# 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

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quasi-PL $Q_n (t) = \sum_{t' (for t' < t)} sign (S_n (t') ) * \frac{p_n (t'+1) - p_n (t')}{\sigma_n (t'-1)}$
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- TSMOM - [Moskowitz paper](http://docs.lhpedersen.com/TimeSeriesMomentum.pdf)
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the excess return $r^s_t$ for instrument s in month t
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The TSMOM return for any instrument s at time t is therefore:
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$r^{TSMOM,s}_{t,t+1} = [ sign(r^s_{t-12,t}) \frac{40%}{\sigma^s_t} ] * r^s_{t, t+1}$
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- https://risk.edhec.edu/sites/risk/files/edhec-working-paper-momentum-strategies-in-futures_1410350911195_0.pdf
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quasi-PL $Q_nhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=1968996
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the same definition as Moskowitz
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Throughout the paper, both J and K are measured in months, weeks or days depending on the rebalancing frequency of interest.
We use the notation to denote monthly strategies with **a lookback and holding period of J and K months respectively**
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$R^{K, MOM}_J (t) = \sum_{,t' (for t' < t)}+K) = [ sign (S_n ((R^s_{t') ) *-J,t}) \frac{p_n40%}{\sigma (t'+1) - p_n; 60) } ] * R (t')}{\sigma_n (, t'-1)}+K)$



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

# Parents

* Momentum Strategy