Momentum Trading Strategies

Momentum Trading Strategies


Momentum trading refers to a general class of strategies which attempt to identify and exploit existing trends. The general assumption is that securities going up will continue to go up and securities going down will continue to go down. This is the opposite of Mean Reversion strategies, which rely on prices reverting back to their underlying trend after deviating from it.

In this collection of algorithms, we explore this market anomaly in both Absolute (individual momentum) and Relative (cross-sectional momentum) terms, as well as the so called  Dual Momentum capitalizing on the combination of the two.