Value and Momentum Everywhere
Value and momentum factors are commonly researched in the literature. What makes them interesting factors is they are negatively correlated, yet they are both profitable. In this video, I demonstrate how to implement a strategy that targets both factors across a universe of US Equities. Additionally, I share some source code that shows how to apply the strategy across multiple asset classes. The strategy in this video is based on "Value and Momentum Everywhere" (Asness, et al., 2012).
To view the strategy code, see the Meetup post in the QuantConnect forum.