Moving average crossover with vol

dudley · May 1st, 2015, 5:30 pm

Could anyone point me to research/papers that deal with trading on moving averages crossover where the length of the fast MA depends on realized vol? If you know of any trading strategy that is somehow similar to this concept please let me know.Thank you,Dudley

sladner · May 8th, 2015, 2:52 pm

there's a firm currently under SEC investigation from wellesley, MA which purportedly used such a model (but it turns out the returns (=backtests) were massively fraudulent)...the guy who developed the original algo was a early-20s guy, firm called newfound research now. nothing particularly clever, just another technical trading system (and VERY prone to overfitting...see de prado's most recent on this http://papers.ssrn.com/sol3/papers.cfm? ... id=2308682)