#trading strategies

Part I and Part II of our trend-following series illustrated the value of diversification and how it can be used to reduce portfolio drawdowns. The challenge is finding uncorrelated instruments as an Indian-domiciled trader. Irrespective of how you slice it, Indian equity indices are correlated to each other, we only have a handful of commodity […]

A problem while using a single instrument for trend-following is that it tends to go through multiple years of flat returns after a drawdown.

The simplest construction of a trend-following strategy is to take the moving average of closing prices over a certain period of time and…

What is a Streak? It is an uninterrupted set of up or down moves. Can you base your trades on streaks?

The paper Da, Zhi and Zhang, Xiao, Same-Weekday Momentum (SSRN) first came out on March 14, 2024 and has raked up quite a bit of interest since then. The authors present an effect where if you formed momentum portfolios by weekday, you end up with better returns than traditional momentum.  For example, to build Monday’s […]