posted Dec 25, 2017, 10:57 AM by sms investing
After significant research and refactoring this strategy, I have reopened this. You should expect that there will be periods of time which the strategy WILL ABSOLUTELY not beat the market. Research in momentum based strategies suggests that it may underperform for significant time periods as long as 3-5 years. However, over the long term, the same research suggests that momentum will outperform the general market in the long term with as much as 20% average per year returns. It works very well when paired with value investing. See the book Quantitative Momentum for more information about this research.