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Learning From Gary Antonacci's "Risk Premia Harvesting Through Dual Momentum"

Both Absolute and Relative Momentum can enhance returns and Absolute Momentum reduces volatility and drawdown more. Combining Absolute and Relative Momentum gives the best risk-adjusted returns.

01 March, 2013 / 0 Comments

Quantitative Trading Systems

19 February, 2013 / 0 Comments

Professional Automated Trading

19 January, 2013 / 0 Comments

Learning From ISAM's "The Fallacy of Trend-Following Trend-Following"

Trend following portfolio's returns are mean-reverting.

01 January, 2013 / 0 Comments

Modeling Trading System Performance

19 December, 2012 / 0 Comments

Micro-Trend Trading for Daily Income

18 November, 2012 / 0 Comments

Mean Reversion Trading Systems

19 October, 2012 / 0 Comments

Learning From AQR's "A Century of Evidence on Trend-Following Investing"

For more than 80 years since 1903, Absolute Momentum strategy has delivered consistent and positive returns with low correlation to traditional asset classes each decade.

01 October, 2012 / 0 Comments

The Information

19 September, 2012 / 0 Comments

Factor Investing

05 August, 2012 / 0 Comments