Category Archives: Trend following

Year-To- Date SPY Absolute Price Series Momentum Performance

Absolute price series momentum woes in the equity markets continue this year. Only one of the four models considered shows positive performance in SPY.

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CTA Woes Continue in 2016

Top 50 CTA performance results for the first four months of this year are estimated to be negative by BarclayHedge, after positive returns in the first two months. If this year’s performance is negative, it will be the fifth yearly … Continue reading

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The Power Of Trend-Following Adaptation

Since the start of 2015, the standard long/short 50/200 moving average crossover system has suffered a 26% loss in SPY at about 30% maximum drawdown. The adaptive variant of this system is down only 3.6% at 12% maximum drawdown. Since … Continue reading

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Take Market Timing Model Research With A Grain Of Salt

Taking market timing model research with a grain of salt applies to both academic and practitioner domains. In addition to data-snooping and selection bias, there may be other subtle issues with reported results. For example, a recent paper claims there … Continue reading

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A Potential Shock To Financial Literature And Momentum

This could be a real shock to financial literature related to the performance of moving average rules. A new paper claims that there is look-ahead bias in published results that are being extensively used as evidence of the high performance … Continue reading

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Price Series Momentum Woes Persist

In an article last October I included results for year-to-date performance of four popular price series momentum strategies trading SPY.  Since then, performance has gotten a lot worse as the updated results show.

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The Transition From Strategic To Tactical Asset Allocation

Most investors neglect forecasting (timing) methods because of the theoretical and practical difficulties that are associated with the transition from strategic to tactical asset allocation. If a transition is decided, assigning the task to a registered adviser with experience in … Continue reading

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