I modified some code from another trader, to try and reproduce the allocations and results of Antonacci's Dual Momentum GEM strategies.
The rules are simple:
- Compare the performance of SPY 500, a global non-US-stock index and US treasury bills over the last 252 trading days, every month
- If one of the two equity indices shows the highest return of all three indices, take a 100% long position in that index
- If US treasury bills show the highest return, take a 100% long position in these
The results of my backtests are way off the official results, both in allocations and returns.
Can anyone help me spot the problems?