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Momentum trading - qualitative discussions

....Peng Cheng at the U.S. bank. His intraday trend-following model is up this month by the most since June 2020.

Instead, the $280bn industry has experienced widely diverging fortunes this year

In contrast, Roy Niederhoffer’s Diversified Fund and the Tewksbury Investment Fund have gained roughly 44 per cent and 18 per cent. Man AHL’s trend funds are up 3 to 4 per cent, while other big players — such as AQR — have trodden water

Yet two factors have also stuck out: whether they branched out into other quant trading strategies, and whether funds reacted quickly to market moves or looked at longer-term patterns

David Gorton of DG Partners, which runs a trend-following fund in a joint venture with Brevan Howard, that is up 5.4 per cent this year

...improve on trend-following systems rather than drifting too far from the core strategy, according to Ms Braga. ... to cope better, enrich our models and prepare them for regime changes,” she said.

Why Quant is the Future – With Leda Braga, CEO & Founder of Systematica

3 days- 3months
a) signal generation b) position sizing
ML only on filtered data
Trend returns even on downturns, but not regular returns over any periods