Dual Momentum

Research
1

I have searched around the forum, but can not find where anyone has created a screen to simulate the work published by Gary Antonacci.

If someone can point me to a screener, port, or sim that will rank and selected the fund with the highest relative momentum that would be great.

Thanks

2

Rob,

Edit: Sorry Rob. Missed that your were looking at ETFs. I am not too familiar with existing ETF strategies.

Jim

3

This may help you:

Scott’s Investments - Dual Momentum Google Spreadsheet

As a starting point, you can use the below for each of the four models:

Buy Rule: Ticker(“XXX,YYY,ZZZ”)

Sell: Rank<101

Allow sold holdings to be re-bought at current rebalance: Yes

Ranker: price momentum formula of your choice (higher values)

You’ll want to look as far back as possible to truly understand the performance of each of the four models. Some have benefited from QE, etc that may not carry forward at the same level of performance.

4

Hello!
I’m trying to backtest the dual momentum strategie but it’s a real pain because of the 4 modules.

I’ve built 4 screeners and it’s ok, but I don’t succeed to put all in one… rules are basics, best rank (12months) from each modules :
ticker(“VTI,VEU,SHY”)
ticker(“CIU,HYG,SHY”)
ticker(“GLD,TLT,SHY”)
ticker(“REM,VNQ,SHY”)

And 25% invested on each.

Superman if you are there, I need your help :slight_smile: