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- 8/11/16
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I'm looking at the following paper:
Trend-following and Momentum Strategies in Futures Markets (
A KINDYNOS -N IKOLAOS B ALTAS†AND R OBERT K OSOWSKI‡
December 10, 2011)
1. Read paper (attached to this project).
2. I'm going to use RV since calculating this off intraday data is not going to very expensive.
3. Implement python function signals for five different momentum strategies:
SMT:the t-statistic of a statistically meaningful time trend by Bryhn and Dimberg (2011)
equation 30 in the paper.
4. Help with understanding the section "Time-Series Momentum Strategies". In essence how do you build a trading strategy from the SMT signal defined and how is the RV volatility estimator used in sizing the position.
Anyone interested on this forum in helping me with implementing this strategy. I have clean intraday data on a large number of instruments and would like to test it's effectiveness. Please contact me at webuser1200@gmail.com
Trend-following and Momentum Strategies in Futures Markets (
A KINDYNOS -N IKOLAOS B ALTAS†AND R OBERT K OSOWSKI‡
December 10, 2011)
1. Read paper (attached to this project).
2. I'm going to use RV since calculating this off intraday data is not going to very expensive.
3. Implement python function signals for five different momentum strategies:
SMT:the t-statistic of a statistically meaningful time trend by Bryhn and Dimberg (2011)
equation 30 in the paper.
4. Help with understanding the section "Time-Series Momentum Strategies". In essence how do you build a trading strategy from the SMT signal defined and how is the RV volatility estimator used in sizing the position.
Anyone interested on this forum in helping me with implementing this strategy. I have clean intraday data on a large number of instruments and would like to test it's effectiveness. Please contact me at webuser1200@gmail.com
