# MStrategy - key points



## definitions

## implementations

- [CFM paper](https://arxiv.org/pdf/1404.3274.pdf)

signal $S_n (t) = (1/\sigma_n) (p(t-1) - aver(p(t-1)) )$

where $p(t-1)$ is the price on the previous step
$aver(p(t-1))$, as an exponential moving average of past prices (excluding $p(t)$ itself) with a decay rate equal to n months

- https://risk.edhec.edu/sites/risk/files/edhec-working-paper-momentum-strategies-in-futures_1410350911195_0.pdf

quasi-PL $Q_n (t) = \sum_{t' (for t' < t)} sign (S_n (t') ) * \frac{p_n (t'+1) - p_n (t')}{\sigma_n (t'-1)}$



## https://en.wikipedia.org/wiki/Moving_average

# Parents

* Momentum Strategy