown:
Momentum FIFO Max 6 Long 25%
& 6 Short Leverage: 3x

CONS_LO Cash Breakout + Universe of 40 Signals, 43% 4.4 : 1 Return:

Equities, Retracement, 1000 Top 30%
Long Only Long Term Liquid Stocks Drawdown:
Trend Trading on NSE 27%
Leverage: 1x
TECH_FUN Cash Fundamentally Universe of 96 Signals, 42% 3.66 : 1 Return:
Equities, Strong Cos. 4000 Stocks 30%
Long Only Breakout Short on BSE Drawdown:
Term Trend 25%
Trading Leverage: 1x
CONS_NBN Index Regression, NIFTY & NIFTY 15 Signals 52% 2.7 : 1 Return:
Futures, Low-Lag Short BANK 29%
Long/Short Term Drawdown:
Momentum 26%
Trading Leverage: 2x
ISO Cash Gap 75 High Beta 1800 Signals 47% 1.4 : 1 Return:
Equities, Momentum Liquid F&O 35%
Intraday Volume Stocks Drawdown:
Momentum, 30%
Short Only Leverage: 5x
 Multi Time Frame (MTF) Strategy
 Long/Short strategy which runs on high-beta
momentum stock futures
 Total trade universe of 40 stocks within which max.
open positions at any given time would be 10.
These are selected based on a proprietary ranking
method.
 Uses multiple time frames and a trade is initiated
when all time frames are in sync
MTF Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 2.00 (5.00) (6.60) (10.60) 4.50 18.50 (4.00) (5.40) 8.90 (0.90)
2013 1.80 2.00 13.30 7.40 9.70 26.70 (20.60) 14.80 5.90 14.60 12.70 (3.80) 110.60
2014 7.60 (5.70) 23.70 4.30 34.20 16.50 7.30 (5.00) (7.10) (0.50) 14.70 (7.10) 105.40
2015 1.60 7.00 1.00 27.80 (2.20) 6.90 (4.10) 23.60 (3.80) 0.40 13.40 4.30 98.80
2016 8.80 6.90 3.50 1.40 0.30 (3.90) 5.90 (10.60) (1.80) (2.80) 7.00 3.10 17.40
2017 0.60 5.80 (6.10) (2.00) 6.70 3.70 3.90 (2.70) (0.80) 11.50 (2.70) 2.20 20.70
2018 (5.40) 18.30 6.80 5.00 7.90 16.10 (0.90) (9.80) 5.80 6.50 1.60 (10.50) 43.90
2019 3.20 3.20

Avg. Annual Ret- 48% Capital – Rs.45 Lacs Avg. Trade Size - Rs.15 Lac Max. Exposure – Rs.1.5 Cr.
 Consistent Long/Short (CONS_LS)
Strategy
 Long/Short strategy which runs on all 200+ FNO stocks
Trade universe - entire list of Derivative stocks
 Uses diverse technical tools and combines momentum +
mean-reversion to select high probability trades
 Maximum no. of open positions is 8. Max open trades
per direction i.e. Long or Short, is 6.
Cons_LS Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 3.40 18.70 (8.20) 1.30 20.50 11.70 8.00 4.80 5.60 83.60
2013 11.10 0.00 6.10 (3.20) 4.80 17.90 8.70 16.30 (1.40) (0.60) (3.70) 12.30 88.60
2014 7.90 5.10 (4.20) 0.50 8.10 0.70 0.20 7.90 8.80 5.50 21.10 (4.90) 69.80
2015 17.90 3.70 7.00 2.90 3.00 (4.70) 9.60 14.80 (0.20) (2.10) (5.80) 9.60 67.60
2016 24.20 (3.60) 1.20 2.60 9.40 (8.40) 10.90 4.70 (4.40) (3.00) 3.20 0.90 39.60
2017 12.80 6.80 9.80 19.20 16.10 0.60 10.00 (2.90) 4.10 (6.30) 5.50 7.00 116.70
2018 (3.70) (2.10) 0.30 6.10 4.90 1.30 5.40 2.70 (8.40) (5.30) (2.40) 2.70 0.30
2019 10.70 10.70

