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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Examples of momentum strategies

The following are some examples of momentum strategies:

  • Moving average crossover: This momentum strategy principle revolves around calculating the moving average for a price of an asset and detecting when the price moves from one side of a moving average to the other. This means that when the current price intersects the moving average, there is a change in the momentum. However, this can lead to too many momentum changes. To limit this effect, we can use the dual moving average crossover.
  • Dual moving average crossover: Because we want to limit the number of switches, we introduce an additional moving average. There will be a short-term moving average and a long-term moving average. With this implementation, ...
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Publisher Resources

ISBN: 9781789348347Supplemental Content