Quantitative Momentum Strategies by Dr Ernie Chan
This is an online workshop conducted in real-time through Adobe Connect conducted by Ernest Chan (www.epchan.com). The workshop focuses on the theories and practical implementation of momentum strategies using MATLAB. Free MATLAB trial licenses will be arranged for extensive in-class exercises. No prior knowledge of MATLAB is assumed, but some programming experience is necessary. The math requirement assumed is basic college-level statistics.
Maximum number of attendees: 6.
Total hours: 12.
1. Causes of momentum
a. Persistence of futures roll returns.
b. Slow diffusion of news.
c. Forced sales and purchases by funds.
d. HFT market manipulation.
2. Tutorial to MATLAB
a. Quick survey of syntax.
b. Exercises: building some utilities useful for trading and plotting simple graphs.
c. Using toolboxes
3. Roll returns as driver of momentum
a. Backwardation vs. contango.
i. Exercise: Estimating spot and roll returns.
b. Time-series vs cross-sectional momentum.
c. Arbitrage between future and spot returns.
i. The case of VX-ES.
d. Statistical tests for time-series momentum.
e. Example futures time-series momentum strategy.
i. Indicators for TS momentum.
f. Example futures cross-sectional momentum strategy.
g. Example stock cross-sectional momentum strategy.
i. Indicators for CS momentum.
ii. News sentiment.
h. The phenomenon of “Momentum Crashes”.
i. The S&P DTI index.
4. Event-driven momentum
a. PEAD strategy.
i. The shortening of momentum horizon.
b. Other momentum-inducing events.
i. Research from Ravenpack on corporate events.
ii. Macro-economic events.
5. Forced sales and purchases due to funds
a. Hedge funds.
b. Mutual funds.
i. Example strategy using Pressure indicator.
c. Index funds.
d. Levered ETFs.
i. Example strategy.
6. High frequency momentum strategies
a. Ratio trade
d. Stop hunting.
e. Order flow.
7. Exit Strategies
8. Advantages and disadvantages of momentum strategies.