Momentum acceleration
factor.formula
Momentum acceleration:
in:
- :
Represents the cumulative daily rate of return for the last six months (from t-6 to t-1). The specific calculation method is to compound the daily rate of return during this period to obtain a total rate of return.
- :
Represents the cumulative daily rate of return for the last six months (from t-12 to t-7). Similarly, the specific calculation method is to compound the daily rate of return during this period to get a total rate of return.
factor.explanation
The momentum acceleration factor is designed to measure the speed of change of stock price momentum, rather than simply the size of momentum. A positive momentum acceleration indicates that recent momentum has accelerated compared to the past, while a negative momentum acceleration indicates that momentum has decelerated. In a cross-sectional stock pool, stocks with high momentum acceleration may be considered to have the potential for a stronger upward trend or a reversal trend, while stocks with low momentum acceleration may mean a weakening trend or a reversal risk. Based on this, a long-short strategy is constructed, that is, buying stocks with high momentum acceleration and selling stocks with low momentum acceleration, which can theoretically capture the excess returns brought about by changes in the momentum effect.