We propose a momentum-determined indicator-switching (MDIS) strategy, simple and effective, to improve the predictability of stock returns, which can effectively select predictors. Empirical results indicate that the stock return forecasts generated by the MDIS strategy are statistically and economically significant. And we find that super long-term momentum of predictability (SMoP) exists in predictive factors. That is, in a long period of time in the past, the best predictor among a series of factors has best prediction ability in the future. We also design restricted momentum-determined indicator-switching (RMDIS) strategy when considering economic constrain. It is robust for the prediction performance of this strategy using a series of extension and robustness test. Success of the RMDIS strategy is also seen in using technical indicators to forecast stock returns.

我们提出一种简单有效的动量确定指标转换（MDIS）策略，以提高股票收益的可预测性，从而可以有效地选择预测指标。实证结果表明，MDIS策略生成的库存回报预测在统计和经济上均具有重要意义。并且我们发现，可预测性（SMoP）的超长期动量存在于预测因素中。即，在过去的很长一段时间内，一系列因素中最好的预测器在将来具有最好的预测能力。考虑经济约束时，我们还设计了动量确定的指标转换（RMDIS）受限策略。使用一系列扩展性和鲁棒性测试，对于此策略的预测性能具有鲁棒性。