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davesaint86 557 posts msg #148344 - Ignore davesaint86 |
7/2/2019 8:14:20 PM Another great book in addition to the Weinstein book is Dual Momentum Investing by Gary Antonacci. Here is Dual Momentum strategy that goes back to 1998. https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&startYear=1985&endYear=2019&initialAmount=50000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&adjustmentFrequency=4&symbols=VFINX+VINEX&singleAbsoluteMomentum=false&volatilityTarget=9.0&downsideVolatility=false&outOfMarketAssetType=2&outOfMarketAsset=VUSTX&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=true&periodWeighting=2&windowSize=1&windowSizeInDays=105&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&excludePreviousMonth=false&normalizeReturns=false&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=1&allocationWeights=1&riskControl=false&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&comparedAllocation=-1&timingPeriods%5B0%5D=1&timingUnits%5B0%5D=2&timingWeights%5B0%5D=33&timingPeriods%5B1%5D=3&timingUnits%5B1%5D=2&timingWeights%5B1%5D=33&timingPeriods%5B2%5D=6&timingUnits%5B2%5D=2&timingWeights%5B2%5D=34&timingUnits%5B3%5D=2&timingWeights%5B3%5D=0&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0&total1=0 |
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novacane32000 310 posts msg #148360 - Ignore novacane32000 modified |
7/3/2019 9:34:28 PM @davesaint86 Those are impressive results and the lack of significant drawdown really catches the eye. Does the book provide a clear method for using dual momentum? Is that what you used in the backtest? Edit: Here is a review I read on Amazon. Is this accurate? "tl;dr: On the first of every month, switch 100% into either SPY or ACWX, whichever one has the highest trailing 12-month return. If the trailing 12-month return for both of them is negative (technically, less than the T-Bill return), switch 100% to BND." |
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davesaint86 557 posts msg #148362 - Ignore davesaint86 |
7/3/2019 10:00:45 PM In the book I think he was using the 200 day moving average. I found the strategy via a Google search on Dual Momentum. Here is another good book that is similar. It's a kind of momentum strategy with asset rotation. Using a 200 day SMA of S&P as a market filter and a protective asset rotation when market is negative is another version of momentum strategy as dual momentum investing. Simple and best book for investors with a long-term horizon. The book shows returns for example trading Amazon via 50d, 200d and 50/200/d using moving averages. The results were great (something like 5,000%). However, when using the S&P 500 cross of the 200MA as a signal for Amazon the results ballooned up to over 15,000%. https://www.amazon.com/STOCK-MARKET-CASH-TRIGGER-Technique-ebook/dp/B07CG4YC2J |
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davesaint86 557 posts msg #148364 - Ignore davesaint86 |
7/3/2019 11:45:54 PM Another dual momentum strategy. https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&startYear=1985&endYear=2019&initialAmount=10000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&adjustmentFrequency=4&symbols=RPV%2CQQQ%2CFDN%2CIAU%2CIDV%2CIWP%2CIWM%2CVEU%2CITA&singleAbsoluteMomentum=true&absoluteMomentumAsset=SPY&volatilityTarget=9.0&downsideVolatility=false&outOfMarketAssetType=2&outOfMarketAsset=IEF&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=false&periodWeighting=2&windowSize=-1&windowSizeInDays=100&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&excludePreviousMonth=false&normalizeReturns=false&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=1&allocationWeights=1&riskControl=false&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&comparedAllocation=-1&timingPeriods%5B0%5D=5&timingUnits%5B0%5D=2&timingWeights%5B0%5D=100&timingUnits%5B1%5D=2&timingWeights%5B1%5D=0&timingUnits%5B2%5D=2&timingWeights%5B2%5D=0&timingUnits%5B3%5D=2&timingWeights%5B3%5D=0&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0&total1=0 |
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novacane32000 310 posts msg #148384 - Ignore novacane32000 |
7/5/2019 1:36:27 PM Dave, can you explain what triggers the move in and out of the funds every month? |
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davesaint86 557 posts msg #148408 - Ignore davesaint86 |
7/6/2019 7:15:21 PM novacane - Copied this from the Portfoliovisualizer website. Dual momentum model The dual momentum model combines relative momentum and absolute momentum based timing. Relative strength is used to select the best performing model asset(s) and absolute momentum is then applied as a trend-following filter to only invest in the selected asset(s) if the excess return over the risk free rate has been positive. If the excess return is negative, then the model invests in short- to intermediate-term fixed income instruments (the out-of-market asset) until the trend turns positive. The relative momentum performance is calculated as the asset's total return over the timing period, and the return of 1-month treasury bills is used as the risk free rate for the absolute momentum filter. The months in the timing period are calendar months, and monthly changes are based on the end-of-month adjusted close price. Trades are performed at either the end-of-month close price, or at next trading day's close based on defined trading policy. The delayed trading accounts for the fact that typically in practice one would not be able to execute the trade at the point in time when the signal becomes available. Rapach and Strauss and Zhou (2013) find that the US stock market leads the world markets even at the monthly frequency, so the supported options include specifying a single asset to be used for absolute momentum. As discussed in Gary Antonacci's Dual Momentum book, we can first apply absolute momentum based on the US stock market (e.g. S&P 500 TR) and assuming the excess return over the risk free rate is positive, we use relative momentum to choose between US equity and international equity. If the absolute momentum excess return is negative, the model is invested in the selected out-of-market asset, e.g., Barclays U.S. Aggregate Bond Index. References: Gary Antonacci - Risk Premia Harvesting Through Dual Momentum Gary Antonacci - Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay David Rapach, Jack K. Strauss, and Guofu Zhou - International Stock Market Return Predictability (Journal of Finance, Volume 68, Issue 4, August 2013) |
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novacane32000 310 posts msg #148422 - Ignore novacane32000 |
7/8/2019 10:04:14 AM Thanks Dave-- |

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