Thread by @quantscience_

A 23-page research paper reveals the number 1 method Hedge Funds use to beat the market:

Time Series Momentum

This is how: 🧵

1. What Is Time Series Momentum?

Time Series Momentum (TSMOM) bets on trends continuing. If a stock’s up, buy more; if down, sell. A 2011 study of 58 assets proved it works!

2. The Data Behind the Strategy

The TSMOM paper analyzed equities, currencies & more. T-stats showed consistent profits across 1-month lookbacks!

3. Coding TSMOM with Python

Code TSMOM in Python:
- Use yfinance to get data
- Then momentum = price[-1] / price[-20] - 1.

Positive? Buy
Negative? Sell

4. Real-World Performance

TSMOM outperforms passive investing.

We're using a modified version of TSMOM in our Hedge Fund.

One backtest shows 3500% return vs 450% S&P500.

We are using TSMOM in our hedge fund.

And we'd like to share exactly how it works.

Want to see how we built our hedge fund in Python?

Then join us for our free training:

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That's a wrap! Over the next 24 days, I'm sharing my top 24 algorithmic trading concepts to help you get started.

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