System from Trend Following Factors

June 1, 2012

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

As I thought more about Trend Following Factors from Hsieh and Fung, I thought that the trend following factors might indicate a state/regime for the equity markets that could potentially offer momentum-style timing signals for a system on the S&P 500.  Now, THIS ABSOLUTELY SHOULD NOT BE CONSIDERED INVESTMENT ADVICE, especially since the factor data is very lagged and the testing is nowhere near comprehensive enough.  I will however try to replicate the factor methodology to get a more real-time indicator extended to any index in another post. What is most interesting to me is that this is ex-ante intuitive and the signal is just basic statistics.

From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio
Comments have been very light. Please let me know your thoughts.

R code from GIST:

To leave a comment for the author, please follow the link and comment on his blog: Timely Portfolio. offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Tags: , ,

Comments are closed.