Hypotheses
DIA Weekly Volatility-Normalized Proportional Momentum
Derived by the Research Lead from Fernando F. Ferreira et al., Information ratio analysis of momentum strategies: test the paper's moving average of causally volatility-normalized weekly log returns, with signed…
Hypothesis
Derived by the Research Lead from Fernando F. Ferreira et al., Information ratio analysis of momentum strategies: test the paper's moving average of causally volatility-normalized weekly log returns, with signed exposure proportional to that average and weekly rebalancing. Use DIA.USEQ, a tradable Dow-Jones Industrial Average ETF proxy, rather than claiming reproduction of the paper's 1896–2013 index experiment. Construct weekly observations from completed daily session bars, using each calendar week's final exchange session close. The source specifies weekly rebalancing and explores formation lookbacks of 1–43 weeks, but the supplied text does not specify the normalization lookback p or a deployable capital scale. Research choices are a baseline 20-week formation window, 20-week normalization window, equity-relative proportional sizing, and protective risk limits. Execute at the final session's close; no next-session-open fill is required. Do not use retrospectively identified BFAST regimes or the fitted 180-week oscillation as trading signals.
Analysis
Information ratio analysis of momentum strategies
Backtest and paper results are hypothetical. Trading involves risk of loss.