Truong Do
ABSTRACT
This paper aims to assess the profitability of the Momentum Score trading strategy when applied to the Vietnamese stock market, while concurrently comparing its performance against the VN100 Index and addressing the potential effects of survivorship bias. Our findings reveal that the Momentum Score trading strategy has yielded impressive results, exhibiting a cumulative return of 498.90%, which is nearly 5 times greater than the 95.97% return achieved by the VN100 Index over the same period from February 2015 to June 2023. Moreover, when evaluating returns against the maximum drawdown, the Momentum Score strategy outperforms the VN100 Index by approximately 9.7 times. The robustness of the Momentum Score’s profitability is particularly noteworthy given that both strategies adhere to the same trading rules. However, the examination of these results also underscores the considerable influence of survivorship bias on strategy outcomes, emphasizing the importance of accounting for this bias in performance evaluations.
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Index Terms
- Bias-free Trading Algorithms with Momentum Scores for the Vietnamese Stock Market
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