On the Returns of Trend-Following Trading Strategies
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More about this item
KeywordsBootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S&P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency;
All these keywords.
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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