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.
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.