Avg. Annual Ret- 55% Capital – Rs. 40 Lacs Avg. Trade Size - Rs.15 Lac Max. Exposure – Rs.1.2 Cr.
 Consistent Long Only (CONS_LO)
Strategy
 Long only strategy which runs on stocks of various betas
i.e. high, medium and low, filtered for liquidity
 Total trade universe is top 1000 liquid stocks of NSE Cash
segment
 Uses numerous technical tools and multi-time frames to
select stocks which offer good reward/risk
 Maximum no. of open positions is 25
Cons_LO Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 (0.10) 0.10 1.30 (0.50) 5.50 6.60 (2.40) 5.10 3.20 20.10
2013 1.40 (9.80) 2.50 0.70 3.90 (2.10) (1.80) (2.00) 4.20 8.20 1.10 8.60 14.30
2014 (0.40) 8.30 7.60 2.20 11.10 18.30 5.00 10.00 13.80 (0.80) 17.50 5.80 152.60
2015 7.60 10.30 2.10 (8.00) (1.00) (5.70) 12.00 (10.00) 1.30 (1.50) 0.00 7.90 13.00
2016 (7.00) (14.70) 8.60 6.30 4.60 5.20 7.70 4.80 2.30 8.80 (12.90) (3.30) 6.70
2017 13.50 11.20 5.70 10.70 0.20 (4.60) 6.10 (0.30) 3.70 11.70 2.00 8.50 91.30
2018 (1.70) (4.40) (8.30) 19.20 (8.50) (6.90) 4.30 11.60 (18.70) (2.20) (1.80) (1.10) (21.30)
2019 (0.60) (0.60)

Avg. Annual Ret - 30% Capital – Rs.12.50 Lacs Avg. Trade Size – 4% of Capital
 Techno_Funda Strategy
 Long only (Cash segment) Strategy based on Fundamental +
Technical Factors
 Back-Tested from 2007 to 2017
 Live from April, 2018
 Max. Open Positions: 30
 Exposure: 80%
 Moves to Cash early based on technical exits
 Avg. Holding Period: 3 Months
Tech_Fun Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 3.30 (5.10) (0.80) (0.20) 8.80 5.90 4.00 11.80 1.70 32.20
2013 (1.80) (2.10) 1.90 0.50 6.20 (3.20) 2.40 (1.90) 3.40 5.80 3.20 6.80 22.30
2014 0.70 9.40 1.80 5.30 17.30 19.00 5.30 17.00 14.70 (2.40) 14.00 3.20 167.00
2015 1.50 1.40 0.70 (4.00) 3.00 3.90 8.70 (7.20) (0.30) (1.70) 2.60 5.50 14.10
2016 (9.60) (3.70) 3.90 0.90 5.20 9.70 4.00 1.70 1.20 8.10 (12.40) (1.20) 5.40
2017 3.90 2.50 5.60 6.40 (3.90) (0.50) (1.20) (0.20) 0.30 11.00 8.10 7.00 45.20
2018 (1.60) (2.50) (4.60) 5.00 (3.20) (4.70) 4.40 6.30 (9.60) (2.90) (0.20) 0.70 (13.20)
2019 1.40 1.40

Avg. Annual Ret - 30% Max. DD: - 25% Capital – Rs.12.5 Lacs Avg. Trade Size – 3.33% of Capital
Intraday Short Only (ISO)
Strategy
 Intraday Short only system to capture downward
momentum
 Executed in Cash segment, universe is 75 most Liquid stocks
 High negative correlation to most other strategies
 Acts like a hedge, without additional capital requirement

ISO Monthly Performance Table

Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 6.00 0.70 (6.60) 10.90 (3.80) 0.20 0.50 1.00 2.20 10.40
2013 3.60 4.90 1.60 (3.80) 14.00 20.40 16.50 22.90 6.70 (3.70) 1.00 1.00 119.40
2014 15.00 (0.90) (3.70) 1.10 (0.40) (2.10) (0.90) 4.30 9.50 0.30 2.40 9.90 38.30
2015 6.50 2.10 3.90 (3.20) 21.90 (2.30) 3.00 53.90 2.70 0.90 1.70 7.80 134.50
2016 12.50 5.00 0.00 5.50 1.20 (14.90) (1.30) 0.10 1.00 3.30 7.50 1.90 21.20
2017 0.50 1.70 0.40 (0.40) 3.70 1.10 0.00 0.00 0.00 0.00 0.00 (1.10) 6.00
2018 (2.10) 6.50 1.20 (1.60) 1.10 4.30 1.10 (6.90) 2.30 (13.50) (0.60) (6.50) (15.20)
2019 (0.50) (0.50)

