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I just uploaded a summary pdf of the feb2008 LT Momentum study by LSE's Dimson, Marsh and Staunton in their yearbook 2008. This is fairly robust academic stuff. For all clarity their "momentum" is cross-sectional, i.e. buy the top X, short the bottom X, the usual interpretation for academics.
PS
--- In amibroker@xxxxxxxxxxxxxxx, "samu_trading" <samu_trading@xxx> wrote:
>
> All,
>
> In his really good book Quantitative Trading Systems, Howard states that all trading systems will stop working forever at some point (because the inefficiency in the market they exploit will be killed by everybody jumping on board).
>
> On the other hand you have momentum / ROC based systems working forever now, same for trend following MA crossover systems like The one propagated by Mebane Faber. Momentum and MA rossover trendfollowing does seem to work "forever".
>
> Any comments from the gurus here?
>
> Thanks, Samantha
>
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