momentum
Momentum Investment Framework in R for my masters thesis. Updates will be pushed after the thesis defense!
- Financial Data collection from Yahoo finance (MENA financial markets)
- Descriptive statistics
- Momentum Strategy Backtesting (1998-2014)
- Strategy Performance Analytics (using annualized returns and financial ratios such as Sharpe and Calmar)
Enhanced momentum strategy ranking framework using the following second order characteristics
- Return momentum
- Stepwise Correlation
- Volatility
Prerequisites
Packages include
- Quantmod
- FinancialInstrument
- Performance Analytics
Running the scripts
Strategies
r -f main.r
##Data Data should be formatted in csv format and put in Data/master.csv
##Descriptive stats in R/functions
r -f stats.r