Tag Archives: trend following
Below are performance results for our Premium Signals and Mean-Reversion strategies.
It is an empirical fact that trends develop in financial price series. But it is also an empirical fact that in recent years profiting from trends has not been easy. People with skin-in-the-game know that trends and trend-following are not … Continue reading
CTAs have been unable to profit this year according to official sources, adding to a long streak of disappointing returns in recent years. This is despite some notable downtrends in bonds, gold, commodities and currencies this year. Based on statistical … Continue reading
The popular rule “the trend is your friend” worked well in the past but during this year it has been challenged by erratic price action and swings. This could be a temporary phenomenon and momentum traders are not ready to … Continue reading
Absolute price series momentum woes in the equity markets continue this year. Only one of the four models considered shows positive performance in SPY.
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.