Effect of momentum lookback period on performance

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.

blog figs

AMIBROKER CODE:

Buy =   r_filt;  Sell =  Cross(4%u,25%u); // breadth based sell condition

PositionScore = ROC(C,x);

ApplyStop(stopTypeProfit,stopModePoint,ATR(15)*y);

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