Which Trend is your Friend?

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Abstrakt

Managed futures funds and commodity trading advisers (CTAs) use heuristics or statistical measures often called “filters” to trade on price trends. Two key statistical measures of trends are “time-series momentum” and “moving-average crossovers.” We show, empirically and theoretically, that these trend indicators are closely related. In fact, they are equivalent representations in their most general forms. They also capture many other types of filters, such as the Hodrick–Prescott (HP) filter, the Kalman filter, and all other linear filters. We show how these filters can be represented through “trend signature plots,” demonstrating their dependence on past prices and returns by horizon.
OriginalsprogEngelsk
TidsskriftFinancial Analysts Journal
Vol/bind72
Udgave nummer3
Sider (fra-til)51-66
Antal sider16
ISSN0015-198X
DOI
StatusUdgivet - 2016

Emneord

  • Commercial statistics
  • Marketing
  • Gross domestic product
  • Commodity trading advisors
  • Heuristic algorithms

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