Nikkei 225 (AN225) Osaka Add to Portfolic 15,063.77 +8.11 (0.05% ) 07:00 Enter name or symbol Get Chart | COMPARE EVENTS | TECHNICAL INDICATORS | CHART SETTINGS- RESET Mar 1997:N225 18003.00 35k 30k 25k 20k 15k 10k 2014 1984 1985 1990 1995 2000 2005 2010 The above the is the Japanese stock market index price. Suppose there is an index ETF product for this index. If you are a momentum trader, can you benefit from the price movements in both directions of this index over the time period above? How should you design your momentum strategy? No, momentum is about a cross-sectional strategy meaning that one needs to buy the prior winner stocks and sell the prior loser stocks. Here, with only one index product available there is no way to implement the momentum strategy. Momentum strategy wil not work if we gradually buy the index product starting most of the money earned as the market reverse its trend and starts declining after 1990 rom 1984, we may pro it ro the ice crease over time or a while ut eventual y we lose Buy the product when the index return over the past two years is positive: Sell or short the product when the index return over the past two years is negative