Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
“By quickly adapting to new financial regimes, X-Trend increases Sharpe ratio by 18.9% over a neural forecaster and 10-fold over a conventional Time-series Momentum strategy during the turbulent market period from 2018 to 2023.”
StrategyMomentum
TechniqueTransformerfeedforward network
Sample window2018–2023
ClaimSharpe ratiodrawdown
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
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
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