A couple of things I found interesting in this document, speaking as someone working in quantitative trading over 35 years later - 1. Baum and Simons started b

A couple of things I found interesting in this document, speaking as someone working in quantitative trading over 35 years later - 1. Baum and Simons started by using a momentum strategy to trade currencies, years before this was commonly done (it had been used to trade commodities for decades, but was only later applied to financial assets) 2. As well as momentum, they used a rudimentary value strategy ("a variety of line trading in which you sell or buy a currency according to whether it is to far above or below its line" and "I try to buy cheap and sell expensive") 3. At least according to this document, they don't seem to have engaged in carry trading (taking advantage of interest differentials in different currencies) 4. They at least considered the impact of macroeconomic variables, albeit in a somewhat ad-hoc and non-systematic way. Despite starting out with a momentum strategy, Baum didn't seem to subscribe to the most common paraphrase of momentum trading, which is to "cut your losses short and let your winners run on", as evidenced by his statements that "I will hold positions both losing and winning for a very long time" and "I hate to sell in a falling market" and "I am courageous in losing positions holding on and sometimes enlarging them". I would characterize him as more of a value trader than a momentum trader. It was only realized decades later (in the 1990s and early 2000s) that value and momentum strategies were particularly powerful in combination, and this only became part of the academic record in 2013 or so.