194: “How to improve trend following performance” – David Lundgren
Better System Trader
Momentum Doesn't Work - Is That a Good Signal?
The last time momentum didn't work was in the 30s and 40s. When inflation hit after World War II, you can see that momentum started working again. The reason momentum as a factor quote unquote works is not because of the signal but because it captures things like Tesla goes into the top decile and stays there for several years.
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