NOTE: THIS LECTURE HAS BEEN RETIRED DUE TO IT NOT DEMONSTRATING BEST PRACTICES
We are keeping the post up for posterity's sake. For updated information please read the comments on this thread. The reason this lecture was removed is that it did not discuss cross sectional measurement of momentum, and also discussed several experimental ways to measure momentum which were not firmly grounded in common usage. We want our lecture series to represent what quants actually do, and we felt that whereas these techniques may be interesting as an advanced research project, they are not good for someone wishing to learn how momentum strategies work.
Momentum strategies may be the most intuitive way to trade stocks. A model that assumes previous good trends lead to future good trends is a momentum model. These models can be used to generate entry and exit signals, or as factors in ranking schemes. We will discuss the overall idea of momentum strategies in this notebook. Information on measuring momentum can be found here.
Sign up for a webinar covering these topics here.
We will be releasing a video lecture as well, watch this thread for a link. Find all of our lectures hosted permanently with videos at www.quantopian.com/lectures.