Re-evaluating Short- and Long-Term Trend Factors in CTA Replication: A Bayesian Graphical Approach
Eric Benhamou and Jean-Jacques Ohana and Alban Etienne and Béatrice Guez and Ethan Setrouk and Thomas Jacquot
商品交易顾问(CTA)历来依赖于趋势遵循的规则,这些规则在从长期突破截然不同的视野中运作,这些突破捕捉了在快速移动市场中蓬勃发展的短期动力信号的主要方向性移动。 尽管在趋势方面进行了大量工作,但短期长期趋势系统的相对优点和相互作用仍然存在争议。 本文通过(i)动态分解CTA回归为短期趋势,长期趋势和市场测试因素,使用贝叶斯图形模型,以及(ii)显示视野的混合如何塑造策略的风险调整性能。
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in fast-moving markets. Despite a large body of work on trend following, the relative merits and interactions of short-versus long-term trend systems remain controversial. This paper adds to the debate by (i) dynamically decomposing CTA returns into short-term trend, l...
