What are the good ways to make simple momentum strategies dynamic?

M

mizhael

Hi all,

In literature, I often read papers claiming there are alphas in simple momentum strategies, for example, look back for 250 days and compute the 250-day-returns and then follow the momentum ...

The problem is that for publishing papers it's okay to use results from such static/data-mined/over-fitted numbers: eg. 250.

For real-trading, this parameter needs to be dynamic ...

So I wanted to consult with your expertise: what are the good ways to make a momentum strategy dynamic?

Could you please shed some lights on this?

Thanks a lot!

[@Rodney King: please don't be mean in life ... Thx]
 
Quote from mizhael:

Hi all,

In literature, I often read papers claiming there are alphas in simple momentum strategies, for example, look back for 250 days and compute the 250-day-returns and then follow the momentum ...

The problem is that for publishing papers it's okay to use results from such static/data-mined/over-fitted numbers: eg. 250.

For real-trading, this parameter needs to be dynamic ...

So I wanted to consult with your expertise: what are the good ways to make a momentum strategy dynamic?

Could you please shed some lights on this?

Thanks a lot!
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