Research on the momentum effect in the US stock market based on S&P 500
DOI:
https://doi.org/10.54097/7y45ha60Keywords:
Momentum effect, High-values; S&P 500.Abstract
Momentum effect refers to the tendency of stock returns to continue the original direction of motion. On the basis of momentum effect, this paper proposes a trading strategy targeting S&P 500 stocks using a quantitative trading strategy as the underlying architecture, conduct historical backtesting to test its predictive ability, use several metrics such as the Sharpe Ratio to conduct a risk measurement, and review the implemented improvements to the strategy and unimplemented ideas that may be able to complement the strategy, with the final results confirming the soundness of our ideas and actually investing them in the stock market to obtain alpha that exceeds the average of the market.
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