Evaluation of three algorithmic trading strategies: buy and hold, volatility risk premium and sentimen momentum
The study of algorithmic trading is of high importance given its predominance and forecasted growth. In 2019 the majority of the equity traded in US was executed by algorithms, equivalent to 35.1% of $31 trillion and the global estimated compounded annual growth rate over the period 2020-2027 is 8.7%. This article evaluates three algorithmic trading strategies: buy and hold, volatility risk premium and sentiment momentum. Which one might be the best for an investor with an investment horizon of five years?