Share New Research 
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".
Spacetime
Error:
ValueError : cannot convert float NaN to integer
at Update
wait_days = int(vola * self.BASE_RET)
===
at Python.Runtime.PyObject.Invoke(PyTuple args in dual_momentum_with_out_days_alpha.py: line 69
Fix:
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Vladimir
Spacetime,
I was unable to reproduce the error you reported.
Have you had an error in the latest version 2.51?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Spacetime
apologies… should have been more clearer…
It is the framework algorithm shared above by Joao Antunes.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Kamal G
Hi Spacetime,
The cannot convert float to NAN integer occurs due to the multiple time resolutions being used for the same ticker. (Example below that will generate occasional errors). If you change all references to a given ticker to minute, hour, daily only, then the error will stop. (I got a similar error with other algorithms I have been putting together).
After you change a resolution, make sure the backtest is still the same or similar at the very least. Changing the time resolution can change an algorithm a lot!
self.STK2 = self.AddEquity('SPY', Resolution.Minute).Symbol
self.MKT = self.AddEquity('SPY', Resolution.Daily).Symbol
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Carsten
Vladimir
I was trying more pairs for the IN/Out and then giving each pair the same credit. If 80% of the total of 100% credits are reached, I would trigger the out signal. (It would be more like a voting approach)
This would be the opposite of this version were we have few pairs, but to trigger the signal all have to be satisfied. (It would be more like a veto approach)
What is you option on that, did you tried?
Second I would like to add some VIX pairs, like VIX > VIX 3M to trigger or a comparison of VIX momentum.
Did you tried something like that?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Michael Rand
Joao Antunes was there a reason why the AUD (FXA) - CHF (FXF) was dropped as an out signal from the original algorithm (in favor, I assume, of UUP and DBB)? I understand that UUP/FXA and FXF/DBB probably have similar properties from a market signal perspective.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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