{"id":2098483,"date":"2019-01-28T11:59:26","date_gmt":"2019-01-28T06:29:26","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2098483"},"modified":"2019-01-28T11:59:26","modified_gmt":"2019-01-28T06:29:26","slug":"global-equities-momentum-part-iv","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2019\/01\/28\/global-equities-momentum-part-iv\/","title":{"rendered":"Global Equities Momentum, Part IV"},"content":{"rendered":"<p>Our GEM backtest in <a href=\"https:\/\/stockviz.biz\/index.php\/2019\/01\/26\/global-equities-momentum-part-iii\/\">Part III<\/a> used a 12-month formation period to measure momentum. Here, we look at alternative formation periods with an eye on drawdowns.<\/p>\n<h3>6- through 12-month formation periods<\/h3>\n<p><a href=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.6-12mo.cumulative.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.6-12mo.cumulative.png\" width=\"1400\" height=\"800\" alt=\"GEM.6-12mo.cumulative\" class=\"alignnone size-full\" \/><\/a><\/p>\n<p>Even though the 10-month version has higher returns, the 6-month one has lower peak drawdowns.<\/p>\n<h3>The average of all<\/h3>\n<p>The problem with picking one formation period out of 6 is that it smells of data-mining. What happens if you average them all out?<\/p>\n<p><a href=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.avg.cumulative.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.avg.cumulative.png\" width=\"1400\" height=\"800\" alt=\"GEM.avg.cumulative\" class=\"alignnone size-full\" \/><\/a><\/p>\n<p>The average works in reducing drawdowns compared to the traditional 12-month version.<\/p>\n<p><a href=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.avg.dd.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.avg.dd.png\" width=\"2100\" height=\"1500\" alt=\"GEM.avg.dd\" class=\"alignnone size-full\" \/><\/a><\/p>\n<p><a href=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.m12.dd.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/raw\/master\/momentum\/GEM%204.0\/USA%20MOMENTUM.WORLD%20ex%20USA%20MOMENTUM.GEM.m12.dd.png\" width=\"2100\" height=\"1500\" alt=\"GEM.m12.dd\" class=\"alignnone size-full\" \/><\/a><\/p>\n<p>We will setup a virtual portfolio for this &#8220;averaging&#8221; strategy and post the link here when it is up and running.<\/p>\n<p>Code and more charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/GEM%204.0\" rel=\"noopener\" target=\"_blank\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Our GEM backtest in Part III used a 12-month formation period to measure momentum. Here, we look at alternative formation periods with an eye on drawdowns. 6- through 12-month formation periods Even though the 10-month version has higher returns, the 6-month one has lower peak drawdowns. The average of all The problem with picking one &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091073,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491],"class_list":["post-2098483","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-backtest","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2098483","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2098483"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2098483\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091073"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2098483"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2098483"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2098483"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}