067: Quantitative Momentum with Jack Vogel

Published on January 10, 2022

Explore New Stories Relevant to Quantitative Momentum Trading, 067: Quantitative Momentum with Jack Vogel.


The guest for this episode is Jack Vogel from Alpha Architect, a quantitative asset management and consulting firm.

Jack has published a number of papers on SSRN and also co-authored a couple of books including “Quantitative Momentum: a practitioners guide to building a momentum-based stock selection system”.

In our chat with Jack you will hear:

– Momentum – what is it, what causes it and the different types you need to be aware of
– How to best apply momentum techniques to a portfolio
– Why measuring the quality of a trend is so important and how to do it

067: Quantitative Momentum with Jack Vogel, Quantitative Momentum Trading

Quantitative Momentum Trading, 067: Quantitative Momentum with Jack Vogel.


Momentum Indicators

The Momentum sign is an usual device made use of for identifying the Momentum of a certain possession. They are visuals devices, frequently in the form of oscillators that can show how quickly the price of a provided possession is moving in a certain instructions, along with whether the price activity is likely to advance its trajectory.

The notion behind the device is that as an asset is traded, the speed of the price activity reaches a maximum when the entryway of new capitalists or money right into a certain profession nears its height. When there is less prospective new investment offered, the tendency after the height is for the price trend to flatten or reverse instructions.

Exactly how do you know if a stock is short term?

The general concept is to show whether a stock is trending up or downward. Usually, a good candidate will have a relocating standard that is sloping up. If you are trying to find a good stock to short, you usually wish to discover one with a relocating standard that is flattening out or decreasing.

The instructions of Momentum, in a basic fashion, can be established by subtracting a previous price from a present price. A positive outcome is a signal of positive Momentum, while a negative outcome is a signal of a negative Momentum.

Momentum devices usually appear as rate-of-change (ROC) indicators, which split the Momentum outcome by an earlier price. Multiplying this total amount by 100, traders can discover a percentage ROC to plot low and high in trends on a graph. As the ROC comes close to among these extremes, there is an enhancing opportunity the price trend will damage as well as reverse instructions.

Exists a negative Momentum Trading?

Explanation: Momentum Trading is a vector quantity, offered by the item of an item’s mass as well as speed. If the speed of the things is negative, i.e. the things is traveling in what has actually been picked as the negative instructions, the Momentum Trading will additionally be negative.

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