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Vignette: Baltas Improving Time-Series Momentum Strategies: The Role of Volatility Estimators and Trading Signals

Open braverock opened this issue 5 years ago • 1 comments

https://risk.edhec.edu/publications/improving-time-series-momentum-strategies-role-trading-signals-and-volatility

braverock avatar Jul 08 '20 22:07 braverock

@vi-to I think we've solved a few data issues, see the discussion in slack and update your scripts with the fresh futures data!

JustinMShea avatar Jul 30 '20 05:07 JustinMShea