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Dual momentum with volatility

This is my first algorithm...
I tried to implement a dual momentum by choosing the 3 best ETF (among VTI, VNQ, PCY, VEA, GLD, SLV, DBC, TLT, TIP, VWO, RWX) and factoring last quarter performance, half year performance and the 63 days semivariance.
The performance between October 2010 and now is not that good...I wonder if it's my implementation or something else.
Any suggestions?
Thanks in advance

3 responses

Just from experimenting with my own mixes of ETFs with some of the algorithms I've been working on, I noticed that no matter what the mix, currently the market is outpacing just about every broad ETF by a long shot. I think its just a byproduct of the bull market. Maybe somebody else can chime in with something different, but at the very least that's my experience.

Just modified the quarterly and half year calculation (it was wrong before) and backtested since 2007.
It doesn't look too bad, but the drawdown is still quite high.

I just remove what I consider unnecessary in yours original code , change some key parameters and run it on full market cycle.
It is not Dual momentum with volatility but just 1 year momentum.