Sharpe Ratio

EMAzing Trends: When One Moving Average Beats a Basket of Signals The latest research from Sebastien Valeyre delivers a surprise to the CTA world: a single exponential moving average (EMA) can match — or even beat — the performance of elaborate, multi-indicator trend-following systems. This conclusion comes from an empirical validation of a 2014 theoretical model by Grebenkov & Serror, which predicted the optimal Sharpe ratio for an EMA-based trend strategy given market autocorrelation and trend strength. Unlike the industry’s love affair with blending MACDs, crossovers, momentum mixes, and Bollinger Bands, the data suggest that simplicity wins. ...

In the volatile world of crypto, the only constant is change. This makes portfolio optimization a challenge — especially for traditional strategies that assume stability over time. A new study by Castelli, Giudici, and Piergallini offers a compelling solution: build your investment pipeline out of agents. Using a modular Multi-Agent System (MAS) framework implemented in Crew AI, the authors compare two crypto portfolio strategies over the 2020–2025 period: one static and one adaptive. The system orchestrates specialized agents to ingest, clean, analyze, optimize, and report on daily crypto prices — all in a transparent and auditable way. ...