Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866912185788137472 |
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| author | Li, Linze Ferreira, William |
| author_facet | Li, Linze Ferreira, William |
| contents | We present a systematic, trend-following strategy, applied to commodity futures markets, that combines univariate trend indicators with cross-sectional trend indicators that capture so-called {\em momentum spillover}, which can occur when there is a lead-lag relationship between the trending behaviour of different markets. Our strategy utilises two methods for detecting lead-lag relationships, with a method for computing {\em network momentum}, to produce a novel trend-following indicator. We use our new trend indicator to construct a portfolio whose performance we compare to a baseline model which uses only univariate indicators, and demonstrate statistically significant improvements in Sharpe ratio, skewness of returns, and downside performance, using synthetic bootstrapped data samples taken from time-series of actual prices. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_07135 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum Li, Linze Ferreira, William Trading and Market Microstructure Mathematical Finance We present a systematic, trend-following strategy, applied to commodity futures markets, that combines univariate trend indicators with cross-sectional trend indicators that capture so-called {\em momentum spillover}, which can occur when there is a lead-lag relationship between the trending behaviour of different markets. Our strategy utilises two methods for detecting lead-lag relationships, with a method for computing {\em network momentum}, to produce a novel trend-following indicator. We use our new trend indicator to construct a portfolio whose performance we compare to a baseline model which uses only univariate indicators, and demonstrate statistically significant improvements in Sharpe ratio, skewness of returns, and downside performance, using synthetic bootstrapped data samples taken from time-series of actual prices. |
| title | Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum |
| topic | Trading and Market Microstructure Mathematical Finance |
| url | https://arxiv.org/abs/2501.07135 |