This repository contains the full pipeline for building and running a production-grade time-series momentum strategy on U.S. equities.
📈 Momentum Strategy
The strategy is based on a core concept in quantitative finance: securities that have recently outperformed (or underperformed) tend to continue doing so in the short term. We adapt this concept into a systematic, real-world trading implementation using highly liquid, optionable stocks.
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Point-in-Time Universe Construction
- Filters historical stock data to eliminate survivorship bias.
- Requires at least $50M in notional volume and consistent weekly options listings.
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Custom Momentum Scoring
- Combines risk-adjusted returns (Sharpe) and market sensitivity (Beta).
- Generates a momentum score to rank stocks in each monthly cycle.
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Fully Automated Long/Short Portfolio Construction
- Ranks tickers monthly into deciles.
- Rebalances monthly based on updated scores.
- Outputs long and short baskets ready for trading or analysis.