Quantpedia Awards 2025: FSI Professor Andrea Barbon and his Team Secure 4th Place with Intraday Momentum Strategy

The 2025 Quantpedia Awards have recognized cutting-edge contributions to quantitative finance, and among the standout winners is the team of Zarattini, Aziz, and Professor Andrea Barbon from the FSI-HSG. Their paper, “Beat the Market: An Effective Intraday Momentum Strategy for S&P 500 ETF (SPY),” earned a well-deserved 4th place.

In contrast to traditional academic models that limit trades to the final half hour of the trading day, the team’s strategy captures early intraday momentum by identifying abnormal supply-demand imbalances. The model, inspired by real-world day trading techniques, employs dynamic trailing stops to cap downside risk while enabling asymmetrical upside potential.

Spanning 17 years from 2007 through early 2024, the strategy achieved a staggering 1,985% total return after costs, with an annualized return of 19.6% and a Sharpe Ratio of 1.33. Their comprehensive analysis also explored the strategy’s resilience across varying volatility regimes, its sensitivity to dealer gamma imbalance, and its interaction with technical and calendar-based trading effects.

With a strong empirical foundation and real-world applicability, this work exemplifies the blend of academic insight and trading acumen that the Quantpedia Awards aim to highlight. Congratulations to Professor Barbon and his co-authors for this outstanding achievement. Link to the paper