Monthly Momentum System
Last Login: 2021-03-02
Performance
-
+10.6 %since 2020-07-22
-
-1 Year
-
-Ø-Performance per year
Risk
-
-9.3 %Maximum loss (to date)
-
0.76×Risk factor
Trading Idea
This is my monthly momentum trading system and is like my other wikifolios purely technical.
So there won't be any second guessing or emotions involved.
Momentum is a well researched market anomaly which was used e.g. by Jesse Livermore and is researched by many academics (see research papers on SSRN by Jegadeesh, Titman etc.).
Like every sound trading system this wikifolio is made for long-term investments and is no get-rich-quick-scheme.
The System we use here is based on researches of Gary Antonacci (see Dual Momentum Investing).
Our universe are ETF's only.
I'm going to use a self-programmed program which calculates the momentum score for each of our traded assets and then decides whether we are invested in stocks or in bonds.
My own backtest of this system delivered the following results for the years between 2000 - 2020:
CAGR: 7.6 %
Max. Drawdown: -22.02 %
Volatility (monthly): 3.34%
Volatility (annualized): 11.57%
Sharpe Ratio: 0.54
Sortino Ratio: 0.78
Extended backtests and monthly results of a similar strategy can be found on Gary's website.
show more
So there won't be any second guessing or emotions involved.
Momentum is a well researched market anomaly which was used e.g. by Jesse Livermore and is researched by many academics (see research papers on SSRN by Jegadeesh, Titman etc.).
Like every sound trading system this wikifolio is made for long-term investments and is no get-rich-quick-scheme.
The System we use here is based on researches of Gary Antonacci (see Dual Momentum Investing).
Our universe are ETF's only.
I'm going to use a self-programmed program which calculates the momentum score for each of our traded assets and then decides whether we are invested in stocks or in bonds.
My own backtest of this system delivered the following results for the years between 2000 - 2020:
CAGR: 7.6 %
Max. Drawdown: -22.02 %
Volatility (monthly): 3.34%
Volatility (annualized): 11.57%
Sharpe Ratio: 0.54
Sortino Ratio: 0.78
Extended backtests and monthly results of a similar strategy can be found on Gary's website.
show more
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Master data
|
Symbol
|
WF02020MMS |
|
Date created
|
2020-07-22 |
| Index level | |
|
High watermark
|
114.3 |
Rules
Investment Universe
Trader
Registered since 2016-09-18