8 Comments

Fantastic work, thanks for sharing.

Edge/alpha, of course, has greatly lessened over time; Updated run in last 10 years I suspect is 1/2 the edge, and last couple even worse - such is the ever evolving alpha landscape.

This process could of course be extended and improved - love to discuss with you if you have time/interest.

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Hello,

great piece and thank you for sharing. I guess the best way to regularise the unstable results of the Trend Factor approach is to use a Lasso regression on the trend factors, rather than a least-square one. Ordinary regression curve-fits too much and cross sectional returns are full of noise, hopefully the Lasso helps the Trend Factors really stand out

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Thanks!! That's a great idea, will try it out!!

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Awesome, do you think it's feasible to code in Real Test?

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Thanks! I'm pretty confident there must be a way to do it in RealTest (Marsten is great!), although I'm not a specialist. Maybe ask in the RT forum?

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Great post!

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Thanks!!!

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Great post! I appreciate the time and effort you put in to coding this. It’s an interesting concept.

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