A Momentum System
The aims of this chapter are–
- Description of system. To describe in detail another long-term trading system.
- Increased returns. To explore the possibility of achieving higher returns than those of the enhanced Bollinger Band Breakout System, again without the use of leverage.
- Equal treatment of equities and commodities. To explore the benefits of giving equal weight to a mixed portfolio of equities and commodities.
- Trading short. To ascertain whether this system can reap any benefit from short trading.
Description of the system
This system ranks funds in a universe of potential investments on an end of month basis by performance. The best performers are those which have recorded the greatest rise as ...