A comparative study of the MACD-base trading strategies: evidence from the US stock market
Chio (2022) studies momentum and trend following in equities. The abstract mentions a Sharpe ratio, profits, drawdowns and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Then, I apply these strategies to stocks listed on three indices in the US stock market (i.e., Dow-Jones, Nasdaq, and S&P 500) and evaluate its performance in terms of win rate, profitability, Sharpe ratio, number of trades and maximum drawdown.”
AssetEquitiesindices
StrategyMomentum
GeographyUS
FrequencyDaily
Also stated: Sharpe ratio, Profit, Drawdown, Price and volume, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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