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High-frequency momentum and contrarian strategies on large caps.

Harvengt, Maxence
(2022)

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Harvengt_38741500_2022.pdf
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Details

Supervisors
Petitjean, Mikael ; Laly, Floris
Faculty
Louvain School of Management
Degree label
Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract
Putting ourselves in the shoes of a High Frequency trader, we built 81 contrarian strategies and 81 momentum strategies in order to see which active strategies would give a better performance compared to the Benchmark, here it was the Buy & Hold strategy. We performed our tests only on the large caps using the NASDAQ database with the trading history of forty large caps. After removing the chance effect and performing return analysis, risk adjusted return and risk analysis. We found that in general contrarian strategies were better than momentum strategies and that using trend indicators did not yield very good results. Once we take into account transaction costs, none of the strategies can generate abnormal profits.

Citations

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Harvengt, M. (2022). High-frequency momentum and contrarian strategies on large caps. https://dial-mem.test.bib.ucl.ac.be/handle/2078.2/27803