This repository contains my final submission for the ECOM155 portfolio project. The project uses historical monthly price data for 100 stocks (from January 2000 to November 2024) along with Fama-French factor data to implement momentum-based trading strategies.
- Data Handling: Load and preprocess the provided datasets (stock prices and Fama-French factors).
- Signal Generation: Compute past returns over multiple horizons (3, 6, 9, and 12 months), rank stocks, and form decile portfolios (winners vs. losers).
- Visualization: Generate charts for price trends, decile portfolio performance, cumulative returns, and spread dynamics.
- Performance Evaluation: Perform Fama-French regressions on monthly returns to evaluate the momentum strategy, reporting metrics like Sharpe Ratio, average return, geometric return, and standard deviation.
- zoo
- reshape2
- data.table
- plotly
- ggplot2