How to build a basic momentum strategy (explained step by step).

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns afte

動量交易策略（Momentum Strategy）動量交易策略，即預先對股票收益和交易量設定過濾準則，當股票收益或股票收益和交易量同時滿足過濾準則就買入或賣出股票的投資策略。

Furthermore, we follow George and Hwang’s (2004) regression model in comparing six momentum strategies at the same time, and find that the profitability of the 52-week high momentum strategy is significantly better than the other strategies.

We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns afte

Momentum trading strategies are based solely on technical analysis, focusing on the momentum of stock prices rather than a company’s operational performance. Traders use various technical indicators to identify trends, gauge their strength, and some

其中，動量交易策略 ( Momentum Trading Strategy )就是個簡單，且相當有效的量化策略，其適用於各種市場、資產組合，以及不同的時間範圍。

动量策略（Momentum Strategy）是投资界中极为流行的一种策略，尤其在量化投资领域有着广泛的应用。 动量策略指的是投资者跟随市场的大势，根据投资品的上涨或下跌趋势做出相应的做多、做空交易。