Gem.py: A monthly momentum indicator, with a variety of lookbacks using ETF data from yahoo (VEU,IVV,BIL,AGG) and index data from MSCI as comparison/validation (Yahoo Finance has been unreliable lately, changing their API and often not giving proper adjusted close data). Decisions are made on the last trading day of each month. If the S&P500 performed better the strategy employs relative momentum to invest in the better of S&P500 and International stocks. If cash performed better the strategy invests in intermediate term bonds (Barclay's AGG). and his blog: The strategy first uses absolute returns to compare 12 month S&P500 returns against cash (1-3 month treasury bill) returns. ![]() ![]() Python implementation of Gary Antonacci's GEM ("Global Equities Momentum") dual momentum strategy as described in his best seller
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