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Momentum measures the velocity of price movements in stocks. Our result: Trading stocks solely based on momentum strategies yields comparable results to stock market indices.

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TimMerker/Momentum-Stock-Scanner-in-R

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Momentum-Stock-Scanner-in-R

You can find our results and portfolio perfomances of momentum strategies in Results.zip.

The R code for the Carhart-Four-Factor-Model Scanner is in CarhartFourFactorModel_StockScanner.zip.

The R code for our newly developed Momentum Scanner is in Momentum_StockScanner.zip.

Portfolios with IShares:

InvestmentChart_Momentum_SPY InvestmentChart_Momentum_SPY InvestmentChart_Carhart_SPY InvestmentChart_Carhart_SPY

Portfolio with individual stocks:

InvestmentChart_Momentum_SPY InvestmentChart_Momentum_SPY_aktien InvestmentChart_Carhart_SPY InvestmentChart_Carhart_SPY

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Momentum measures the velocity of price movements in stocks. Our result: Trading stocks solely based on momentum strategies yields comparable results to stock market indices.

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