Momentum

[addcapital]

Hello,

I am working on a project where I am using PCA to reduce my dimention for selection of stocks. I would like to further identify momentum for stocks selected using PCA.

I have tried using multiple indicator like RSI / Slope of Curve and to some extend GARCH but none of them helped so far.

Is there any other Statistical / Technical momentum indicator which can be used please do suggest

Thanks

 

[Shadowfox]

Before I tell you anything, may I ask you what do you mean by none of them worked.

 

[addcapital]

Ok, When I used them with selected stock I am trying to see if they are significant in term of Top contributor in market but that wasn't the case and I felt I am missing on some momentum indicator.

 

[Shadowfox]

Addcapital ...I am really sorry but I am unable to interpret what you have written above. Momentum indicator by definition tracks auto-correlation only. If you are doing something like following :
1. Based on some past momentum indicator criteria you select some stocks (lets say difference of a stock price from its 100 days moving avg and assuming the more the better...) and then if your are tracking if high momentum stocks seem to be outperforming in terms of daily return then most likely your initial hypothesis is wrong.

 

[addcapital]

Apologies, If I am not able to clarify what I am looking out for, I appreciate your help. Can you please let me know what are the various momentum (Statistical or Technical) indicator ?

 

[DailyStockSelect]

there answers on wikipedia to your questions dude!