Net Performance of SMA and Intrinsic Momentum Timing Strategies
April 23, 2014 - Bonds, Momentum Investing, Technical Trading
Does stock market timing based on simple moving average (SMA) and time-series (intrinsic or absolute) momentum strategies really work? In the November 2013 version of his paper entitled “The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules”, Valeriy Zakamulin tests realistic long-only implementations of these strategies with estimated trading frictions. The… Keep Reading