One of Wall Street’s Most Popular Trading Strategies Is Now Failing

Re:One of Wall Street’s Most Popular Trading Strategies Is N... by 3dinfluence on Sunday March 03, 2019 @01:13AM (#19293035)

These strategies have only been around while the fed has been heavily involved in propping up the US economy with artificially low interest rates and quantitative easing. So I am not surprised that the algorithms and models that have grown up during this period are now struggling now that the fed is trying to back off a bit.

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Re:One of Wall Street’s Most Popular Trading Strategies Is N... by FabHK on Sunday March 03, 2019 @06:28AM (#19293942)

I don't think that's right.

CTAs have been around since the 1970s. Momentum trading has been around basically forever.

The Fed under Paul Volcker raised rates over 20% in the early 80s to head off inflation. Before the crisis of 2008 rates were 5% or so. It's only after the GFC that rates have been lowered to near zero.

Also, according to the article momentum trading failed to deliver after 2008, while rates were low (and the market tripled), not just now.

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