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!