Dual ETF Momentum

Dual Momentum Spreadsheet

Strategy background inspired by Gary Antonnaci at Optimal Momentum

For some of my backtests on a similar strategy click here and here and most recently (5/25/16) here

This sheet is not investment advice – for an additional disclaimer click here.

37 thoughts on “Dual ETF Momentum”

    It is a great help in my putting together a 3-4 ETF Dual Momentum Portfolio.

    If you could ever create a spreadsheet for the DUAL MOMENTUM SECTOR ROTATION that would be awesome.



      1. hello, happened to see your post from Jun 2015 only today– interesting study, Assuming you ranked using 6 month return , could you clarify what is the result by owning the top 3 ETF’s in your study?
        thx, Mal

  2. Could you please label the spreadsheet conspicuously with the date? At least as displayed on my computer, I can’t tell when the information was last updated. Thanks.

  3. Scott,

    Thank you again for spreadsheet. Is there any work on the DMSR model? It would be enormously helpful.

    Thank you.

  4. I love your spreadsheet, but I wish it was dated. I feel uncomfortable using it – not knowing whether it was last updated a week ago or 3 years ago.

    1. I see you state above it’s updated daily but again I’d only feel comfortable enough to use it – only by seeing the date stamp, just in case you’ve got the flu or something.

      I work on the internet and you’d be surprised how much stuff you think is up-to-date… but isn’t.

      1. You can always verify the return data by visiting Finviz and looking up the symbol, a full table of return data is available for free

        1. I apologize for belaboring the point – but if the spreadsheet is designed to make it easier for people, so they won’t have to go to FinViz on their own and look up all the individual data points themselves – why not just put the date on the spreadsheet?

          How hard could that possibly be?

          1. I’m more than willing to donate to your site through Paypal to use your spreadsheet – I want to do that – but not having a date stamp is an absolute, total, and complete deal-breaker for me.

            I’ve learned my lesson about out-of-date data on the internet too many times in the past to repeat that mistake again.

    2. If you click on the fields that have the return figures, you’ll see it’s a formula that fetches the data from the internet to populate the spreadsheet with. So it’s always “live” and doesn’t rely on the author to make any sort of manual updates to. It’s all automatic.

  5. Doesn’t the Antonacci model suggest trading at the end of the month? SP500 went over the either the 50 day or 200day MA so I can see some upward momentum. Just curious since I am new to GEM.

    1. My Duel ETF sheet does not precisely follow the GEM model. Also, data updates daily but this is not an endorsement to trade daily

  6. Several places on his website Antonnaci says this model from his research paper used to illustrate how dual momentum works is suboptimal and not a good way to actually invest. He recommends using what is in his book instead.

  7. It appears your speadsheet doesn’t contain accurate prices. E.g. VTI 12-19-2016 google has $117.10, you have 115.321698978254.

  8. Thanks – I was going to ask what Adj_Close meant. I can see recent closes match the stock market but earlier closes do not.

  9. Hey Scott. For investors outside of the US would you tweak the ETFs to reflect local FX? I’m in the UK so would think better to use UK based, GBP domiciled versions of the US ETFs to take out the FX risk? I guess use FTSE All share ETF as UK then All world-ex UK ETF for international shares. Then the challenge would be to find Gilt based ETFs that act like SHY? What are your thoughts? Great site BTW.

    1. That’s a good question – in the end, the FX exposure will work both for and against you at different times, so you could argue it is a question of personal preference.

    2. There is a good article on Gary’s blog re FX. Gogi Grewal did a complete backtest that you can verify for your own currency. IFRC, you use USD$ ETFs for analysis and local unhedged ETFs for investment.

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