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Hello everyone,
I loved Gary's Antonacci's strategy and book: Dual Momentum: https://dualmomentum.net
I came across Accelerating Dual Momentum in allocatesmartly.com which is strongly based on Gary's strategy :
https://allocatesmartly.com/taa-strategy-accelerating-dual-momentum/I hate strategies where you theoretically can sit an up to a month without reaction. If anyone has a good Idea how to optimize that, I'm all ears ...
Regardless, the strategy is still effective : 12 % CAGR
Yours
Nessim
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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Josh M
Very cool, thanks!
Derek Melchin
Hi Nessim,
Great algorithm. Thanks for sharing this with the community!
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Grant Forman
HI Nessim,
Nice one! My suggestions:
1. Since its a momentum strategy, consider changing major securities to momentium- based ETFs (IWF, MTUM)
2. Replace bonds with GLD and SLV
3. Add a super-fast momentum indicator (4 in total, not 3)
4. Add a trailing stop risk mechanism
..I played with this combination for a little and was able to get >90% PSR. Great job - it looks like a good framework!
Nessim Ben Ammar
Hi Grant,
thanks for the advice. I'd really liek to understand the motivation behind:
1) IWF and MTUM. Why do momentum based ETFs perform better within a momentum based framework ?
2) If we add a super fast indicator, we need to increase the trading frequency right ?
4) Great Idea! Love it
Thanks!
Nessim Ben Ammar
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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