Statistical Arbitrage in Indian Equities Market

Created a combination of Timeseries and Cross-sectional momentmum strategies to obtain a 1.2 Sharpe Ratio.
Conducted Intraday momentum crossover strategy research for effective Sharpe and NIFTY’s seasonality momentum, which made me discover significant returns with a Sharpe Ratio of 1.38 when trading at 1015 hrs and 1435 hrs UTC +5:30.
Cleaned and processed pricing data for all the 50 stocks which were covered under NIFTY.
Constructed pair trading reversal strategy with NIFTY as one component, thus constructing trading signals based on residual returns from linear regression.
Combined all of the strategies based on their volatilites to generate a combined strategy with a back tested SR of 1.1 and IR of 0.78.