A Simple Time, Serious Momentos Strategy

We construct a banner time serious momentum stragedy, following the metodology described by garkato. Two thousand 19 our static 12 months strain stragedy uses a fixed look back window size of 12 months of prior returns and goes along one unit if the acet trailing 12 months return is positive. We call this simple time, serious momenton strategy staric to contract with our dynamic strategies, which we discuss later subsection. Turning points are defined as e market turning points based on the mytodology described in garket hall. The vast majority of statized sharp ratio below one rescale shows that costly turning points can be for trend following,. Fores with six or more

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