Скачать или смотреть Momentum Trading Strategy | Free course in Forex Trading | Quantra Courses

The momentum strategy works because some market participants act quickly on the news while others respond slowly on the news. Therefore, the trend is likely to emerge and last for a longer time period.

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Let us create a simple long-short momentum trading strategy. The logic works as follows.
Create a trading universe that consists of seven currency pairs
EUR
CHF
JPY
AUD
CAD
ZAD
Fetch price data for last 50 trading days and calculate the percent change
Sort the currency pairs by 50-day returns. This is done to identify the trading pairs
Go long on top 3 pairs and go short on bottom 3 pairs
Invest equal amount in each of the pairs
Repeat step 2 to 4 at the start of every week
There are some additional considerations to make in the above strategy namely: ranking criteria, number of pairs to long and short, capital allocation to each of the currency pairs, and rebalancing frequency to make it more robust.


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