I was doing my usual reading when I came across a sector rotation strategy. I have seen lots of these strategies but this one had a different twist. The strategy was a momentum strategy but instead of buying the top three, it was buying the middle three. The article gave no reason other than it works and gives the best results.
In general, people fall into two camps about trading rules.
(1) The trading rules need to make sense on why they are there.
(2) Don’t care about the rules if the stats are good and over-fit tests pass.
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Good Quant Trading,
Cesar
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