Method & calculation
The Basic-DualMomentum rules, how the advanced portfolios are built, and the data and calculation assumptions.
Dual Momentum
A rules-based strategy that holds the assets with the strongest recent returns and moves to a defensive asset when the market's own momentum turns negative. One decision a month.
Compared: SPY / QQQ / Defensive asset: XLU
Rules fixed, then observed
Selection rules are frozen at a point in time, and only results observed after that freeze count as the forward record. Forward metrics use forward-period rows only.
The current rules are methodology v1; the date they were fixed is under verification.
That boundary is still being verified. No forward numbers are published until it is.
Advanced portfolios (FoF)
Basic DM is the foundation. Strategies are combined into portfolios, then those combinations are evaluated again at further stages, called L0, L1, L2, L3 and the advanced portfolios. The structure is public; how the upper stages select what they hold is not.
Benchmarks
Comparisons use SPY (S&P 500), bought and held, calculated over the same period as whatever it is compared with.
Data and determinism
Price data: Yahoo Finance daily prices (via yfinance), with in-house split and dividend adjustment checks. Daily closes are cross-checked against EODHD and Tiingo. Risk-free rate: 3-month U.S. Treasury bill (DTB3). Benchmark: SPY. System of record for signals and returns: PostgreSQL.
Portfolio selection is deterministic: the same inputs always produce the same selection. Candidates whose scores fall within a small tolerance band are treated as tied, and ties are broken by a fixed, economically meaningful sequence, so tiny numerical noise cannot flip the ranking. The internal tie-break keys and weighting rules are not published.
Theory and papers
Dual Momentum combines relative momentum with absolute (time-series) momentum. The work it builds on: