Testing a 44-Day Average-Price Momentum Factor in Two Ways

Summary

The document defines a price-based momentum factor as the 44-day average closing price divided by the current close, minus one. It compares two ways to analyze the factor: using a platform expression engine and supplying custom data. The stated test covers Chinese stocks from January 2020 through July 2022, with no market-cap or industry neutralization.

To check consistency, the authors compare the factor value for one stock on the final test date and report agreement to six decimal places. They also say the two approaches produce matching backtest results. These checks support equivalence between the implementations under the stated setup; they do not establish that the factor is profitable or predictive. The article is marked as an older implementation for learning, and it gives no detailed performance statistics, portfolio rules, transaction-cost assumptions, or robustness tests.

Key ideas

• The factor is the 44-day average closing price divided by the current close, minus one.
• The article compares expression-engine analysis with analysis based on custom data.
• Both methods reportedly agree to six decimal places for one sampled stock-date observation.
• The two methods also reportedly produce matching backtest results.
• The test omits market-cap and industry neutralization, and the evidence does not establish profitability.

Tags

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