On US equities from 2020 to 2023, the standard Momentum Transformer earns 4.14% annual returns with Sharpe 1.12, beating momentum but only slightly beating long-only.
The variations we added with theexpanded window and increased attention headsnegatively impacted the non-CPD TFT
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
baseline 1
citation-polarity summary
fields
q-fin.CP 1years
2024 1verdicts
CONDITIONAL 1roles
baseline 1polarities
baseline 1representative citing papers
citing papers explorer
-
Enhanced Momentum with Momentum Transformers
On US equities from 2020 to 2023, the standard Momentum Transformer earns 4.14% annual returns with Sharpe 1.12, beating momentum but only slightly beating long-only.