Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
Flirting with Models
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The Importance of Speed in Trend Followers
Trend followers tend to think a lot about the speed of their signal. And that speed is really important because it often informs the horizon over which the strategy is going to exhibit some form of convexity. It seems to us that actually what works has gotten a little bit faster in the last 10 years since we started doing this, of course. So we're exponentially decaying our signals and we're using signals with half lives from 10 days to about half a year.
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