Hypotheses
US Equity Six-Week Volatility-Normalized Contrarian Cohorts
Derived by the Research Lead from Jaehyung Choi's Physical approach to price momentum and its application to momentum strategy: test the paper's p(3) simple-return ranking through weekly overlapping six-week contrarian…
Hypothesis
Derived by the Research Lead from Jaehyung Choi's Physical approach to price momentum and its application to momentum strategy: test the paper's p(3) simple-return ranking through weekly overlapping six-week contrarian portfolios. Preserve the six-week formation period, six-week holding period, decile selection, equal weighting and long-losers/short-winners direction. Adapt the universe to the twenty explicitly declared USEQ stocks, sizing to account equity, and execution to market orders at the first session's daily close each week. Ranking excludes that execution session's return. This is a fixed-universe adaptation, not a reproduction of historical S&P 500 membership or the paper's reported performance. No historical shares outstanding, capitalization, or transaction-value inputs are required. Implement as a multi-instrument FactoryStrategy with synchronized daily bars and a virtual cohort ledger whose aggregate targets become one net position per instrument.
Analysis
Physical approach to price momentum and its application to momentum strategy
Backtest and paper results are hypothetical. Trading involves risk of loss.