What are the good ways to make simple momentum strategies dynamic?

Discussion in 'Strategy Building' started by mizhael, Jan 11, 2012.

  1. Hi all,

    In literature, I often read papers claiming there are alphas in simple momentum strategies, for example, look back for 250 days and compute the 250-day-returns and then follow the momentum ...

    The problem is that for publishing papers it's okay to use results from such static/data-mined/over-fitted numbers: eg. 250.

    For real-trading, this parameter needs to be dynamic ...

    So I wanted to consult with your expertise: what are the good ways to make a momentum strategy dynamic?

    Could you please shed some lights on this?

    Thanks a lot!

    [@Rodney King: please don't be mean in life ... Thx]
     
  2. kut2k2

    kut2k2

    CFB
     
  3. hkrahra

    hkrahra

    ---x---

    What is it children?

    Cross_______?

    Right!Sit down.Good boy!