Non-linear momentum strategies

Non-linear momentum strategies


Trend-following or momentum strategies have the attractive property of generating trading returns with a positively skewed statistical distribution. Consequently, they tend to hold on to their profits and are unlikely to have severe ‘drawdowns’. They are very scalable and are employed in most asset classes – most traditionally in futures, but also in over-the-counter markets – and by both buy- and sell-side practitioners. Studies on the subject have generally been empirical (for a good overview,

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