[In Progress]Global Momentum: a quantitative strategy review post 2008

WORK IN PROGRESS

The recent increasing divergence between MAG7 and the rest of the S&P500 form a heavy head component in the American index. The intense record sell off in the battered Chinese equity market, prompting government to roll out “bail out” program to stabilize the market, including but not limit to trillions of yuan capital injection, ban on short selling, halt in trading, etc.

This all brings me into thinking, post 2008 era, does momentum strategy work? Especially for the past 3 years after 2021 COVID crash, can the momentum strategy be revived from underground.

This post will showcase the strategy methodology and its backtesting result.

STAY TUNED!