3.1
Price-Momentum
PYTHON PLUGIN
Stocks
Momentum
Description
Strategy 3.1: Rank by 12-month returns, long top decile, short bottom decile
Strategy Logic
Strategy 3.1: Price Momentum.
Rank stocks by past 12-month (252 trading days) returns.
Go long the top decile, short the bottom decile.
Uses ROC(close, 252) as the momentum signal.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 252 | int |
| long_quantile | 0.9 | float |
| short_quantile | 0.1 | float |
| skip_recent | 21 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |