AuthorJing Wu2018-06-21

Introduction

Momentum is a trend following strategy, where the strategy buys the assets which have performed well in the past and sells the assets which have performed bad.

Method

This algorithm applies momentum to the Forex market. Our universe consists of 15 Forex pairs and covers period from 2006 to 2018. The algorithm goes long 3 currencies with strongest 12-month momentum against USD and goes short 3 currencies with lowest 12-month momentum against USD.

Algorithm




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