* My recent projects convey included developing ameliorate measures of cost momentum together with volatility. With honour to momentum, I am working on a stair out that cuts across multiple fourth dimension frames together with that measures momentum inward vol-adjusted terms. With honour to volatility, I’m working on a stair out that cuts across realized together with implied vol. Above is a fast stair out of multiperiod momentum that has tended to happen together with bottom ahead of cost during intermediate marketplace cycles. Instead of using backtests to predict (and trade) forrad cost movement, I purpose the tests equally gauges for the average expectable crusade from whatever given configuration of momentum together with volatility. That provides a useful framework for determining whether the electrical flow market, going forward, is behaving stronger or weaker than average. Sustainable trends, early on inward their life, perform stronger than average. So far the electrical flow marketplace is behaving weaker than average.
* Worthwhile perspectives on bond cost forcefulness (falling yields) together with to a greater extent than from predict amount twelvemonth returns?
* returns from trading absolute momentum.
* Peter Pham’s The Big Trade podcast features a wide make of global marketplace views from Vitaliy Katsenelson. See equally good a wide make of featured podcasts linked past times Abnormal Returns.
Have a corking get-go to the week!