Momentum Explained and Implemented With Real Data in python

Momentum shouldn’t work. But it does. In this video, we break down one of the most persistent anomalies in financial markets — momentum — and test it properly using real data. We don’t just explain the theory. We build a full backtest using actual S&P 500 constituents, apply the classic 12–1 momentum definition from academic literature, and analyze what this strategy really looks like in practice. From ranking stocks and constructing portfolios to evaluating returns, drawdowns, and turnover — this is a full, institutional-style breakdown of momentum as it’s actually implemented. If you’ve ever heard that “buying winners and selling losers” works, this video shows you why — and more importantly, what it really costs to run. If you think in portfolios — not just signals — this changes how you see markets. Subscribe for more institutional-grade breakdowns on quantitative investing, portfolio construction, and real-world finance. Code&Kapital codeandkapital.com Timestamps: 00:00 - Introduction 00:55 - The Core Idea Behind Momentum 02:53 - How to Calculate Momentum (12–1) 08:11 - Building the Strategy (S&P 500) 10:40 - Using the Signal 14:30 - Final Takeaways