根据市场波动在动量与反转之间切换

登录后收藏

学术论文

动量、市场波动与反转

作者Hilal Anwar Butt; James W. Kolari; Mohsin Sadaqat

机构
  • Institute of Business Administration Karachi
  • University of Karachi
  • University of Karachi - Institute of Business Administration (IBA), Karachi
  • Texas A&M University
  • Texas A&M University - Department of Finance
  • Institute of Business Administration, Karachi

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.