The trick appears to be selecting the optimal value of “m”.
Dr. Herman A. van den Berg

In other financial markets like equities, bonds, fiat currencies and commodities it does not have a big impact (see for example Hurst et al. “Demystifying Managed Futures” 2013) as long as you stay between 1 month and 1 year. We tested 1 month, 2 months, 3 months, 6 months and 12 months with similar outcomes.

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