Liquidity Premium with Adam Butler (S1E8)
Flirting with Models
How to Preserve a Trend Following Property?
A typical trend follower that uses multiple definitions of friends, so let's call it to say 1, 3, 6, 9, and 12, 1 trend. You have a lot of weight on the first few returns that are closest to today's return. It turns out that if you reverse engineer it, it's a much closer to the reverse of that. And in fact, if you examine it empirically, you might say the near term returns should have a negative weight.
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