Following my value studies I ran momentum sensitivity studies in Amibroker on trade exit dates for bi-annual seasonal trading. Data used was the daily Fama-French small momentum portfolio from 1984 to 2014. Entry date is calendar day 300 (~ Nov 1).
Annual return peaks at 23% with exposure of 70% and a stable optima.
As with the value portfolio, the highest Sharpe Ratio is achieved from selling earlier in the year: day 90 and 210 for even and odd years respectively. Annual return is reduced by 2% to achieve these higher risk-adjusted returns.
I plan to look at the addition of a trend-following filter (e.g. Faber 10 month average) and combining value and momentum to realize the portfolio benefits of negative correlation.
See previous post for Amibroker code.