TSMOM in ETFs¶

Backtest Data and Methodology¶

We then proceed our research with most liquid ETFs by Dollar Volume as of February end, 2018. Although, this introduces a look ahead bias in our backtest, as some of these ETFs saw a large spike in volume during the recent market pullback, we conducted tests every year to check the volume of the ETFs in our research period, which made us conclude to choose the 100 ETFs. You can download the list of ETFs here.

For our Levered positions, we use the scaling factor of \(\frac{40\%}{\sigma_{t-1}^s}\)

Results¶

We provide the interactive plots and data below, along with summary statistics.

• Summary Statistics