medium to long term trading strategies

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An Anatomy of Trading Strategies

The Review of Financial Studies

Published By: Oxford University Crush

The Review of Financial Studies

https://www. jstor .org/stable/2646008

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Abstract

In this clause we use a single unifying framework to study the sources of winnings to a wide spectrum of return-supported trading strategies enforced in the lit. We show that less than 50% of the 120 strategies implemented in the clause yield statistically world-shattering profits and, unconditionally, momentum and contrarian strategies are as likely to be successful. Still, when we train on the return horizon (clipped, culture medium, or long) of the strategy, or the time period during which it is enforced, two patterns come out. A momentum strategy is usually profitable at the medium (3- to 12-month) horizon, while a contrarian scheme nets statistically significant profits at long horizons, but only during the 1926-1947 subperiod. More importantly, our results testify that the cross-sectional variant in the mean returns of individualist securities enclosed in these strategies plays an important role in their profitability. The thwartwise-sectional variation can potentially account for the profitableness of momentum strategies and information technology is also responsible for attenuating the profits from price reversals to long-horizon contrarian strategies.

Diary Entropy

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