#What it is
A backtesting pipeline for a factor momentum strategy: generate momentum signals, form a portfolio on rebalance dates, and evaluate performance with realistic trading costs.
#What I built
- Signal generation: momentum scores computed from historical returns
- Portfolio construction: monthly rebalance, top-K selection, equal-weight allocation
- Backtest engine: daily portfolio returns from weights × daily asset returns
- Evaluation: CAGR, volatility, Sharpe, max drawdown, turnover + cost impact
- Reporting: equity curve and comparison tables across cost assumptions