Residual Momentum Factor (Python)

The Residual Momentum Factor strategy ranks securities by an external residual momentum score. Each month on the first trading day it goes long the top decile and short the bottom decile.

• Entry Criteria: external residual momentum data feed.

• Long/Short: Both directions.

• Exit Criteria: Monthly rebalance.

• Stops: No explicit stop logic.

• Default Values:

• Decile = 10

• MinTradeUsd = 200

• CandleType = TimeSpan.FromDays(1).TimeFrame() [*]Filters:

• Category: Fundamental

• Direction: Both

• Indicators: Fundamentals

• Stops: No

• Complexity: Intermediate

• Timeframe: Daily

• Seasonality: Yes

• Neural Networks: No

• Divergence: No

• Risk Level: Medium