Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection
“Back-testing our model over the period 1995-2020, the addition of the CPD module leads to an improvement in Sharpe ratio of one-third.”
AssetCommodities
StrategyMomentumshort-term reversal
TechniqueRecurrent neural networkfeedforward network
Sample window1995–2020
Also stated: Sharpe ratio
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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