Avoiding Momentum Crashes: Dynamic Momentum and Contrarian Trading
A 2017 paper by Dobrynskaya on momentum and trend following in equities: the abstract mentions a Sharpe ratio and alpha and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“The dynamic momentum strategy turns all major momentum crashes into gains and yields average return, which is about 1.5 times as high as the standard momentum return.”
AssetEquities
StrategyMomentumshort-term reversal
ClaimSharpe ratioalpha
Missing from abstract: benchmark, 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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