This is a summary of links featured on Quantocracy on Friday, 09/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean-Reversion in Trend-Following Performance Using a 120-day Lookback [CSS Analytics]In the last post we showed that trend-following tends to be mean-reverting in the short-term. Data analysis also shows that trend-following has an even stronger mean-reverting effect using a 6-month or 120-day window using the same methodology. Take a look at the chart below using the BarclayHedge SG Trend Index: In the last post I hypothesized that the mean-reversion effect exists because