Quantitative Momentum Strategies

This two day workshop is designed for traders and investment managers who are looking to explore quantitative momentum strategies for equities, ETFs, Futures and FX. The course will cover the key short- and long-term strategies, and delegates will use relevant software (MATLAB) throughout the workshop. No prior knowledge of MATLAB is required.


  • 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

  • Cause
  • Evolution over time
  • Exercise: which ETF’s still work?

High Frequency Momentum Strategies

  • Ratio trade
  • Ticking
  • Flipping
  • 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.