Prophet for Momentum, Part II

Previously, we discussed using Meta’s Prophet to create a momentum portfolio that was rebalanced monthly. Is there a benefit to rebalancing this at a higher frequency?

Turns out that there isn’t. Even before factoring in costs, Prophet works best with a monthly schedule.

And does significantly worse if bring costs into the equation.

The problem is that Prophet portfolios have little overlap.

Once again, a +1 to KISS.

Code and charts on github.

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