Optimal Intrinsic Momentum and SMA Intervals Across Asset Classes
January 17, 2024 - Momentum Investing, Technical Trading
What are optimal intrinsic/absolute/time series momentum (IM) and simple moving average (SMA) lookback intervals for different asset class proxies? To investigate, we use data for the following eight asset class exchange-traded funds (ETF), plus Cash: Invesco DB Commodity Index Tracking (DBC) iShares JPMorgan Emerging Markets Bond Fund (EMB) iShares MSCI EAFE Index (EFA) SPDR Gold… Keep Reading