Post #4932 by mungofitch on the Mechanical Investing board

Investment Strategies / Mechanical Investing

Unthreaded | Threaded | Whole Thread (7)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 8

I would call it a shift in WWL...

As an aside, I once had a look at the recent relative performance of 13- and 26-week momentum strategies to look at persistence...depending on which one worked better recently, what did it say about which one was likely to work better next?

Rather to my surprise, whichever one did better in the last month is not very predictive of which one of them will do well in the next month, but it is surprisingly predictive of which way the market will go in the next month.

The effect wasn't strong enough to bet everything on it, but it seemed very much stronger than randomness would suggest. Maybe a good input for an "ensemble" timing model.

Jim

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (7)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for Shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.