Momentum, Market Regime and Stocks & Options Trading Strategies
19 Pages Posted: 10 Jan 2019 Last revised: 2 Apr 2021
Date Written: December 25, 2018
This research project seeks to examine the relationship between momentum, stocks and options trading strategies. First, we examine a simple momentum trading strategy for stocks. These discussions are then extended and applied to options trading. Further, we explore how changes in economic conditions can cause trading performances to change from long-term averages and techniques that can be used to mitigate the impact of volatility and regime-shifts on trading performance.
Keywords: Momentum, Trading Strategies, Trend-Following, Options, Regime-Shift, Black-Scholes, VIX Index, Hidden Markov Model, Average True Range, Moving Averages, Straddle, Dynamic Hedging
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