{"id":40890427,"date":"2024-04-27T09:46:15","date_gmt":"2024-04-27T04:16:15","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890427"},"modified":"2024-04-27T09:46:16","modified_gmt":"2024-04-27T04:16:16","slug":"prophet-for-momentum-part-ii","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/04\/27\/prophet-for-momentum-part-ii\/","title":{"rendered":"Prophet for Momentum, Part II"},"content":{"rendered":"\n<p><a href=\"https:\/\/stockviz.biz\/index.php\/2024\/04\/08\/prophet-for-momentum\/\">Previously<\/a>, we discussed using Meta&#8217;s Prophet to create a momentum portfolio that was rebalanced monthly. Is there a benefit to rebalancing this at a <a href=\"https:\/\/stockviz.biz\/index.php\/2024\/04\/21\/momentum-rebalance-frequency-part-ii\/\">higher frequency<\/a>?<\/p>\n\n\n\n<p>Turns out that there isn&#8217;t. Even before factoring in costs, Prophet works best with a monthly schedule.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/momentum\/prophet\/symRets-weekly.gross.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>And does significantly worse if bring costs into the equation.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/momentum\/prophet\/symRets-weekly.net.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>The problem is that Prophet portfolios have little overlap.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/momentum\/prophet\/symRets-weekly.overlap.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>Once again, a +1 to KISS.<\/p>\n\n\n\n<p>Code and charts on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/prophet\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Previously, we discussed using Meta&#8217;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&#8217;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 &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491],"class_list":["post-40890427","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890427","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=40890427"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890427\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890427"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890427"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890427"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}