/qmom

Long-only momentum strategy modeled on Alpha Architect's QMOM ETF, selecting stocks with the smoothest momentum and rebalancing the portfolio before quarter end to capture a window-dressing seasonality effect.

Primary LanguageJupyter NotebookApache License 2.0Apache-2.0

qmom

Long-only momentum strategy modeled on Alpha Architect's QMOM ETF, selecting stocks with the smoothest momentum and rebalancing the portfolio before quarter end to capture a window-dressing seasonality effect.

Clone in QuantRocket

CLI:

quantrocket codeload clone 'qmom'

Python:

from quantrocket.codeload import clone
clone("qmom")

Browse in GitHub

Start here: qmom/Introduction.ipynb

Find more code in QuantRocket's Codeload Library