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Raghunath Monthly Momentum Strategy

This document outlines a rolling quantitative momentum strategy. It includes code to filter and add columns for close price, percentage change from close to close, high price, low price, and volume to the data. The rest of the document is a 10-page strategy called the Raghunath Monthly Momentum Strategy that analyzes stock price data on a monthly basis.

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Tanvi Sharma
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388 views10 pages

Raghunath Monthly Momentum Strategy

This document outlines a rolling quantitative momentum strategy. It includes code to filter and add columns for close price, percentage change from close to close, high price, low price, and volume to the data. The rest of the document is a 10-page strategy called the Raghunath Monthly Momentum Strategy that analyzes stock price data on a monthly basis.

Uploaded by

Tanvi Sharma
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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AFL for Rolling Quantitative Momentum Strategy

// http://www.traderslounge.in/rolling-quantitative-momentum-strategy/

Filter = 1 ;
AddColumn( Close, "Close");
AddColumn( ROC(C, 1), "% change",1.1);
AddColumn( High, "High");
AddColumn( Low, "Low");
AddColumn( Volume, "Volume");

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