A 23-page research paper reveals the number 1 method Hedge Funds use to beat the market:
Time Series Momentum
This is how: 🧵
1. What Is Time Series Momentum?
Time Series Momentum (TSMOM) bets on trends continuing. If a stock’s up, buy more; if down, sell. A 2011 study of 58 assets proved it works!
Time Series Momentum (TSMOM) bets on trends continuing. If a stock’s up, buy more; if down, sell. A 2011 study of 58 assets proved it works!
2. The Data Behind the Strategy
The TSMOM paper analyzed equities, currencies & more. T-stats showed consistent profits across 1-month lookbacks!
The TSMOM paper analyzed equities, currencies & more. T-stats showed consistent profits across 1-month lookbacks!
3. Coding TSMOM with Python
Code TSMOM in Python:
- Use yfinance to get data
- Then momentum = price[-1] / price[-20] - 1.
Positive? Buy
Negative? Sell
Code TSMOM in Python:
- Use yfinance to get data
- Then momentum = price[-1] / price[-20] - 1.
Positive? Buy
Negative? Sell
4. Real-World Performance
TSMOM outperforms passive investing.
We're using a modified version of TSMOM in our Hedge Fund.
One backtest shows 3500% return vs 450% S&P500.
TSMOM outperforms passive investing.
We're using a modified version of TSMOM in our Hedge Fund.
One backtest shows 3500% return vs 450% S&P500.
We are using TSMOM in our hedge fund.
And we'd like to share exactly how it works.
Want to see how we built our hedge fund in Python?
Then join us for our free training:
And we'd like to share exactly how it works.
Want to see how we built our hedge fund in Python?
Then join us for our free training:
🚨 FREE Python Algo Trading Workshop: Learn how we built our hedge fund
• QSConnect: Build your quant research database
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• Omega: Automate trade execution with Python
👉 Get the system: learn.quantscience.io/become-a-pro-q…
• QSConnect: Build your quant research database
• QSResearch: Research and run machine learning strategies
• Omega: Automate trade execution with Python
👉 Get the system: learn.quantscience.io/become-a-pro-q…
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P.S. - It took me 3 years to become confident in algorithmic trading.
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So I spent 100 hours and made a free course to help others.
Join my free Algo Trading with Python Course + Roadmap here: startalgorithmictrading.com/beginners-algo…
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