dashover
226 posts
msg #128314
- Ignore dashover |
5/4/2016 4:06:32 PM
The relative momentum rule requires a comparison of the past 12 month returns for U.S. versus international stocks. The absolute momentum rule compares the higher trending of these two stock markets to the past 12 month returns for t-bills. If the S&P 500 has a higher return than both international stocks and cash, you hold the S&P. If international stocks have a higher return than the S&P and cash, you hold international stocks. If cash has a higher return than stocks, you hold the bond fund.
The rules are only checked once a month for rebalancing purposes, which leads to a fairly low turnover compared to other momentum strategies. According to the book, going back to 1974, the strategy only made an average of 1.35 changes per year.
http://www.optimalmomentum.com/gem_allocation.html
Currently in bonds..
Worth a read and I can't believe that this isn't adjusted more than 1.35 times a year..
Dash
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c1916
77 posts
msg #130609
- Ignore c1916 |
8/26/2016 3:20:31 PM
Isn't this similar to the "Simple Monthly Rotation" theory?
symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)
You could certainly change the funds to tie closer to the Optimal Momentum guys. Basically, you move your funds into the top rated fund at a fixed date in a given month (on August 1, would have been AGG, which still holds today). I've seen historical results of this somewhere...just can't put my fingers on it right now.
There's also a "Complex Monthly Rotation" that brings in more fund options.
symlist(SPY,EEM,IWM,SHY,DBA,DBB,DBC,USO,XRT,XME,XHB,KBE,VNQ,VTI,VVR,IWP,IWR,IEF,PCY,BKF,IWC,WIP,VBR,AGG,EFA)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)
Note: Not trying to pass this code off as mine. When I find the original notes on this, I'll cite the original author.
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