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The CUSUM Filter: A Statistical Approach to Market Trends

Jakub's avatar
Jakub
Nov 18, 2024
∙ Paid

In systematic trading, statistical robustness often marks the difference between consistent performance and mere luck. The CUSUM (Cumulative Sum) Filter is a standout statistical tool for trend detection and momentum strategies, excelling in identifying small, persistent shifts in market trends.

The CUSUM methodology has its roots in statistical process…

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