Thoughts on momentum strategies for illiquid assets?

Discussion in 'Strategy Building' started by mizhael, Dec 11, 2011.

  1. Thoughts on momentum strategies for illiquid assets?

    Hi all,

    I tried some extremely simple and naive momentum strategies (if today > yesterday then go long today; if today < yesterday is down then go short today; the position size is always one unit; doesn't change direction until facing the opposite; always in the market, i.e. the position sizes are either +1 or -1...) on some very illiquid assets...

    It has a great Sharpe before transaction costs, but then when I apply transaction costs, I got a negative Sharpe of -9.0...

    What could be good momentum strategies for illiquid assets?

    Could anybody please shed some lights to me?

    Thanks a lot!