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)