Can profitability through momentum strategies be enhanced applying a range to standard deviation filter?

- Used range to standard deviation ratio to measure trend persistence.
- Trend persistence measured on a rolling window for 30 stock index series.
- Range to standard deviation ratio based filter improve returns of a trading strategy.

The study used a Range to Standard deviation (R/S) filter along with the Jegadeesh and Titman (JT- momentum rule, 1993) momentum rule to identify the existence of trend persistence and the possibility of generating trading opportunities in the 30 stock indexes across 25 countries for the period January 2001 to November 2015. We conducted detailed analyses of stock index data to gauge whether profits could be improved using an additional (R/S) filter. Finally, we performed a paired t-test to compare whether the annualized profits generated through (R/S) & momentum rule and the JT-momentum rule were different.