Study and development of a backtest analysis for a quantitative momentum-based stock selection system

Abstract

This study consists of the previous analysis and subsequent development of a back-test analysisfor an investment strategy. This includes the definition and justification of all the parameters thathelp constitute such a strategy in order to make them programmatically feasible, to later studywhat would have been the performance of such strategy in a hypothetical recent past investmentperiod using a trustworthy database and analyzing the information using python programminglanguage. The investments strategy has been developed by the author of this report, as well as theprofessionals from Kersio Capital SICAV. Therefore this study represents one of the many ways inwhich the solid knowledge in logic, mathematics and programming acquired during an AerospaceTechnologies Engineering Degree can be extrapolated into other fields of interest.