Refining and Robust Backtesting of A Century of Profitable Industry Trends

Alessandro Massaad, Rene Moawad, Oumaima Nijad Fares and Sahaphon Vairungroj

Papers from arXiv.org

Abstract: We revisit the long-only trend-following strategy presented in A Century of Profitable Industry Trends by Zarattini and Antonacci, which achieved exceptional historical performance with an 18.2% annualized return and a Sharpe Ratio of 1.39. While the results outperformed benchmarks, practical implementation raises concerns about robustness and evolving market conditions. This study explores modifications addressing reliance on T-bills, alternative fallback allocations, and industry exclusions. Despite attempts to enhance adaptability through momentum signals, parameter optimization, and Walk-Forward Analysis, results reveal persistent challenges. The results highlight challenges in adapting historical strategies to modern markets and offer insights for future trend-following frameworks.

Date: 2024-12, Revised 2024-12
New Economics Papers: this item is included in nep-his
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2412.14361 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2412.14361

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().