Berry Cox's Price Momentum Factor Final Project Justin Do & Defne Sener

Use Berry Cox’s price momentum factors to select basket of assets for a long-short portfolio. Backtest your algorithm for 5 years to check for performance of algorithm.

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The Requirements:

• Step 1: Choose an ETF with a minimum of 100 assets, identify those assets
• Step 2: Retrieve historical data for your chosen ETF
• Step 3: Calculate the price momentum factors for each asset in your ETF
• Step 4: Using the price momentum factors, calculate the monthly z-factor score for each asset
• Step 5: Identify long and short baskets (10 to 15 assets in each) using calculated z-factors
• Step 6: Create a backtest to validate performance of your algorithm based on monthly restructuring over the previous 5 years.
• Step 7: Chart:
  1. Monthly portfolio return bar chart (pos/neg coloring) vs ETF
  2. Monthly return for long picks vs short picks vs ETF
  3. Cumulative portfolio return vs ETF