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arXiv · 2101.01006

Design and analysis of momentum trading strategies

Richard J. Martin
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Abstract

We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformations of a normalised moving-average filter (EMA). We explain in detail why the skewness is generally positive and has a term structure. This paper is a synthesis of two papers published by the author in RISK in 2012, with some updates and comments.

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Richard J. Martin. 2021-01-04. Design and analysis of momentum trading strategies. https://arxiv.org/abs/2101.01006

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