Financial Analysts Journal· VOL72,NO.3· May/June 2016.

哪种趋势更适合你？

作者：Ari Levine (AQR Capital Management, LLC, Greenwich, CT), Lasse Heje Pedersen (Copenhagen Business School, Fredriksberg, Denmark, and New York University, NY; AQR Capital Management, LLC, Greenwich, CT)

摘要：管理型期货基金和商品交易顾问使用通常被称为“过滤器”的启发式或统计措施来对价格趋势进行交易。趋势的两个关键统计指标是“时间序列动量”和“移动平均交叉”。从经验和理论上来看，这些趋势指标是密切相关的。 实际上，它们是最通用形式的等效表示。 他们还捕获许多其他类型的过滤器，例如Hodrick-Prescott（HP）过滤器，卡尔曼滤波器和所有其他线性滤波器。我们展示如何通过“趋势签名图”来表示这些过滤器，从而证明它们依赖于过去的价格和水平的回报。

Which Trend Is Your Friend?

Ari Levine (AQR Capital Management, LLC, Greenwich, CT), Lasse Heje Pedersen (Copenhagen Business School, Fredriksberg, Denmark, and New York University, NY; AQR Capital Management, LLC, Greenwich, CT)

ABSTRACT

Managed futures funds and commodity trading advisers (CTAs) use heuristics or statistical measures often called “filters” to trade on price trends. Two key statistical measures of trends are “time-series momentum” and “moving-average crossovers.” We show, empirically and theoretically, that these trend indicators are closely related. In fact, they are equivalent representations in their most general forms. They also capture many other types of filters, such as the Hodrick–Prescott (HP) filter, the Kalman filter, and all other linear filters. We show how these filters can be represented through “trend signature plots,” demonstrating their dependence on past prices and returns by horizon.

原文链接： http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n3.3

翻译：赵胜旺