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Momentum strategy construction
Posted: Fri Oct 12, 2018 6:58 am
by Janus
Dearest mr tools, one way of improving the performance of the momentum strategy which is normally constrained to either be long or short, might be to focus on a model that can output a signal of 'no position' in times of sideways trend/high volatility. Can you think of a indicator like a directional volatility that is not lagging or something similar?
Re: Momentum strategy construction
Posted: Fri Oct 12, 2018 8:03 am
by mrtools
Janus wrote: Fri Oct 12, 2018 6:58 am
Dearest mr tools, one way of improving the performance of the momentum strategy which is normally constrained to either be long or short, might be to focus on a model that can output a signal of 'no position' in times of sideways trend/high volatility. Can you think of a indicator like a directional volatility that is not lagging or something similar?
Maybe some sort of standard deviation type indicator.
Re: Momentum strategy construction
Posted: Sat Oct 13, 2018 6:23 am
by Janus
mrtools wrote: Fri Oct 12, 2018 8:03 am
Maybe some sort of standard deviation type indicator.
Can you please give an example?
Re: Momentum strategy construction
Posted: Fri Sep 04, 2020 3:00 pm
by Darks
Janus wrote: Sat Oct 13, 2018 6:23 am
Can you please give an example?
Something like this. Maybe
Re: Momentum strategy construction
Posted: Thu Sep 10, 2020 10:40 pm
by YeshuaYoke
mrtools wrote: Fri Oct 12, 2018 8:03 am
Maybe some sort of standard deviation type indicator.
there you go