PROTECTED SOURCE SCRIPT
QUANTA - LAB MOMENTUM
MOMENTUM-LAB V1.1 FORENSIC
Institutional momentum analysis suite with volatility scaling, crash detection, and risk management.
Momentum Analysis [Jegadeesh & Titman 1993]:
Multi-horizon momentum (short/medium/long formation periods)
Z-score normalized composite signal
Skip-period implementation to avoid microstructure noise
Volatility Scaling [Barroso & Santa-Clara 2015]:
Target volatility position sizing
GJR-GARCH(1,1) forecasting with adaptive parameter estimation
Leverage bounds (min/max constraints)
Crash Detection [Daniel & Moskowitz 2016]:
Bear market identification
Panic state detection (vol spike + negative returns)
Dynamic position reduction during momentum crashes
Risk Metrics:
VaR/CVaR (historical and Cornish-Fisher)
Drawdown-based position adjustment
Skewness and excess kurtosis monitoring
Amihud illiquidity measure
Signal Features:
Anti-repaint mode (bar close confirmation)
Optional signal confirmation filter
Variance ratio regime detection (trend/revert/random)
Important:
Diagnostic research tool — NOT a trading system
Single-asset analysis (no cross-sectional factors)
Does not include transaction costs
Validate in Python before deployment
References: Jegadeesh & Titman (1993), Daniel & Moskowitz (2016), Barroso & Santa-Clara (2015), GJR (1993), Lo & MacKinlay (1988), Amihud (2002)
Institutional momentum analysis suite with volatility scaling, crash detection, and risk management.
Momentum Analysis [Jegadeesh & Titman 1993]:
Multi-horizon momentum (short/medium/long formation periods)
Z-score normalized composite signal
Skip-period implementation to avoid microstructure noise
Volatility Scaling [Barroso & Santa-Clara 2015]:
Target volatility position sizing
GJR-GARCH(1,1) forecasting with adaptive parameter estimation
Leverage bounds (min/max constraints)
Crash Detection [Daniel & Moskowitz 2016]:
Bear market identification
Panic state detection (vol spike + negative returns)
Dynamic position reduction during momentum crashes
Risk Metrics:
VaR/CVaR (historical and Cornish-Fisher)
Drawdown-based position adjustment
Skewness and excess kurtosis monitoring
Amihud illiquidity measure
Signal Features:
Anti-repaint mode (bar close confirmation)
Optional signal confirmation filter
Variance ratio regime detection (trend/revert/random)
Important:
Diagnostic research tool — NOT a trading system
Single-asset analysis (no cross-sectional factors)
Does not include transaction costs
Validate in Python before deployment
References: Jegadeesh & Titman (1993), Daniel & Moskowitz (2016), Barroso & Santa-Clara (2015), GJR (1993), Lo & MacKinlay (1988), Amihud (2002)
Script protetto
Questo script è pubblicato come codice protetto. Tuttavia, è possibile utilizzarle liberamente e senza alcuna limitazione – ulteriori informazioni qui.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script protetto
Questo script è pubblicato come codice protetto. Tuttavia, è possibile utilizzarle liberamente e senza alcuna limitazione – ulteriori informazioni qui.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.