In my last post we explored a momentum strategy applied to the USA markets that was provided to us from the good guys over at www.quantpedia.com. One of my readers set about quantifying the same strategy on the JSE and shared their results with me. With permission and thanks, I pass along their fine work for your benefit. As reference, Chris Muller employed his style engine to quantify the strategy. Great to see momentum effective on the JSE as well. It’s certainly been challenging during the past couple of years, but that is not unexpected given the predominantly sideways price action the market has endured.
Source: Chris Muller; Style Engine