Dual momentum backtest Gogi has generously offered to share his findings with us here. With a comprehensive backtest dating back to 1950, this strategy has significantly outperformed the market. Jul 9, 2024 · Dual Momentum Investing With Gary Antonacci (Rules & Backtest) We unveil Gary Antonacci's renowned dual momentum strategy, a trend-following approach involving US stocks, foreign stocks, and bonds. I would add that if there is no ACWI ex-US Oct 27, 2023 · Introduction. Gogi Grewal CFA is an analyst who has been following my work for years. Discussion on implementing Antonacci\'s Dual Momentum GEM strategy for trading with simplicity. But we also track a number of strategies that take a shorter-term, more responsive approach, like ADM’s 1/3/6-month average. , 3, 6, 12 months) to see how they impact performance. Oct 13, 2023 · The idea behind a momentum rotation strategy is to rank each sector, using momentum, buy the best performing sectors and optionally short the laggards. gem_backtest. Jul 23, 2024 · Dual momentum is an investment strategy that aims to identify assets with positive momentum while avoiding those with negative momentum. Momentum är det engelska ordet för tröghet och det har visat sig att det som går upp tenderar att fortsätta att gå upp, medan det som går ner fortsätter att gå ner. What is more noteworthy is the substantial drop in drawdowns in the Dual Momentum strategy. I have gone through some of the strategies and was awestruck by the amount of returns these strategies claimed to be making. It holds U. If you can find someone to code it, I can backtest it on this excelent platform. May 2, 2018 · Many of you may have heard of Gary Antonacci's strategy called Global Equities Momentum (GEM) in which he uses a "dual momentum" signal to compare US stocks to global stocks to bonds over the trailing 12 months. We investigate his findings by testing the dual momentum strategy with a different combination of underlying assets dating back to 1926. csv files in this project. We found that in general, the results of our approximately 10-year ETF-based simulations were in line with Gary’s much longer index-based simulations, although the latter better demonstrate the long-term This platform is user-friendly and offers a wealth of functionality for analyzing different portfolio strategies, including Dual Momentum. He has an excellent grasp of dual momentum. The supported models include: Shiller PE Ratio Market Valuation; Seasonal Model; Moving Averages - Single Asset; Moving Averages - Portfolio Assets; Momentum - Relative Strength; Momentum - Dual May 2, 2018 · Also, you mentioned “dual squared”, do you think it’s better to screen with the accelerated momentum method first using VFINX and VINEX, and if VFINX is the better investment at the beginning of the month, then do a second dual momentum analysis to see whether to invest in VFINX or a midcap value index (basically changing the order of Feb 23, 2024 · For those feeling a bit more daring, there's Accelerating Dual Momentum (ADM) from EngineeredPortfolio. Some tried and true examples include Antonacci’s Dual Momentum (12-months), Faber’s GTAA (10-months) and Alpha Architect’s RAA (12-months). 0%. Dual Momentum utilizes relative strength momentum and absolute momentum. Working version of the Dual Momentum Sector Rotation Strategy, based on Gary Antanacci's book Dual Momentum. ↑↓ to select, press enter Backtest. com. py: Python backtest code using historic data going back to either 1970 for dual momentum or 1926 for absolute momentum (no historic international data available pre-1970). For example, for the high yield corporate bond class, I have shown that May 21, 2015 · Dual Momentum captured the interest of many investors since Gary Antonacci published his book by the same title. Jun 24, 2024 · The dual momentum trading strategy by Gary Antonacci is a method of investing that selects only assets that have outperformed their peers over a given time and also making positive returns. It is based on the idea that an asset with a superior relative momentum and a positive absolute momentum would continue to perform until another outperforms it. With Portfolio Visualizer, you can: Run simulations of your Dual Momentum strategy using historical data. The Accelerating Dual Momentum strategy was developed by the site EngineeredPortfolio. There is an outperformance by more than 1% each year which over the period of the backtest accumulates to a substantial difference in terminal value. We also examine the dual momentum strat - Jun 1, 2024 · Momentum can significantly influence trading strategies by focusing on assets showing consistent trends. Mar 6, 2025 · The dual momentum trading strategy by Gary Antonacci is a method of investing that selects only assets that have outperformed their peers over a given time and also making positive returns. Historic data is available in the 2 . Basically, we need to create an investment universe of the two iShares ETFs, IOTO and EFA. 4%, while Dual Momentum delivered a CAGR of 14. This is called a “top