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Momentum Trading Strategies:
Low & High Frequency
December 3, 2015
By QuantInsti
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
Momentum Trading
• Momentum Trading Strategies are the ones
where your trading decision is done by
observing significant m...
Does it work?
• Physics: Momentum & Impulse
• Why variation across asset classes?
– Different key participants, different ...
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
Momentum & Oscillators
• Momentum
• ROC
• RSI
• Stochastic Oscillator
• MA Crossovers
• MACD
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
HFT Momentum Trading Strategies
• Tick level Analysis
– Order Book Based
– Order Based
• Transaction cost
• Defining Exits...
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
Risks in Momentum Trading Strategies
• Purely Directional
• Entry/Exit Timing
• False Alarms
– Risks in Machine Readable N...
Agenda
• Introduction: Momentum Trading
• Popular Momentum Trading Strategies
• Momentum Trading in HFT
• Risks in Momentu...
Sample Model
• Entry: Price & Volume Filters + Consecutive Higher
(Buy) or Lower (Sell) Prices
• Exit: Consecutive lower a...
Q&A
ThankYou
Merci
Danke
Gracias
TerimaKasih
XieXie
Grazi
Shukriya
contact@quantinsti.com/+91–9920–44-88–77/+65–6221–3654
...
Disclaimer
All content of this presentation and sample model of
the webinar are for educational purposes only and
should n...
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Momentum Based Strategies for Low and High Frequency Trading

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On 3rd December 2015, QuantInsti held a comprehensive webinar session on Momentum Trading Strategies. Mr. Nitesh Khandelwal, discusses momentum trading in Low and High frequency trading.

This webinar focused on the various aspects of Momentum Trading Strategies for both Conventional/Low Frequency as well as High Frequency (HFT). Some popular strategies in momentum based trading were also dug deeper into to select niche momentum trading strategies. The webinar aimed to evaluate how HFT momentum strategies differ from conventional momentum strategies both from logic and deployment perspective.

Following points were discussed in detail:

Popular Momentum Trading Strategies
Momentum Trading in HFT
Risks in Momentum Trading
Sample Model

Download Model - http://www.quantinsti.com/blog/moment...

QuantInsti's (http://www.quantinsti.com) flagship offering is the 'Executive Programme in Algorithmic Trading' (E-PAT) which is a comprehensive course covering all important aspects of Algorithmic Trading. Apart from detailed theoretical lessons, we provide our course participants in-house proprietary tools and other globally renowned applications in a simulated environment -- course participants can design, implement and test their strategies in such environment and build on their learning in the class.

Download Slides - http://www.quantinsti.com/blog/moment...

You can contact us at: (+91) 22- 61691401 or (+91) 9920448877 or Toll Free: 1800-266-5401 for any queries you might have.

Published in: Economy & Finance

Momentum Based Strategies for Low and High Frequency Trading

  1. 1. Momentum Trading Strategies: Low & High Frequency December 3, 2015 By QuantInsti
  2. 2. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading • Sample Model
  3. 3. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading • Sample Model
  4. 4. Momentum Trading • Momentum Trading Strategies are the ones where your trading decision is done by observing significant movements in a direction along with relatively higher volumes – Event Triggers (ex) – Indicators based
  5. 5. Does it work? • Physics: Momentum & Impulse • Why variation across asset classes? – Different key participants, different behaviour – External factors, seasonality • Technical & Quantitative Analysis
  6. 6. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading
  7. 7. Momentum & Oscillators • Momentum • ROC • RSI • Stochastic Oscillator • MA Crossovers • MACD
  8. 8. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading • Sample Model
  9. 9. HFT Momentum Trading Strategies • Tick level Analysis – Order Book Based – Order Based • Transaction cost • Defining Exits – Exits at waning momentum – Exits at high momentum (Contrarian) • Quoting versus Hitting
  10. 10. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading • Sample Model
  11. 11. Risks in Momentum Trading Strategies • Purely Directional • Entry/Exit Timing • False Alarms – Risks in Machine Readable News based triggers – False Newsfeeds/Twitter alerts!
  12. 12. Agenda • Introduction: Momentum Trading • Popular Momentum Trading Strategies • Momentum Trading in HFT • Risks in Momentum Trading • Sample Model
  13. 13. Sample Model • Entry: Price & Volume Filters + Consecutive Higher (Buy) or Lower (Sell) Prices • Exit: Consecutive lower acceleration/impulse in ROC
  14. 14. Q&A ThankYou Merci Danke Gracias TerimaKasih XieXie Grazi Shukriya contact@quantinsti.com/+91–9920–44-88–77/+65–6221–3654 GoAlgo!JoinQI’sE-PAT(ExecutiveProgramonAlgorithmicTrading) Nextbatchstarts:Jan9,2016.Visitwww.quantinsti.comformoreinformation
  15. 15. Disclaimer All content of this presentation and sample model of the webinar are for educational purposes only and should not be construed as any financial or investment advice. QuantInsti does not take any responsibility for the correctness of the content or the performance of the model.

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