In this project we will implement a trading strategy on our own, and test it to see if it has the potential to be profitable. We will use a universe of stocks and a time range. We will be provided with a textual description of how to generate a trading signal based on a momentum indicator.
After that we will compute the signal for the time range given and apply it to the dataset to produce projected returns.
Finally, we will perform a statistical test on the mean of the returns to conclude if there is alpha in the signal.
For the dataset, we'll be using the end of day from Quotemedia.