3 ms·
There's no overfitting in the traditional/model sense here. This is a pretty rudimentary momentum strategy (long best performers). Implementing this on any kind
by dmillar 5y ago
There's no overfitting in the traditional/model sense here. This is a pretty rudimentary momentum strategy (long best performers). Implementing this on any kind of scale would be expensive to trade since it rebalance's daily.
For momentum, Jegadeesh-Titman paper is much of the foundation for these types of strategies, if you're interested. But as others have pointed out, the "smart money" saturated this trade decades ago.
- Exuma 5y agoInteresting... what do you mean by this bit? > Implementing this on any kind of scale would be expensive to trade since it rebalance's daily.