Paper title: "Bias-free Trading Algorithms with Momentum Scores for the Vietnamese Stock Market"
Author: Đỗ Văn Trường, student ID 19522565, BCU2019
Consultant: Dr. Lương Ngọc Hoàng.
Summary of the paper:
The paper aims to evaluate the profitability of the Momentum Score trading strategy in the Vietnamese stock market. Simultaneously, it compares its performance with the VN100 Index and addresses potential survivorship bias effects. The results show that the Momentum Score trading strategy has delivered impressive outcomes, with a cumulative return of 498.90%, nearly 5 times higher than the 95.97% return of the VN100 Index from February 2015 to June 2023. Additionally, when assessing returns against the maximum drawdown, the Momentum Score strategy outperforms the VN100 Index by approximately 9.7 times. The robust profitability of the Momentum Score is noteworthy, considering both strategies follow the same trading rules. However, the study highlights the significant influence of survivorship bias on strategy outcomes, emphasizing the need to account for this bias in performance evaluations.
The author expresses gratitude to Dr. Lương Ngọc Hoàng for dedicated guidance and pointing out limitations during the research and publication of this international scientific paper.
The SOICT (School of Information and Communication Technology) journal is a monthly scientific and technological publication by Hanoi University of Science and Technology. Focused on research and works in the field of information technology and communication, SOICT serves as a reliable source of information on new advances in the field, providing guidance and advice for learners and professionals in the industry.
SOICT publishes high-quality scientific papers and research from leading experts worldwide, covering topics such as artificial intelligence, machine learning, computer networks, communications, and applications of information technology in fields like health, business, and society.
The journal serves as a platform for researchers, professors, and students to share their research results, creating an open forum for exchanging ideas, feedback, and fostering collaborative links in the information technology and communication research community.
SOICT is not only a valuable educational resource but also a bridge between the research community and the industry, facilitating technology transfer and promoting sustainable development in the information technology and communication industry in Vietnam and globally.
Further information: https://www.facebook.com/UIT.Fanpage/posts/pfbid0xGtdeCutS9hUpjouSTaxWq9DBQ19HYUqcPGsuVrPVYv22uabitbAxEUA1WagoZYjl
Written by: Hai Bang
Translated by: Ngoc Diem
