Self-Study-Initiatives

Momentum Signal Research: Backtest on VN30 Stocks

A self-initiated quantitative research project to test whether price momentum predicts future returns in the Vietnamese equity market (VN30). Built with Python and evaluated against the ^VN30 index benchmark.

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📊 Key Highlights

• ✅ Tested a long/short momentum strategy: long top 30% momentum stocks, short bottom 30%
• ✅ Evaluated performance over 2020–2025 using real VN30 constituents
• ✅ Benchmarked against VN30 index (Vietnam’s blue-chip benchmark)
• ✅ Calculated cumulative return, Sharpe ratio, and outperformance

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🛠️ Tech Stack

• Language: Python 3.10+
• Libraries: yfinance, pandas, numpy, matplotlib, seaborn
• Environment: VS Code (with Python extension)
• File format: .py script

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▶️ How to Run

1. Clone this repository:

   git clone https://github.com/Levianth146/Self-Study-Initiatives.git
   cd Self-Study-Initiatives

2. Install dependencies:

   pip install -r requirements.txt

3. Run the script:

   python "Quant Project.py"