Price-Based Investment Strategies How Research Discoveries Reinvente
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, in
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How Research Discoveries Reinvented Technical Analysis
Adam Zaremba and Jacob “Koby” Shemer
Price-Based Investment Strategies
Adam Zaremba • Jacob “Koby” Shemer
Price-Based Investment Strategies How Research Discoveries Reinvented Technical Analysis
Adam Zaremba Poznan University of Economics and Business, Poznan, Poland
Jacob “Koby” Shemer AlphaBeta Tel Aviv, Israel
ISBN 978-3-319-91529-6 ISBN 978-3-319-91530-2 (eBook) https://doi.org/10.1007/978-3-319-91530-2 Library of Congress Control Number: 2018949315 © The Editor(s) (if applicable) and The Author(s) 2018 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Cover design by Ran Shauli Printed on acid-free paper This Palgrave Macmillan imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
To my daughters, Alice and Suzie, who continually provided me requisite breaks from writing this book. Adam Zaremba
Praise Page
“Zaremba and Shemer have written the seminal book on research-based technical analysis. They discuss the theoretical basis, implementation details, and performance results of strategies based on stock price movement. These include traditional momentum, trend following, reversals, acceleration, skewness, volatility, and seasonality. They do this not only individually but by blending these together creating remarkable results. I whole-heartedly recommend this book to all portfolio managers and asset allocators receptive to price-based investing.” —Gary Antonacci, Author of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk “This is an excellent book which challenges the status quo. Just over fifty years ago two future Nobel Laureates, Samuelson and Fama, pointed out if stock prices were random then ‘the work of the chartist, like t
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