The AllocateSmartly website often has interesting posts. Recently I was reading the article "Trending Fast and Slow" and thought about other ideas to test. The article is based on research on trading the SPX and depending on the current historical volatility one would either use a 12-month or a 1-month lookback to decide whether to enter or exit the trade. I had tried similar ideas before but not this one.
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Good Quant Trading,
Cesar
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