Tag Archives: momentum
This article includes a review of the Momersion anomaly and stocks that exhibit high tendency of mean-reversion to the upside. For access to premium content, you must be a subscriber. Please login if you are already a subscriber or subscribe to … Continue reading
Why trading is hard and why mean-reversion has outperformed the golden cross signal in SPY in the last year and a half.
Before elevating trend-following and momentum in general to the status of a factor, this question must be answered: where do trend-following profits come from? Obviously, part of momentum literature ignores this important question. For access to premium content, you must … Continue reading
The performance of this strategy can serve as a benchmark for long-only equity strategy development.
How can one distinguish between someone who is actually playing with a backtesting program and a competent quant? There are a few warning signs.