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Kev's avatar

Momo is great. Avoid low beta stocks.

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Chain-of-Alpha's avatar

Appreciate the work. I love the idea of combing the momentum & reversal by different regime

Did you try weekly or even monthly rebalancing? I daily rebalancing may be too sensitive to cost/b-a spread...

I think it would be nice if there is any analysis on the correlation between the LOAD, pure momentum and reversal strategies.

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