Momentum Trend: no stop loss case

Momentum Trend

We review here the impact of momentum trend following on a variety of assets daily time series. For each asset, we show the strategy implemented either as follow:

• long only (no position during short signal)
• short only (no position during long signal)
• sma trend (always take long or short position, trusting both long and short signal))

Signal is long if return for holding the asset between 200 past days and 20 days ago is positive, short if negative.

We give here the top sharpe strategy table.

crypto

Trend following for Bitcoin (yahoo ticker: BTC-USD):

Trend following for Bnb (yahoo ticker: BNB-USD):

Trend following for Ethereum (yahoo ticker: ETH-USD):

Trend following for Matic (yahoo ticker: MATIC-USD):

Trend following for Polkadot (yahoo ticker: DOT-USD):

Trend following for Solana (yahoo ticker: SOL-USD):

energy

Trend following for Crude (yahoo ticker: CL=F):

Trend following for NatGas (yahoo ticker: NG=F):

equity

Trend following for Nasdaq (yahoo ticker: NQ=F):

Trend following for SP500 (yahoo ticker: ES=F):

fx

Trend following for Aussie (yahoo ticker: AUDUSD=X):

Trend following for CAD (yahoo ticker: CAD=X):

Trend following for Euro (yahoo ticker: EURUSD=X):

Trend following for MXPeso (yahoo ticker: MXN=X):

Trend following for Sterling (yahoo ticker: GBPUSD=X):

Trend following for Swiss (yahoo ticker: CHF=X):

Trend following for Yen (yahoo ticker: JPY=X):

metal

Trend following for Copper (yahoo ticker: HG=F):

Trend following for Gold (yahoo ticker: GC=F):

Trend following for Platinum (yahoo ticker: PL=F):

Trend following for Silver (yahoo ticker: SI=F):

rate

Trend following for 10YNote (yahoo ticker: ZN=F):

Trend following for 2YNote (yahoo ticker: ZT=F):

Trend following for 30YTreas (yahoo ticker: ZQ=F):

Trend following for 5YTreas (yahoo ticker: ZF=F):

Trend following for TBond (yahoo ticker: ZB=F):

soft

Trend following for ChicagoWheat (yahoo ticker: ZW=F):

Trend following for Cocoa (yahoo ticker: CC=F):

Trend following for Coffee (yahoo ticker: KC=F):

Trend following for Corn (yahoo ticker: ZC=F):

Trend following for Hoggs (yahoo ticker: HE=F):

Trend following for KCWheat (yahoo ticker: KE=F):

Trend following for LCattle (yahoo ticker: LE=F):

Trend following for RLLumber (yahoo ticker: LBS=F):

Trend following for Soybean (yahoo ticker: ZS=F):

Trend following for Sugar (yahoo ticker: SB=F):