Category: Craftsmanship (Page 4 of 6)
Long/flat trend-following strategies look like call options with uncertainty. Combining multiple trend models can reduce this uncertainty in the payout.
We demonstrate how simple differences in dual momentum implementations can lead to annual performance differences up to thousands of basis points.
Simplicity can be surprisingly robust, but too much simplicity can be surprisingly fragile. We explore the limits of simplicity in trend equity strategies.
We explore how mixed-integer linear programming can be applied in portfolio trade optimization, potentially helping reduce real-world implementation costs.
How Much Accuracy Is Enough?
By Nathan Faber
On March 4, 2019