#trading strategies

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 […]