Navigating the financial markets requires a keen understanding of risk sentiment, and one often-overlooked dataset that provides valuable insights is FINRA’s margin debt statistics. Reported monthly, these figures track the total debit balances in customers’ securities margin accounts—a key proxy for speculative activity in the market. Since margin accounts are heavily used for leveraged trades, shifts in margin debt levels can signal changes in overall risk appetite. Our research explores how this dataset can be leveraged as a market timing tool for US stock indexes, enhancing traditional trend-following strategies that rely solely on price action. Given the current uncertainty surrounding Trump’s presidency, margin debt data could serve as a warning system, helping investors distinguish between market corrections and deeper bear markets.

The year 2024 is nearly behind us, so it’s an excellent time for a short recapitulation. In the previous 12 months, we have been busy again (as usual) and have published over 70 short analyses of academic papers and our own research articles. The end of the year is a good opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics ranking). The top 10 is diverse, as usual; once again, we hope that you may find something you have not read yet …

As interest in cryptocurrencies continues to surge, driven by each new price rally, crypto assets have solidified their position as one of the main asset classes in global markets. Unlike traditional assets, which primarily trade during standard working hours, cryptocurrencies trade 24/7, presenting a unique landscape of liquidity and volatility. This continuous trading environment has prompted us to investigate how Bitcoin, the flagship cryptocurrency, behaves across intraday and overnight periods. With Bitcoin’s growing availability to both retail and institutional investors through ETFs and other investment vehicles, we hypothesized that trading activity in these distinct timeframes could reveal patterns similar to those seen in traditional markets, where returns are often impacted by liquidity shifts during off-peak hours.

In this article, we explore the historical performance of sector momentum strategies and examine how their alpha has diminished over time. By analyzing the underlying causes behind this decline, we identify key factors contributing to the underperformance. Most importantly, we introduce an enhanced approach to sector momentum, demonstrating how this solution significantly improves the performance of an ETF sector momentum strategy, making it once again an effective tool for systematic investors.

Over the past few years, significant shifts in the financial landscape have reshaped the dynamics of global markets, including the cryptocurrency sector. Events such as the ongoing war in Ukraine, rising inflation rates, the soft landing scenario in the US economy, and the recent Bitcoin halving have all profoundly impacted market sentiment and price movements. Given these developments, we decided to revisit and reassess trading strategies, specifically Trend-following and Mean-reversion in Bitcoin published in 2022, which utilized data from November 2015 to February 2022. This new study explores how these strategies would have performed from November 2015 to August 2024, taking recent changes into account. The study also examines market changes between February 2022 and August 2024, highlighting developments since previous research. Additionally, it evaluates the influence of seasonality on Bitcoin’s price action, similar to our previous article – The Seasonality of Bitcoin. By analyzing these factors, we aim to provide deeper insights into the evolving behavior of the world’s leading cryptocurrency and guide investors through the complexities of today’s market environment.

It is not easy to build a robust trend-following strategy that will withstand different difficult market conditions and bring consistent results. The author of today’s work was not frightened by this task and delivered a full framework on how to design a robust trend-following strategy step by step.