Inspired by T Smith idea to implement Gary's Antonacci's dual momentum approach to ETF
selection in "IN OUT" strategy.

-The execution code has been completely changed to keep levarage under control and avoid
 insufficient buying power warnings.
-To calculate returns I used widely used in industry momentum with excluding period.
-Modified components that are more in line with the strategy.
-The IN OUT part of the strategy has not changed except for some cosmetics
 to make it more readable for myself.

"DUAL MOMENTUM IN OUT" nearly doubled "IN OUT" Net Profit while maintaining risk metrics at the same level.

Compounding Annual Return
30.164%

Sharpe Ratio
1.667

PSR
97.773%

Beta
0.057

Drawdown
19.300%


Annual Standard Deviation
0.154

 

Here is my second version of "DUAL MOMENTUM-IN OUT".

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