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