We provide detailed descriptions, including over 550 mathematical formulas, for over 150 trading strategies across a …. Some strategies are based on machine learning algorithms (such as artificial neural networks, Bayes, k-nearest neighbors …

momentum prediction has been proved, the predictors can be applied to momentum risk management. I introduce two new momentum … been used before. I then introduce a new method of momentum risk management that has a lower transaction cost than existing …

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of … strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics … strategies.Related papers are: "http://ssrn.com/abstract=2345489" Backtesting as well as "http://ssrn.com/abstract=2249314 …

value-weighted momentum strategies go down from -49.79% to -11.36% and from -64.97% to -23.28%, while the Sharpe ratios are …

-interested. Future research may examine the seasonal pattern in countries with more stringent regulation of financial professionals or …

-term reversal strategies. The performance results are robust with respect to transaction costs and other real world frictions …

constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …