Fractional Momentum

Welcome to Fractional momentum investment page. This is the place to try out different configurations of our method.

General Information

Introducing a cutting-edge online trading platform that leverages the groundbreaking fractional momentum strategy for unparalleled trading performance. This innovative platform is built upon the principles outlined in the landmark study "Momentum Without Crashes," revolutionizing the way investors approach the market. By implementing a sophisticated weighting scheme that utilizes the entirety of price data over specified lookback periods, our platform transcends traditional trading methodologies that rely merely on the initial and final price points.

At the core of our platform is the fractional-difference filter, a statistical transformation celebrated for its ability to preserve data memory. This unique approach not only embraces the dynamic interplay between reversal and momentum patterns in asset returns but also significantly enhances risk-adjusted returns. Traders on our platform can navigate the markets with confidence, benefiting from a strategy that mitigates large drawdowns typically associated with classical momentum and short-term reversal strategies.

Our platform's fractional momentum strategy has been rigorously tested and proven to deliver robust performance, even when accounting for transaction costs and other real-world trading frictions. The remarkable consistency of excess returns, unexplained by traditional asset pricing factors, underscores the strategy's efficacy. Furthermore, the benefits of our approach are not confined to specific asset classes or geographies; they extend across diverse asset universes and international markets.

Designed with both novice and experienced traders in mind, our platform offers a user-friendly interface, comprehensive analytical tools, and real-time market data. Whether you're looking to optimize your portfolio's performance or explore new trading opportunities, our platform empowers you to leverage the power of fractional momentum for trading success. Join us in redefining the landscape of online trading, where innovation meets investment excellence.

Explore Our Investment Strategy Examples

Welcome to our investment strategy showcase! Explore static examples of our Fractional Momentum Strategy, demonstrating its performance across various markets and datasets, from major indices to international locales. These insights will help you understand how our strategy might align with your investment goals. Whether you're a seasoned investor or new to the market, our examples offer a clear demonstration of the strategy's potential in diverse market conditions. Dive in and see how it could enhance your investment decisions.

The S&P 100 index includes 100 major, blue chip companies in the United States. It is representative of large-cap market performance, featuring companies with stable earnings and strong histories. Our Fractional Momentum Strategy leverages these characteristics by identifying momentum within these giants, optimizing for the dynamics of well-established firms. By applying our strategy to the SP100, investors can see how it performs in a relatively stable and predictable segment of the market, often preferred by conservative investors seeking reliability and lower volatility.

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The NASDAQ 100 tracks 100 of the largest non-financial companies listed on the NASDAQ stock market and is heavily skewed towards technology and biotech. Given the growth-oriented and often volatile nature of tech stocks, our strategy aims to capitalize on the rapid price movements and trends that define this sector. By focusing on the fractional momentum, our strategy is designed to pinpoint and exploit short-term gains while managing the inherent risks of the tech industry. This is crucial for investors looking to maximize returns in a sector driven by innovation and rapid change.

Unlike the large-cap focus of the SP100 and the tech-heavy NASDAQ 100, the Russell 2000 index offers insights into 2,000 small-cap American companies. These companies are typically more responsive to domestic economic shifts, making them an interesting segment for momentum strategies. Our approach here is tailored to capture the agility of small caps, identifying quick wins in the market’s underexplored corners. Investors interested in the Russell 2000 will find that our strategy helps uncover potential high-growth stocks before they mainstream, potentially leading to substantial returns.

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Scientific Background of Our Methodology

The methodology is described in full detail in the associated research paper available (for free) at the following link:

Fractional Momentum Research Paper