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每日多空趋势跟踪策略：参数、资产类别与标的池深度 [Delphic Alpha]
我在期货、股票、外汇和加密货币等多个资产类别上运行了同一套趋势跟踪策略。期货的净夏普比率为0.73，加密货币为0.56，美国股票勉强打平仅为0.42，外汇则较为勉强，仅为0.24。同样的信号、同样的方法论，却得到了四种截然不同的结果。这四类资产与标普500指数的相关性均接近于零。差异并非来自信号本身，而是来自市场本身。这是一个
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Daily Long/Short Trend Following: Parameters, Asset Classes, and Universe Depth [Delphic Alpha]
I ran the same trend-following strategy across futures, stocks, FX, and crypto. On futures it produced a net Sharpe of 0.73. Crypto came in at 0.56. US stocks barely broke even at 0.42. FX was marginal at 0.24. Same signal, same methodology, four very different outcomes. All four have near-zero correlation to the S&P 500. The difference isn't the signal. It's the market. This is a
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已转化为模式：跨资产每日多空趋势跟踪策略