q-fin & stat · Last 30 Days Feed
q-fin.PM2014-04-15
Absolute Momentum: A Simple Rule-Based Strategy and Theory
By Gary Antonacci
AI TL;DR Summary
"Absolute momentum reduces drawdowns and downside volatility by dynamically switching to cash when trend strength weakens."q-fin.ST2017-09-10
Market Timing with Moving Averages: Anatomy of a Trend-Following Strategy
By M. Zaremba, R. Umutlu
AI TL;DR Summary
"Simple moving average crossovers generate consistent alpha by exploiting market inertia and delayed institutional repricing."q-fin.ST2020-05-18
Statistical Mean Reversion and RSI Threshold Dynamics in Equity Indexes
By E. De Prado, A. Kumar
AI TL;DR Summary
"Buying short-term oversold dips within macro bull trends produces high win-rate trade entries."q-fin.PM2021-11-04
Volatility Targeting & Risk Parity Allocation in Multi-Asset Portfolios
By T. Boller, C. Harvey
AI TL;DR Summary
"Scaling position size inversely to market volatility cuts severe tail loss without sacrificing long-term returns."Page 1 of 1 — Total 0 papers in last 30 days