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Building an End-of-Day Equity Momentum Strategy with Moonshot

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Summary

This tutorial outlines a workflow for developing and backtesting an end-of-day, cross-sectional momentum strategy with Moonshot. It begins with collecting daily historical equity data and selecting a universe, then moves into momentum factor research and implementation of the strategy in Moonshot.

The remaining stages cover running a backtest, scanning strategy parameters, and debugging the strategy. The document is an overview of linked tutorial parts rather than a presentation of the underlying calculations or backtest findings. It gives no performance results, data specifications, or details about transaction costs and risk controls, so those aspects cannot be assessed from this overview alone.

Key ideas

  • The workflow starts by collecting daily historical equity data and defining a tradable universe.
  • Momentum factor research precedes coding the end-of-day cross-sectional strategy.
  • Moonshot is used to implement and backtest the strategy.
  • Parameter scans and debugging are included as later stages of strategy development.
  • The overview does not report performance or explain costs and risk controls.

Tags

EquitiesMomentumFactor investingBacktesting
Full text
# Getting Started with Moonshot


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# Getting Started with Moonshot

This tutorial shows you how to retrieve daily historical data for equities, analyze your data in a research notebook, and backtest an end-of-day cross-sectional momentum strategy using Moonshot.
    
**Data collection**

* Part 1: [Historical Data Collection](Part1-Historical-Data-Collection.ipynb)
* Part 2: [Universe Selection](Part2-Universe-Selection.ipynb)

**Research and Backtesting**

*Research*

* Part 3: [Momentum Factor Research](Part3-Momentum-Factor-Research.ipynb)

*Moonshot*

* Part 4: [Moonshot Strategy Code](Part4-Moonshot-Strategy-Code.ipynb)
* Part 5: [Moonshot Backtest](Part5-Moonshot-Backtest.ipynb)
* Part 6: [Moonshot Parameter Scans](Part6-Moonshot-Parameter-Scans.ipynb)
* Part 7: [Debug Moonshot Strategies](Part7-Debug-Moonshot-Strategies.ipynb)

Shown in full with attribution under the source's licence. Licence: Apache-2.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.