Currency Momentum Factor: Making Money Move

The currency momentum factor is a widely observed feature that many exchange rates trend on a multi-year basis. The momentum factor exists across asset classes, including equities and bonds, and it is a widespread phenomenon that has been researched well by many academicians, statisticians, and experts. While the momentum strategy in equity and bond markets …

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Post Earnings Announcement Drift (PEAD)

Post Earnings Announcement Drift (PEAD) is the tendency of a stock’s abnormal returns to move towards the direction of an earnings surprise for nearly 60 days after the earnings announcement. PEAD is also known as the SUE effect or standardized unexpected earnings. SUE is the difference between actual and expected earnings, measured by the standard …

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Trend Following: A Definitive Guide

Trend following or trend trading is a systematic trading style that attempts to profit from trends in the market. Trend following buys when an asset’s price rises and goes short when an asset’s price falls. Trend following is ideal for those who prefer a systematic diversified approach to trading. This post will review the theory …

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Sector Momentum: Explained & Backtested

Sector momentum is a sector rotation strategy to boost performance by ranking sectors according to their momentum, buying top performers, and selling laggards. In this post, I describe sector momentum and why it works and backtest an algorithmic sector rotational strategy in Backtrader. The goal is not to provide an exhaustive, statistically significant analysis of …

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