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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.

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