The literature shows that the 6 to 12 month momentum persists and longer term momentum mean reverts. Vehicle selection by “Rate of change” (ROC) with a lookback period of 26 to 52 weeks, and a multiplier for the profit target [ATR(15)] of 2 to 8 were tested from 2003 – 2013 with the fund universe from the previous post.
Except for the recession filter, these were the only system parameters.
Performance was stable across parameter settings and Sharpe > 2.
Buy = r_filt; Sell = Cross(4%u,25%u); // breadth based sell condition
PositionScore = ROC(C,x);