Sensitivities of U.S. Stock Market Trend Following Rules
May 8, 2014 - Momentum Investing, Technical Trading
How sensitive in a recent sample are outcomes from simple trend following rules to the length of the measurement interval used to detect a trend. To investigate, we consider two simple types of trend following rules as applied to the U.S. market: Hold a risky asset when its price is above its x-month simple moving average (SMAx) and… Keep Reading