Matti Suominen and Erik Hjalmarsson Time-series momentum is one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for managed futures and trend-following strategies. This paper uncovers a structural vulnerability that every practitioner must account for: momentum returns persist reliably during normal business cycles, but break down…
This study builds a short-term mean-reversion strategy across six liquid ETFs spanning equities, fixed income, currencies, gold, and commodities (2006–2025), using a 200-day trend filter and a multi-day pullback trigger. Beyond the strategy itself — which delivers strong risk-adjusted returns while invested only ~21% of the time — the paper tests ChatGPT and Claude as…