QM010 Hands-on Lab

Momentum and Trend Signals

Objective

Trace a simple 3-period momentum signal from prices to the next holding period and see how a skip-period convention changes the measured signal. The goal is timing discipline, not finding an optimal lookback.

Run

From the QM010 folder:

python labs/python/qm010_momentum_example.py

The script prints the 3-period momentum with skip=0 and skip=1, then shows each signal date, the sign of the momentum signal, and the first holding period that can use that signal.

What to inspect

Why do m3_s0 and m3_s1 differ even though they use the same price history?
Does the position begin at the signal observation or at the next holding period?
Which price would be unavailable if the holding return were accidentally aligned to the same period as the signal?

Experiment

Edit the prices sequence or change the lookback from 3 to 2 or 4. Then explain separately how the economic horizon and the signal-to-trade clock changed. Do not choose a lookback because it looks best on this toy path.

Interpretation boundary

The data are synthetic. The exercise demonstrates signal construction and timing conventions; it does not estimate the profitability of momentum or identify a preferred lookback.