Dual Momentum with Out Days

Inspired by T Smith idea to implement Gary's Antonacci's dual momentum approach to ETF
selection in "IN OUT" strategy.

-The execution code has been completely changed to keep levarage under control and avoid
insufficient buying power warnings.
-To calculate returns I used widely used in industry momentum with excluding period.
-Modified components that are more in line with the strategy.
-The IN OUT part of the strategy has not changed except for some cosmetics
to make it more readable for myself.

"DUAL MOMENTUM IN OUT" nearly doubled "IN OUT" Net Profit while maintaining risk metrics at the same level.

Compounding Annual Return
30.164%

Sharpe Ratio
1.667

PSR
97.773%

Beta
0.057

Drawdown
19.300%

Annual Standard Deviation
0.154

Here is my second version of "DUAL MOMENTUM-IN OUT".

Thank you so much for sharing your algo with us. This is GREAT! I'm learning a ton just by reading through the code.

I'd like to contribute where I can, so this is my first take at it.

I converted your "v2.5 Dual Momentum with Out Days by Vladimir" into QuantConnect's new Algorithm Framework. In particular, I've split your algo into the signal generation (Alpha Model) and placing trades (Portfolio Construction Model).

The converted code is as close as possible to yours (save some optimizations here and there). Note that the insights (buy/sell) are generated for SPY by DualMomentumWithOutDaysAlphaModel. DualMomentumWithOutDaysPortfolioConstructionModel then captures these SPY insights and converts them into buy/sell orders for one of the 4 assets.

Hopefully, this makes it easier to plug in and combine different strategies. I could make it more generic too, eg, pass the list of stocks and bonds are parameters.

Let me know what you (and the community) think!

PS: I'm not sure how familiar with git folks are (eg, GitHub.com, GitLab.com), but I think there's some value in using a collaborative version control system where we could collaborate/share/comment on the code in a more structured way. Just a thought. :)

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