Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?

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• 作者：Subrata Kumar Mitra^a ; ^{mitrask@gmail.com} ; Jaslene Bawa^a ; M. Kannadhasan^a ; Vinay Goyal^a ; Manojit Chattopadhyay^b
• 关键词：Anomaly ; Range to standard deviation ratio ; Momentum trading strategy ; Returns persistence
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：269-273
• 全文大小：581 K
• 卷排序：20

文摘

Used range to standard deviation ratio to measure trend persistence. Trend persistence measured on a rolling window for 30 stock index series. Range to standard deviation ratio based filter improve returns of a trading strategy.