Time series momentum is a trading strategy that involves buying assets that have exhibited upward price trends and selling those that have shown downward trends over a specific time period.
Interesting concept. Potential improvement would be including delisted stocks, and point in time macroeconomic data.
In addition, transaction cost could impact time series momentum that go long for all stocks with positive momentum could include many stocks. Perhaps using a cutoff (eg only long top N momentum stocks) can be a practical alternative?
Interesting concept. Potential improvement would be including delisted stocks, and point in time macroeconomic data.
In addition, transaction cost could impact time series momentum that go long for all stocks with positive momentum could include many stocks. Perhaps using a cutoff (eg only long top N momentum stocks) can be a practical alternative?
Going long all the stock would not be practical for smaller portfolios. Implementing a turnover control mechanism can make this strat more practical
https://harbourfrontquant.substack.com/p/does-trend-following-still-work-on
Thanks for the pointer Nam. Interesting paper 🙏🏻
Results are on back-tested period. There is no test or validation dataset.
yes, only IS data