This dissertation first examines the performance of the conventional momentum strategy in the U.S. stock market over the period from January 1930 to December 2010. We can find, after the market collapses, the investment portfolio' s perfomance of the conventionalmomentum strategy faces a large drawdown risk. This is especially profound after the Dot-Com bubble in 2000 and the Credit Crash in 2008. We then propose two types of modifications to improve the conventional momentum strategy by using the residual analysis and the price-risk adjustment. To form the portfolios, the first modification is based on independently sorting the stocks according to their total returns and residual returns. The second is to adjust the price risk of the portfolios. These portfolios formed by the residual analysis or the price-risk adjustment perform better than the conventional momentum strategy.