This e-learning workshop is designed for traders and investment managers who are looking to explore the theory and practical implementation of momentum strategies for equities, ETFs, Futures and FX. The course will cover the key short- and long-term strategies, and delegates will use relevant software (MATLAB) throughout the workshop. No prior knowledge of MATLAB is required.
The workshop is designed to give you everything you need to know to get started and includes:
Online course module (6 hours)
MATLAB software (1 month) with MATLAB tutorial (3 hours) and sample data
Direct access to the trainer for assistance
- Course duration: 6 hours
- Access period: 3 months
- Trainer: Ernie Chan
- Course fee: £895 + VAT
Causes of momentum
- Persistence of futures roll returns
- Slow diffusion of news
- Forced sales and purchases by funds
- HFT market manipulation
- Quick survey of syntax
- Exercises: building some utilities useful for trading and plotting simple graphs
- Using toolboxes
Roll returns as driver of momentum
- Backwardation vs. contango
- Exercise: Estimating spot and roll returns
- Time-series vs cross-sectional momentum
- Arbitrage between future and spot returns: The case of VX-ES
- Statistical tests for time-series momentum
- Example futures time-series momentum strategy: Indicators for TS momentum
- Example futures cross-sectional momentum strategy
- Example stock cross-sectional momentum strategy: i) Indicators, ii) News sentiment
- The phenomenon of “Momentum Crashes”: The S&P DTI index
Forced sales and purchases due to funds
- Hedge funds
- Mutual funds: Example strategy using Pressure indicator
- Index funds
- Levered ETFs: Example strategy
Advantages and disadvantages of momentum strategies
Frequently Asked Questions
WHAT IS THE TIMELINE FOR THE COURSE?
This course is pre-recorded and available indefinitely for viewing on Adobe Connect.
HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide indefinite access to the online material to give students a chance to take things at their own pace, but we expect most people to take no longer than a week to complete the course.
WHAT KIND OF MATLAB ASSISTANCE AM I PROVIDED WITH?
There is a MATLAB tutorial included in the workshop. If you have used MATLAB before, you should find it quite easy to complete the exercises, which do not require extensive programming. No prior knowledge of MATLAB is in fact necessary, although some general experience in programming using other simple languages would be useful.
WHEN WILL MY MATLAB LICENCE BEGIN?
You are advised to go through the online material first, then let us know when you are ready to start the course in conjunction with the MATLAB exercises, at which point we will request that your MATLAB licence begin. Please bear in mind it may take a couple of days to set you up with MATLAB.
IS THE COURSE STILL USEFUL IF I HAVE NO INTENTION OF USING MATLAB?
Yes, the main aim of the course is to communicate the principles of quantitative momentum strategies. Furthermore, MATLAB programming code can be adapted fairly easily into ‘R’, an open-source alternative.
WHAT DOES THE ONLINE COURSE MATERIAL COMPRISE?
The online course material is made up of two modules. The first module is the main course and consists of slides with the trainer’s narration. The second module consists of a tutorial covering the essentials of MATLAB programming.
WILL I BE ABLE TO ASK QUESTIONS AS I GO ALONG?
Unlimited Q&A will be conducted on the course Slack channel.