- General cause of momentum
- Time series vs cross-sectional momentum
- A quick tutorial on MATLAB© programming
- Statistical tests for momentum in time series: Exercise
- Advantages and disadvantages of momentum viz-à-viz mean-reverting strategies
Long-Term Time Series Momentum Strategies in Futures
- S&P DTI index and “momentum crashes”
- How overlaying a mean-reversal filter often improves momentum strategies
- Exercise on finding momentum and adding reversal filters
Long-Term Cross-Sectional Momentum Strategies in Stocks
- Can we find cross-sectional momentum in ETF’s, futures or currencies?
Short-Term Event-Driven Momentum Strategies
- Post earnings announcement drift:
1. A program for web-scraping earnings calendars
2. Evolution of the strategy over the years
3. The shortening of momentum horizon
- Other equities events, e.g. earnings guidance, credit ratings change, M&A
- Summary of research from Ravenpack
- News sentiment
- Effect of macro-economic events on the FX markets
Opening Gap Momentum
- How do breakout strategies work?
Leveraged ETF Strategies
- Evolution over time
- Exercise: which ETF’s still work?
High Frequency Momentum Strategies
- Ratio trade
- Stop hunting
- Impact of size imbalances
Note: This workshop uses MATLAB. Delegates, however, will be able to apply the principles learnt during the workshop regardless of which software they choose to use thereafter.