Strategies · Core
Momentum and Reversal Combined with Volatility in Stocks
Blend intermediate momentum, short-term reversal, and a volatility filter — a multi-horizon equity recipe.
Definition
Long names that are intermediate-term winners, short-term losers, and not exploding in vol (recipes vary). The vol filter is there to avoid crashy momentum names. More knobs, more overfit risk.
Why it matters
Horizon mixing is how practitioners actually run ‘momentum.’ The paper names the mix.
Case
A high-vol winner that reversal wants to short and mom wants to long. The vol filter breaks the tie — or hides a data-mined third sort.
How to read it
Count the free parameters. If you have three sorts and a vol cap, demand a hold-out.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.