A GAMLSS/ZAGA framework applied to walk-forward backtests shows that the relative performance of an SVM polynomial trading strategy versus buy-and-hold on the S&P 500 varies conditionally across market regimes defined by volatility and momentum.
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Regime-Conditional Distributional Comparison of Trading Strategies: A GAMLSS/ZAGA Framework Applied to the S&P 500
A GAMLSS/ZAGA framework applied to walk-forward backtests shows that the relative performance of an SVM polynomial trading strategy versus buy-and-hold on the S&P 500 varies conditionally across market regimes defined by volatility and momentum.