Essays about: "Momentum trading"

Showing result 1 - 5 of 36 essays containing the words Momentum trading.

1. 1. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

   University essay from Uppsala universitet/Datalogi

   Author : Rebecca Fällström; [2023]
   Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

   Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE

3. 2. Quantitative Investment Strategies on the Swedish Stock Market

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Jonatan Knutsson; Gabija Telešova; [2023]
   Keywords : Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

   Abstract : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. READ MORE

4. 3. Mimicking Claimed Alpha Generating Strategies

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Patric Torén; [2023]
   Keywords : Momentum Strategy Mark Minervini Volume Excess return Nordic Market;

   Abstract : This research paper focuses on the implementation and evaluation of Minervini's momentum analysis techniques in an algorithmic approach. The study aimed to assess the limitations and challenges associated with executing Minervini's strategy in an algorithmic trading system. READ MORE

5. 4. Ensemble Models for Trend Investing

   University essay from KTH/Matematik (Avd.)

   Author : Emil Book; Emil Gnem; [2021]
   Keywords : Momentum; Machine Learning; Random Forest; Trend Investing; Dim Switch; Momentum; Maskininlärning; Random Forest; Trendinvestering; Dim Switch;

   Abstract : Portfolio strategies focusing on following the trend, so called momentum based strategies, have been popular for a long time among investors and have had many academic studies, however with varying results. This study sets out to investigate different momentum trading signals as well as combining them in ensemble models such as Random Forest and the unique Dim Switch portfolio and then compare them to set benchmarks. READ MORE

6. 5. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kristiyan Denev; Aleksandar Strinic; [2020]
   Keywords : Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

   Abstract : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. READ MORE