In this project, we will implement a trading strategy on our own, and test to see if it has the potential to be profitable. We will take a universe of stocks and time range. We will see how to generate a trading signal based on a momentum indicator. We will then compute the signal for the time range given and apply it to the dataset to produce projected returns.
Finally, we will perform a statistical test on the mean of the returns to conclude if there is alpha in the signal.
For the dataset, we'll be using the end of day from Quotemedia.