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!
2. The Data Behind the Strategy 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
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.
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:
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@quantscience_ 2012....
@quantscience_ Lmaoooooo
@quantscience_ is it dollar cost average the sp500?
@quantscience_ Stupid… its called a boom-bust economy for a reason. These people will get smashed in the markets. They will bet the most money before the biggest losses.
Normally I would never say that there is just "one weird trick" that you need to master to understand China, but after reading the new book *The Highest Exam* I think I might nominate the exam system (gaokao) as the key that unlocks a lot of how Chines society works.
The trading floor at the new Jane Street headquarters looks insane 🔥
Forecasting, (free link in comments) .
Bro who's the Jensen of HVAC?