Grasp the pulse of the market and win by timing momentum

TSAI

As a classic anomaly in the financial market, the momentum effect has shown sustained effectiveness in asset allocation. Based on rigorous academic research and engineering implementation, the TSAI platform has built a complete system of timing momentum strategies, which can accurately capture market trends through quantitative models and algorithm optimization.

1. Momentum factor construction

The platform defines 8 basic factors including absolute momentum (price trend), relative momentum (cross-asset comparison), and volatility-adjusted momentum (risk-return ratio), and eliminates multicollinearity through factor orthogonalization. In the backtest of the US stock market, the composite momentum factor optimized by the Sharpe ratio has achieved an annualized return of 14.3% in the past 10 years, and the information ratio has reached 1.12.

2. Trading signal generation

A dual threshold trigger mechanism is used: a buy signal is generated when the momentum factor exceeds the upper threshold, and a sell signal is triggered when it falls below the lower threshold. Combined with the support vector machine (SVM) in machine learning, the signal is filtered twice to reduce noise interference. Empirical evidence shows that this mechanism reduces the trading frequency by 40% while maintaining a stable strategy win rate of more than 65%.

3. Real-time verification and optimization

In the 2024 commodity market volatility, the platform's timing momentum strategy achieved a quarterly return of 18.7% and a maximum drawdown of 8.3% by capturing the trend switching of crude oil and gold. The current strategy has integrated a dynamic parameter adjustment module, which automatically optimizes the threshold setting according to the market volatility status to ensure the robustness of the strategy in different market environments.