Sure—I was testing a dual momentum strategy over the market as a whole, with a 12-month lookback period. The ‘dual’ refers to both absolute momentum, and relative momentum between asset classes (bonds, US stocks, non-US stocks).
I haven’t evaluated it properly yet, but the signals it generated told me to stay in stocks until the end of March, at which point I ought move into bonds, just in time to miss the recovery. Over the period I’ve tested it so far (16 months) it has returned −4%, while my benchmark is at +18%. I am still mildly interested to see how it pans out, but I ignored the signals and am now only tracking it on paper.
Sure—I was testing a dual momentum strategy over the market as a whole, with a 12-month lookback period. The ‘dual’ refers to both absolute momentum, and relative momentum between asset classes (bonds, US stocks, non-US stocks).
I haven’t evaluated it properly yet, but the signals it generated told me to stay in stocks until the end of March, at which point I ought move into bonds, just in time to miss the recovery. Over the period I’ve tested it so far (16 months) it has returned −4%, while my benchmark is at +18%. I am still mildly interested to see how it pans out, but I ignored the signals and am now only tracking it on paper.