time_series_momentum
Moskowitz-Ooi-Pedersen (2012) JFE — Time-series momentum: 24 futures markets 12m past return predicts next-month return、 Sharpe 1.43 (1985-2009)、 CTA 業界 core
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Moskowitz-Ooi-Pedersen (2012) JFE — Time-series momentum: 24 futures markets 12m past return predicts next-month return、 Sharpe 1.43 (1985-2009)、 CTA 業界 core
Supported Markets
Universal
State Transition History
No state changes recorded yet