Capital – Rs.15 Lacs Avg. Position size - Rs. 2 Lac Avg # Trades/Day – 7
Consistent NBN (CONS_NBN)
Strategy
 Long Short strategy which runs on Nifty and Bank Nifty
Futures
 Uses Regression to detect trend with minimal lag
 Delivers better risk-adjusted returns than Index ETF. Returns
of ETF can be smoothed by combining with NBN
Cons_NBN Monthly Performance Table
Month /
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
Year
2012 0.80 (0.20) 6.10 (5.40) (0.60) 7.40 (3.40) 5.10 4.60 14.50
2013 6.80 (1.00) (4.50) 14.70 3.70 (8.20) 10.10 2.00 7.80 8.50 (1.70) (10.20) 27.80
2014 5.00 0.50 31.20 3.80 14.10 11.50 1.10 5.20 1.50 3.90 16.80 (8.60) 119.10
2015 5.70 (0.60) (1.40) (2.80) 2.40 0.60 (7.60) 13.60 (5.80) (2.00) (2.70) (4.50) (6.60)
2016 12.20 1.70 10.60 (6.70) 7.80 (0.10) 14.30 1.40 (3.20) (2.20) 5.80 0.50 47.90
2017 13.80 14.90 (2.90) 0.30 12.20 0.20 11.80 (8.90) (0.90) (0.20) (1.50) 0.30 42.80
2018 14.80 (11.30) (0.60) 0.60 3.40 (7.70) 7.40 3.70 (5.10) (3.00) 5.70 (9.20) (4.40)
2019 (2.70) (2.70)

Capital – Rs.10 Lacs Avg. Position size - Rs.10 Lac Max. Exposure – Rs.20 Lac
 Strategy Statistics
Performance Metrics of DNC Portfolio, Individual Strategies and Indices
Cons_NB
Performance Metrics DNC_Port MTF Cons_LS Cons_LO Tech_Fun ISO Nifty CNX_500
N
Annualized Sharpe Ratio
3.3803 1.5588 2.3666 1.1818 1.5273 1.2115 1.1033 0.7349 0.7441
(Rf=7.2%)
Calmar Ratio 5.6929 2.5454 4.3733 1.1856 2.2373 1.5466 1.5681 0.5130 0.6017
Information Ratio: Nifty 2.6182 1.1561 1.7499 1.0343 1.1854 0.6965 0.8149 0.2127
Treynor Ratio: Nifty 3.4832 -46.5345 -34.2813 0.2477 0.4071 -0.4663 0.3173 0.1025 0.1062
Ulcer Index 0.0288 0.0617 0.0399 0.0878 0.0571 0.0650 0.0658 0.0575 0.0541
Sortino Ratio (MAR = 7.2%) 3.1215 0.9942 1.7945 0.6116 0.9150 1.0272 0.7175 0.3957 0.3963
Jensen's Alpha (Rf=7%) 0.2535 -0.0628 0.0409 0.2941 0.0957 -0.5789 0.1404 0.0000 0.0200

Risk Metrics of DNC Portfolio, Individual Strategies and Indices

Cons_NB
Risk Metrics DNC_Port MTF Cons_LS Cons_LO Tech_Fun ISO Nifty CNX_500
N
Maximum Drawdown 0.1297 0.2066 0.1447 0.2595 0.1426 0.2381 0.1888 0.2152 0.1947
Average Drawdown 0.0528 0.0857 0.0600 0.0819 0.0743 0.0679 0.0728 0.0559 0.0608
Average Length of DD in
3.2222 3.6875 3.4667 4.8333 6.1111 4.6364 4.7692 5.3846 5.0000
Months
Average Recovery in Months 1.3333 2.0000 1.9333 2.0833 2.5556 2.5455 1.4615 2.7692 2.3077
Pain Index 0.0119 0.0350 0.0221 0.0518 0.0363 0.0309 0.0434 0.0363 0.0345
Disclaimer
Investing or trading using algorithms is not free from market / Technology
and other risks. Understanding the risks and drawdowns of an algorithm
are necessary. Algorithmic performance of the past does not guarantee
future performance. Any performance statistics in this presentation are
based on historical data and may or may not be repeated in future.

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Tel: 77100 12476

www.dravyaniti.com
enquiry@dravyaniti.com