All posts by Marco Simioni

Dual Momentum – The Famous 5 Portfolio

This article describes a Dual Momentum study over a multi-asset ETFs basket with a new attempt to improve this well-known investing style. Dual Momentum **strategies rely on two different very simple filters: absolute momentum and relative momentum**. Absolute momentum **(rule 1) is a trend following filter used to switch any selected assets that have a negative excess return over the risk-free rate to […]

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Take Profit Seasonality on Overnight Trading

Take Profit Seasonality on Overnight Trading

I have always thought of a simple exit at the next days open for nightly trades on ES future to be the most simple and non-optimized exit. There is no risks of data-mining biases. This is what I always do until now at Nightly Patterns. Overnight behavior changes with the market’s regimes of volatility. Nobody can […]

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