In this post we’re going to continue our work with the Consistent Momentum strategy that we explored here. Initial investigation of the strategy (kindly provided by the good folk at Quantpedia) proved to be relatively good, with a CAGR of +19% and a single losing year through the test period. …
Category: Algorithmic Trading
In my last post we explored a momentum strategy applied to the USA markets that was provided to us from the good guys over at www.quantpedia.com. One of my readers set about quantifying the same strategy on the JSE and shared their results with me. With permission and thanks, I pass …
It’s been some time since I last posted so what better way to start than by quantifying and exploring a momentum strategy that was first introduced to me by the good guys at Quantpedia (www.quantpedia.com). If you haven’t heard of this site before, then I encourage you to check it …
Human beings – An Emotional Bunch! We know that human beings are not always rational when making investment decisions. Have you ever overpaid for something in the heat of the moment? What happened? Well, it’s likely that your decision to purchase was driven by emotion rather than rational reasons. I’ve …