Hi - I am trying to work out how to code a Dual Momentum system that I have read about.
The system comes from a book - Dual Momentum Investing by Gary Antonacci. I highly recommend getting it because of it's strong rotational system performance.
In it he describes a monthly rotation that uses a previous 12month ROC as the positionscore, and buys the strongest performing ETF, as long as that ETF is performing better than T-Bills.
So I have a watchlist of:
some other SPDR select ETFs, such as XLY, XLU...
BIL (SPDR Bloomberg Barclays 1-3 Month T-Bill ETF)
SetBacktestMode( backtestRotational ); SetOption("WorstRankHeld",1); SetOption("MaxOpenPositions", 1); BuyPrice = Closearray; SellPrice = Closearray; SetTradeDelays(0,0,0,0); mn = Month(); monthendflag = mn != Ref(mn,-1); PositionScore = IIf(monthendflag, BIT BELOW, scorenoRotate);
Where I am confused is how to do positionScore for this system.
- Calculate the 12-month returns for both SPY, VEU, XLP and XLU. Choose the ETF that has performed better.
- Compare the best performing ETF to the returns of BIL. If the best performing ETF has performed better than BIL, then buy that ETF (either SPY, VEU, XLP, XLU....).
- If BIL has performed better, then buy TLT.
-Repeat steps 1 – 3 at the end of each month and replace one of the three ETFs with the strongest performing asset. ---> this step I know how to do.
Any help much appreciated. Thank you.