Strategy Performance

Introduction to an Advanced LTR Method

Overview Paper

Model Overview

Backtest Method for CSM Strategy

Enhancing the Ranking

Context Aware Model and Encodings

Transformer Architecture

Experiment Methodology

Introduction to a Century of Evidence

Types of Momentum Strategies

Methodology

Time Series Momentum

Performance Over a Century

Performance During Crisis Periods

Performance in Different Economic Environments

Introduction to Turning Points

Dynamic Speed Selection

Dynamic vs. Static Strategies

What Are Turning Points

Defining Slow and Fast

Slow and Fast Cycles

The Effect of Noise and Persistence (Signal)

The Model

Performance

Beta and Alpha Decomposition

Application to the Broader Universe

Conclusion

Introduction to Trending Fast and Slow

Theory

Inisghts on the speeds (window periods)

Approaches to Risk Management

Signal Construction

Momentum Under Different Regimes

Sources of Out-Performance

Introduction to Volatility Targeting

Key Concepts

Findings and Data Sets

Applying Volatility Targeting (Scaling)

Performance in Equities

Performance in Bonds and Other Asset Classes

Why Volatility Targeting Works

Introduction to Deep Momentum Networks

Insights on Momentum Strategies

Construction of Trading Signals

Loss Function and Architecture

The Data Used

Performance Evaluation

Introduction Deep Mom Networks with Change Point Detection

Momentum and Mean Reversion

Change Point Detection

Methodology

Results

Learning to build a LTR Strategy

Introduction to Learning to Rank in Trading

The Oxford MAN Institute

Cross Sectional Momentum (CSM) Strategies

Anatomy of a CSM Strategy

Score Calculation

What is Learning to Rank

How to do it in Finance

Performance Results

Results

Introduction to Favourable Market Conditions

Key Takeaways

Carry Strategy

Momentum Strategy

Value Strategy

Important - Valuable Insight! Signal Construction

Portfolio Construction