Seasonality IV: bi-annual (momentum)

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).

AB-seas-CAR

Annual return peaks at 23% with exposure of 70% and a stable optima.

AB-seas-SR

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.

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2 thoughts on “Seasonality IV: bi-annual (momentum)

  1. Pingback: Daily Wrap for 5/29/2014 | The Whole Street

  2. Pingback: Seasonality roundup: all timeframes | RRSP Strategy

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