PROTECTED SOURCE SCRIPT
QUANTA - LAB MOMENTUM
MOMENTUM-LAB V1.1 FORENSIC
Institutional momentum analysis suite with volatility scaling, crash detection, and risk management.
Momentum Analysis [Jegadeesh & Titman 1993]:
Multi-horizon momentum (short/medium/long formation periods)
Z-score normalized composite signal
Skip-period implementation to avoid microstructure noise
Volatility Scaling [Barroso & Santa-Clara 2015]:
Target volatility position sizing
GJR-GARCH(1,1) forecasting with adaptive parameter estimation
Leverage bounds (min/max constraints)
Crash Detection [Daniel & Moskowitz 2016]:
Bear market identification
Panic state detection (vol spike + negative returns)
Dynamic position reduction during momentum crashes
Risk Metrics:
VaR/CVaR (historical and Cornish-Fisher)
Drawdown-based position adjustment
Skewness and excess kurtosis monitoring
Amihud illiquidity measure
Signal Features:
Anti-repaint mode (bar close confirmation)
Optional signal confirmation filter
Variance ratio regime detection (trend/revert/random)
Important:
Diagnostic research tool — NOT a trading system
Single-asset analysis (no cross-sectional factors)
Does not include transaction costs
Validate in Python before deployment
References: Jegadeesh & Titman (1993), Daniel & Moskowitz (2016), Barroso & Santa-Clara (2015), GJR (1993), Lo & MacKinlay (1988), Amihud (2002)
Institutional momentum analysis suite with volatility scaling, crash detection, and risk management.
Momentum Analysis [Jegadeesh & Titman 1993]:
Multi-horizon momentum (short/medium/long formation periods)
Z-score normalized composite signal
Skip-period implementation to avoid microstructure noise
Volatility Scaling [Barroso & Santa-Clara 2015]:
Target volatility position sizing
GJR-GARCH(1,1) forecasting with adaptive parameter estimation
Leverage bounds (min/max constraints)
Crash Detection [Daniel & Moskowitz 2016]:
Bear market identification
Panic state detection (vol spike + negative returns)
Dynamic position reduction during momentum crashes
Risk Metrics:
VaR/CVaR (historical and Cornish-Fisher)
Drawdown-based position adjustment
Skewness and excess kurtosis monitoring
Amihud illiquidity measure
Signal Features:
Anti-repaint mode (bar close confirmation)
Optional signal confirmation filter
Variance ratio regime detection (trend/revert/random)
Important:
Diagnostic research tool — NOT a trading system
Single-asset analysis (no cross-sectional factors)
Does not include transaction costs
Validate in Python before deployment
References: Jegadeesh & Titman (1993), Daniel & Moskowitz (2016), Barroso & Santa-Clara (2015), GJR (1993), Lo & MacKinlay (1988), Amihud (2002)
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Protected script
This script is published as closed-source. However, you can use it freely and without any limitations – learn more here.
Institutional-grade diagnostics: GARCH, HMM Regimes, Cointegration, Microstructure, Fractal Analysis | Research only
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.