How to Build a Simple Momentum Stock Trading Workflow With Data

1Key Takeaways

• Momentum is the rare market anomaly with both a 30-year academic paper trail and a structure simple enough to implement in an afternoon of Python.
• Stocks that outperformed over the past 3 to 12 months tend to keep outperforming, to the tune of roughly 1% per month in the classic studies.
• The catch is that retail traders mostly lose money on it anyway, because they trade the vibe instead of the data.
• This post builds the data version: a momentum screen, an entry rule, position sizing, and a….