Momentum Signal Research overview

Discovers and validates momentum and mean-reversion signals from tick-level and bar-level market data — constructing candidate signal features from price, volume, and order-book imbalance data, performing single-sort portfolio analysis to assess monotonicity and decay profiles, testing signal orthogonality against known factors, running turnover and transaction cost analysis, and validating out-of-sample predictive power with proper temporal cross-validation. Produces signal research reports with information coefficients, decay curves, and capacity estimates. Excludes portfolio construction and execution algorithm design.