This is a summary of links featured on Quantocracy on Monday, 12/19/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Zakamulin’s Optimal Trend Following [Allocate Smartly]This is a test of a novel trend-following strategy from the paper Optimal Trend Following Rules in Two-State Regime-Switching Models by Valeriy Zakamulin and Javier Giner. These results arent as eye catching as many we track, but the paper contributes some important ideas to the study of tactical asset allocation. Results trading the S&P 500 from 1956 follow, compared to two popular