I want to compare different momentum strategies such as cross-sectional momentum (as given by Jegadeesh and Titman), 52-week high price given , residual momentum, and time-series momentum strategy for a specified period. Could anyone help me in developing the code for this strategy?
I want to compare different momentum strategies such as cross-sectional momentum (as given by Jegadeesh and Titman), 52-week high price given , residual momentum, and time-series momentum strategy for a specified period. Could anyone help me in developing the code for this strategy?