{"id":40890213,"date":"2023-04-14T10:55:05","date_gmt":"2023-04-14T05:25:05","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890213"},"modified":"2023-04-14T10:55:16","modified_gmt":"2023-04-14T05:25:16","slug":"momentum-skip-month","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2023\/04\/14\/momentum-skip-month\/","title":{"rendered":"Momentum Skip Month"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">The original Jegadeesh and Titman momentum paper (<a rel=\"noreferrer noopener\" href=\"https:\/\/www.bauer.uh.edu\/rsusmel\/phd\/jegadeesh-titman93.pdf\" data-type=\"URL\" data-id=\"https:\/\/www.bauer.uh.edu\/rsusmel\/phd\/jegadeesh-titman93.pdf\" target=\"_blank\">pdf<\/a>) used a &#8220;skip month&#8221; to manage the reversal effect (<a rel=\"noreferrer noopener\" href=\"https:\/\/quant.stackexchange.com\/a\/20761\" target=\"_blank\">quant.stackexchange<\/a>). However, why is it one month and not two, or three or four? <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Here&#8217;s what the equity curves of different skip month configs look like.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/skip-month\/symRetsAll.png\" alt=\"\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">The &#8220;skip one month&#8221; is indeed a magical config. Also, if you are optimizing for Sharpe, skip two.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/raw.githubusercontent.com\/stockviz\/blog\/master\/momentum\/skip-month\/symStatsAll.png\" alt=\"\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/skip-month\" target=\"_blank\" rel=\"noreferrer noopener\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The original Jegadeesh and Titman momentum paper (pdf) used a &#8220;skip month&#8221; to manage the reversal effect (quant.stackexchange). However, why is it one month and not two, or three or four? Here&#8217;s what the equity curves of different skip month configs look like. The &#8220;skip one month&#8221; is indeed a magical config. Also, if you &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2089693,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3541,3491],"class_list":["post-40890213","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\/40890213","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=40890213"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890213\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2089693"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890213"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890213"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890213"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}