Momentum Investing Article

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Plex
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Joined: Sun Jul 31, 2011 5:41 pm

Momentum Investing Article

Post by Plex » Wed Oct 17, 2012 7:57 pm

For anyone interested, I came across this article on momentum investing with ETFs that uses weighted measures of momentum to determine allocation.

http://www.scribd.com/doc/91933741/Mome ... araldOswin

In addition, for those of you who make it to the end...is the author simply ranking the ETFs based on each of the 4 momentum determinants, then summing the weighted ranks to create the final rank?

Also, is the Return criteria more complicated than a rank of simple price appreciation?

Sorry, I'm not familiar with the code at the end.

-Plex

Aspen
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the code at the end is R

Post by Aspen » Fri Nov 09, 2012 4:56 pm

Hey Plex,
You can get that code at http://www.cran.r-project.org.

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