This is a summary of links featured on Quantocracy on Tuesday, 05/31/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trending Fast and Slow [Allocate Smartly]This is a test of a tactical strategy from the paper Trending Fast and Slow. It trades the S&P 500 by switching between fast and slow momentum based on market volatility. The strategy would have kept pace with the S&P 500, while significantly reducing the worst drawdowns. Backtested results from 1954 follow. Results are net of transaction costs see backtest assumptions. Learn about