In his book "Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategy", Andreas F. Clenow, presents his trading rules (chapter: "A Complete Momentum Trading Strategy", p91 in pdf): he trades once a week, always on the same day, he ranks stocks in the S&P 500 based on momentum, and calculates the position size using the 20-day Average True Range of each stock, multiplied by 10 basis points of the portfolio value etc.
Project goals:
- Describing and understanding his trading algorithm in detail.
- Implementing the algorithm in Python, using SP100 and rolling 90-day momentum.
- How changing the momentum rolling window length affects the results?
- Determining the drawbacks of such investment strategy and backing it up with current literature results.
- Considering some interesting extensions and additions that the author considers for momentum strategy.
- Summarizing the result and findings and drawing a final conclusions on such trading strategy.
References:
- Clenow, A. (2015). Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies.
This repository represents group project work for course in Quantitative Investments for advanced degree Masters in Computational Finance, Union University.