New related paper to #44 – Paired Switching

"This work exploits the relationship between sign predictability and volatility predictability of two risky assets, to present results from meta-data analysis framework of 351 pairs and a rotation methodology. Our results suggest that, on average, rotation trading based on market timing is better off than using the best asset buy-and-hold strategy or the equally weighted portfolio. The suggested rules exhibit better average return than a buy-and- hold strategy, however, the come a cost of higher risk. The rotation strategy which includes relative pricing and relative volatility is to be an overall most robust performer. The success of trading is highly linked to the correlation between the underlying assets only for the models based on relative pricing but is also strongly linked with the differences in means across all models we examined.

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