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What are the good ways to make a momentum strategy dynamic?
Hi all,In literature, I often read papers claiming there are alphas in simple momentum strategies, for example, look back for 250 days and compute the 250-day-returns and then follow the momentum ...The problem is that for publishing papers it's okay to use results from such static/data-mined/over-fitted numbers: eg. 250.For real-trading, this parameter needs to be dynamic ... So I wanted to consult with your expertise: what are the good ways to make a momentum strategy dynamic?Could you please shed some lights on this?Thanks a lot!
What are the good ways to make a momentum strategy dynamic?
Include factors which are measurements of some dynamic environment or effect.