3.7
Residual Momentum
PYTHON PLUGIN
Stocks
Momentum
Description
Strategy 3.7: Momentum on factor-residual returns
Strategy Logic
Strategy 3.7: Residual Momentum.
Momentum on residual returns after removing market/factor exposure
via regression.
alpha_i = r_i - beta_i * r_market
Rank stocks by cumulative alpha, go long winners, short losers.
Expects a market benchmark symbol in data (configurable, default
'SPY') or uses equal-weight average of all stocks.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 252 | int |
| estimation_window | 252 | int |
| market_symbol | SPY | str |
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 15.0% |