Join waitlist
The books... not free though
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticsMarket statistics and edges1,327StrategiesBacktested strategy library18Research papersThe study behind the algos301DocsProBuilder coding reference27Algo development programCourses and lessons24Everything here feeds the 24 algosSee the algos

Stats › Tradeable patterns › Time series momentum

Time series momentum is significant pooled, insignificant asset by asset, and mostly volatility scaling

1 month hold: 6.61+6.611 monthhold12 month hold: 2.85+2.8512 monthhold24 month hold: 1.68+1.6824 monthhold36 month hold: 0.66+0.6636 monthhold48 month hold: 0.46+0.4648 monthhold

t statistics for a twelve month look-back time series momentum strategy by holding period, from the original study, 58 futures and forwards, January 1985 to December 2009. The effect is confined to holding periods of about a year or less, which the authors state directly. All figures are gross; the paper models no transaction costs anywhere.

The original study found all 58 futures contracts positive and 52 significant. A replication finds only three of 55 significant asset by asset, 17 slope coefficients negative, and the pooled t statistic falling from 4.34 to 1.68 when volatility scaling is removed.

52 of 58Contracts with significantly positive returns in the original study
3 of 55Contracts significant at the 5% level in the replication
4.34Pooled t statistic with volatility scaling
1.68The same without volatility scaling

Members only

The rest of this page is for members

Below this point there are 5 sections and 4 named sources, roughly 750 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.