Another thing always to bear in mind that momentum strategies work extremely well most of the time, and horribly a small fraction of the time. The overall combined result is value added, but one should be aware of the spread of results going in.

So if your momentum strategy breaks once in a while with a horrible whipsaw (spring 2020 anyone?), don't be shocked or depressed. It's all expected as part of the long run averages.

By extension, one shouldn't worry about the fact that such a "break" in the system might (or might not) be imminent. It will be, or it won't be, but to the extent that you're running a strategy that truly adds value over time, it's just one rainy day.

Of course if you've picked a momentum strategy that doesn't actually have value-adding predictive power, life will be hard : )

Jim