This project aims to backtest a momentum trading strategy on the VN30 Index, which consists of the 30 largest and most liquid stocks listed on the Ho Chi Minh City Stock Exchange. By evaluating historical data, the project seeks to determine the effectiveness of the momentum strategy in generating profitable trading signals.
Understand the VN30 Index: Analyze the composition and characteristics of the VN30 Index.
Implement a Momentum Strategy: Develop and apply a momentum-based trading strategy to the VN30 Index.
Backtest the Strategy: Utilize historical data to backtest the strategy and evaluate its performance.
Analyze Results: Interpret the results to understand the strategy's profitability, risk, and overall performance.
- Historical price data for the VN30 Index and its constituent stocks.
- Data preprocessing and cleaning.
- Define momentum metrics
- Establish trading rules based on the chosen momentum indicators.
- Simulate trades based on historical data.
- Calculate key performance metrics (e.g., returns, drawdowns, Sharpe ratio).
Compare the strategy's performance against a buy-and-hold benchmark.