Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check

Tamara Teplova, Evgeniya Mikova and Nikolai Nazarov

The Quarterly Review of Economics and Finance, 2017, vol. 66, issue C, 240-258

Abstract: This paper proposes a new approach to decision making processes for investors to focus on factor investing and stock selection strategies on the national stock market by capturing the momentum effect (when two portfolios of past relative winners and past losers continue to beat a given benchmark for a certain period of time in the future). Our approach is based on ranking all the combinations of strategy design (5184 strategies) and the disclosure of the momentum effect with two criteria (mean return and risk) controlling for momentum return probability distribution.

Keywords: Data-snooping; Momentum strategy; Russian stock market; White’s Reality Check; Stationary bootstrap; Risk-return maximization (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:66:y:2017:i:c:p:240-258

DOI: 10.1016/j.qref.2017.03.003

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