Essays about: "trend-following"

Showing result 1 - 5 of 10 essays containing the word trend-following.

  1. 1. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Oskar Fransson; [2023]
    Keywords : Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Abstract : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. READ MORE

  3. 2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach

    University essay from Uppsala universitet/Datalogi

    Author : Rebecca Fällström; [2023]
    Keywords : Commodity trading advisors; CTA; trend-following; momentum strategies; risk parity; equally weighted; Markowitz weights; optimization;

    Abstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE

  4. 3. Viability Evaluation of the Turtle Trading Rules on Major Market Indexes

    University essay from KTH/Matematik (Avd.)

    Author : Malkolm Larsson; Johan Lövgren; [2022]
    Keywords : The Turtle Trading Rules; Asset Management; Geometric Brownian Motion; Market Index; MSCI Index; Turtle Trading-reglerna; kapitalförvaltning; geometrisk brownsk rörelse; marknadsindex; MSCI-index;

    Abstract : The Turtle Trading Rules was a successful trend-following trading strategy for commodities in the 1980s but has lost recognition in recent days. The strategy revolved around rules for entering and exiting trades as well as position sizing for each trade. READ MORE

  5. 4. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

    University essay from Lunds universitet/Matematisk statistik

    Author : Martin Odenbrand; Sebastian Svensson Bromert; [2019]
    Keywords : Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

    Abstract : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. READ MORE

  6. 5. Alternative Methods of Estimating Investor´s Risk Appetite

    University essay from KTH/Matematisk statistik

    Author : Felix Kuritzén; [2019]
    Keywords : Risk appetite; Riskaptit;

    Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE