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.
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.
The Dow Jones Industrial Average has stayed overbought for 21 days, which is the longest period this technical condition has persisted in 31 years. As the analysis below shows, the index has moved higher in the following 60 days with … Continue reading