trendmanagement / Tmqr-framework-2

3 stars 0 forks source link

Relative strength line comparison for portfolio composition #70

Open nikolas-joyce opened 6 years ago

nikolas-joyce commented 6 years ago

I was thinking we could use the concept of the relative strength line used for stock selection in this article for portfolio construction from a basket of our alphas.

we could make the relative comparison against a permanent long position in the futures for longs, permanent short positions for short and or an X% return line per month for absolute return strategies.