N” sector rotation strategy using momentum as its quantitative signal. bond benchmark [1]. The model uses Antonacci’s unique approach to measuring momentum, which considers both absolute (aka time-series) and relative (aka cross-sectional) momentum, to trade a much larger basket of asset classes Apr 2, 2022 · Backtest Dual Momentum in FT Cloud+ This is a complex model, but simple to execute in FT Cloud. The following chart shows the 10-year rolling excess return of our popular Global Equities Momentum (GEM) dual momentum model compared to a 70/30 S&P 500/U. S. Select specific ETFs or assets for the Sep 19, 2018 · Traditionally, TAA strategies use longer-term measures of momentum. I did a backtest of Dual Momentum (in Canadian $) that showed from Jan 2007-Jan 2012 (5 years), the strategy returned essentially 0%. By selecting the appropriate momentum indicators, maintaining a diversified portfolio, monitoring and rebalancing regularly, and utilizing tracking and analysis tools, investors can maximize their returns and minimize risks in the dynamic cryptocurrency market. As Figure 4 shows, there are long time periods when the Dual Momentum algorithm stays in the same asset/ETF. Toggle navigation. Figure 4 shows the complete history of trades made during the backtest period as well as the performance of the Dual Momentum, Equal Weight and S&P 500 benchmark portfolios. The model avoided this up & down volatility. The primary variables in a top N momentum rotation strategy are: The momentum calculation. The portfolio uses a Dual Momentum approach to compare absolute and relative momentum. stock indices when stocks are strong and uses bonds as a safe harbor when stocks are weak. It could have been tough to follow the strategy over this time, but keep in mind: – There was a sharp bear market in 2008 and sharp recovery in 2009. Oct 16, 2018 · In 2013, I created my Global Equities Momentum (GEM) model. Dual momentum baserar sig på den simpla princip att marknader är tröga, vilket innebär att det tar tid för marknader att ändra på sig. Apr 28, 2017 · This article provided a description of Dual Momentum and presented results for two different implementations of Dual Momentum using ETFs. Jul 21, 2015 · NIFTY and Gold ETFs momentum investing Recently there has been a lot of talk about Momentum based ETF rotation strategies. If the SPY is trending up, strategy re-balances each month to the top 4 sectors (based on yearly momentum) of the SPY. If the SPY is trending down, the strategy moves 100% to the AGG Bond ETF. The backtest time period is shorter than traditional dual momentum strategies. dual momentum strategy has not been thoroughly tested in the literature, although it has been used commercially as a simple asset allocation tool. The author is best known for his GEM (Global Equity Momentum) strategy, which he popularised in 2014, in gem_backtest. The basic idea behind dual momentum is that strong-performing assets tend to continue their upward trend while weak-performing assets tend to continue their downward trend, resulting in higher returns for Dual momentum – Sverige och Global. Since Gogi lives in Canada, he researched the best ways for non-US investors to use momentum. This tool allows you to test different tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. Dec 12, 2023 · Implementing dual momentum algorithms in Bitcoin investment strategies requires careful consideration of various factors. One such example is this article: This book also talks about momentum investing with backtest going back upto 30+ years. When my book, This is a test of “Composite Dual Momentum”, broadly based on Gary Antonacci’s paper: Risk Premia Harvesting Through Dual Momentum. , 12-month performance), ADM uses a more responsive approach by measuring momentum across multiple, shorter-term time frames. Test different lookback periods (e. Here's a backtest of Gary Antonacci's DMSR (Dual Momentum Sector Rotation) strategy. Strategy requires only three ETFs. or non-U. g. Dec 12, 2023 · Here’s a backtest of Gary Antonacci’s DMSR (Dual Momentum Sector Rotation) strategy. Unlike traditional dual momentum strategies that might use longer-term measures of momentum (e. The author is best known for his GEM (Global Equity Momentum) strategy, which he popularised in . Dual-Momentum-Investing By Feb 20, 2024 · Over this backtest period, Nifty50 delivered a CAGR of 12. Dec 14, 2017 · Dual Momentum Performance Data: I make sure that I backtest various mutual funds in each asset class of the strategy. How can I backtest a momentum trading strategy using Python? To backtest a momentum trading strategy using Python, you can follow these steps: Download historical data using libraries like yfinance. To understand the concepts behind the Dual Momentum investing model it is best to Jul 8, 2015 · Agreed. . Cancel Those who have read my momentum research papers, book, and this blog should know that simple dual momentum has handily outperformed buy-and-hold. fghh sapoup uzf zsoqtc quro wyfyi zlew sdj ygv hnzkg qnxo tqgmex hhclr ikyyu gelx