参考书目#

Antonacci, G. (2014). Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. McGraw-Hill.

Clenow, A. F. (2013). Following the Trend: Diversified Managed Futures Trading. Wiley.

Jegadeesh, N., & Titman, S. (1993). Return to Buying Winner and Selling Losers: Implications for Stock Market Efficiency. Blackwell Publishing.

Kaminski, K. M., & Greyserman, A. (2014). Trend Following with Managed Futures. Wiley.

Levy, R. A. (1967). Relative Strength as a Criterion for Investment Selection. Journal of Finance.

Radge, N. (2012). Unholy Grails: A New Road to Wealth. Radge Publishing.

Wilcox, C., & Crittenden, E. (2005). Does Trend Following Work on Stocks. Longboard Asset Management.

Winton Capital Management. (2015). The Global Monkey.

S&P Dow Jones SPIVA Scorecards: https://us.spindices.com/resource-center/thought-leadership/spiva/