Return signal momentum

Time series reversal in trend‐following strategies

“…The RSM signals are generated when the empirical probability of the positive returns in the past 12 months exceeds a certain threshold value. Following Papailias et al (2021), we calculate the RSM returns using the following equation:…”

“…where the parameter δ is defined when the centre of mass is equal to 60 days. The benefit of controlling for volatility is that it can lead to more profitable investment strategies because it takes a crucial role in adjusting the position size of momentum strategies (Barroso & Santa-Clara, 2015;Kim et al, 2016;Papailias et al, 2021).…”

“…The simple moving average is one of the most intuitive trend‐following strategies based on technical analysis. Recently, researchers have attributed the profitability of trend‐following strategies to time series continuation and introduced more advanced methods such as TSM (see Moskowitz et al, 2012) and return signal momentum (RSM) (see Papailias et al, 2021). Therefore, we base our investigation on these two momentum approaches in the time series domain.…”

Momentum and the Cross-Section of Stock Volatility

“…This approach is extensively used by time-series momentum studies, e.g.,Moskowitz et al (2012),Huang et al (2020),Bianchi (2021),Papailias et al (2021) andLiu and Papailias (2021).23 We skip the most recent month of the formation period in the UK stock market, so the period return of asset k is R k t−12,t−2 . 24 Our finding is similar toAng et al (2006) that the high ex-ante volatility reduces asset expected return.…”

Portfolio Selection Using Robust Optimization and Support Vector Machine (Svm)

“…Diebold and Christoffersen in (13), for example, argue that although they do not find predictability in the conditional average of returns there is a dependency structure in the return signal. In (36) a new type of trend strategy is developed based on the past return signal. This strategy is driven mainly by signal dependence, which is positively related to the average return and negatively related to volatility.…”