CTA-style Futures Momentum Strategy

Summary

This project develops and evaluates cross-asset allocation strategies. The strategy combines time-series momentum, cross-sectional momentum signals and time-structure spread signals , applies volatility scaling, and incorporates transaction cost assumptions.

Methods

Time-series momentum, cross-sectional momentum, time-structure spread, volatility targeting, long-short portfolio construction, backtesting.

Status

Quantitative research project.