Dear Experts,
May I know how to implement Momentum factor using the Long/Short Algo template?
1 ) I can call the built-in factor of EWMA to look back 12 months. But how to exclude the most recent month while looking back 12 months to compute the total returns? Please refer to line 94
2) I also came across Andrew Momentum. I cant put it into the frame-work.
Reference https://www.quantopian.com/posts/equity-momentum
Please refer to line 98
3) Usually Momentum works during bull market but I noticed it is performing badly from 2009 to 2017.
4) The total average positions are only 300 (inclusive of long and short). Seem pretty low given the QTradableStocksUS is about 2000 stocks?
Thank you for your help and advises.
L