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A 2025 paper adapts 40-year-old trend following to crypto. I tested it on Bitcoin and Ether, including the 18 months since, and tried to beat it with machine learning.
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Research Desk
A 2023 Harvey paper fixes trend following's speed problem. I tested it on 100 years of US data and six markets, including the years since publication.
Trillions of dollars rebalance between stocks and bonds on dates everyone knows. A 2025 NBER paper says it costs investors $16 billion a year. I built the trade, tested it since 2002, and checked whether it still works.
Classic momentum lost 36% in one month in 2009. Strip out the market, manage the risk, and the same idea earns a much higher Sharpe ratio with less than half the drawdown.
Most traders apply momentum to stocks. Apply it one level up, to the factors themselves, and a one-line rule kept working through the decade when the factor zoo stopped paying.
AlphaAgents has three LLM analysts argue until they agree. I rebuilt it, ran every possible portfolio as a control, and found a look-ahead bug in my own data.
