Refining and Robust Backtesting of A Century of Profitable Industry Trends
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866910756828610560 |
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| author | Massaad, Alessandro Moawad, Rene Fares, Oumaima Nijad Vairungroj, Sahaphon |
| author_facet | Massaad, Alessandro Moawad, Rene Fares, Oumaima Nijad Vairungroj, Sahaphon |
| contents | We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the results outperformed benchmarks, practical implementation raises concerns about robustness and evolving market conditions. This study explores modifications addressing reliance on T-bills, alternative fallback allocations, and industry exclusions. Despite attempts to enhance adaptability through momentum signals, parameter optimization, and Walk-Forward Analysis, results reveal persistent challenges. The results highlight challenges in adapting historical strategies to modern markets and offer insights for future trend-following frameworks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_14361 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Refining and Robust Backtesting of A Century of Profitable Industry Trends Massaad, Alessandro Moawad, Rene Fares, Oumaima Nijad Vairungroj, Sahaphon Portfolio Management Trading and Market Microstructure We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the results outperformed benchmarks, practical implementation raises concerns about robustness and evolving market conditions. This study explores modifications addressing reliance on T-bills, alternative fallback allocations, and industry exclusions. Despite attempts to enhance adaptability through momentum signals, parameter optimization, and Walk-Forward Analysis, results reveal persistent challenges. The results highlight challenges in adapting historical strategies to modern markets and offer insights for future trend-following frameworks. |
| title | Refining and Robust Backtesting of A Century of Profitable Industry Trends |
| topic | Portfolio Management Trading and Market Microstructure |
| url | https://arxiv.org/abs/2412.14361 |