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Re: Z8 clarification [Re: firecrest] #464464
02/15/17 18:07
02/15/17 18:07
Joined: May 2016
Posts: 180
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pcz Offline
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pcz  Offline
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Posts: 180
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firecrest: I will but I have to go through the code again to tidy it up and add comments so it will take some time. Also it's in R if you don't mind.

Re: Z8 clarification [Re: firecrest] #464486
02/17/17 17:30
02/17/17 17:30
Joined: May 2016
Posts: 180
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pcz Offline
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Originally Posted By: firecrest
Dear PCZ,

Would you be able to share the script of Dual Momentum Strategy? It is worth looking into it. Maybe collective knowledge may help to improve it.

Regards


You can find the implementation along with some comments and results here:
http://statsmage.com/dual-momentum-strategy-implementation/

It seems that with the selected ETFs I get results quite similar to Antonacci's, although the allocations differ slightly. If you find any errors please let me know.

Last edited by pcz; 02/17/17 17:30.
Re: Z8 clarification [Re: pcz] #464517
02/22/17 02:24
02/22/17 02:24
Joined: Dec 2016
Posts: 71
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firecrest Offline
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firecrest  Offline
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Joined: Dec 2016
Posts: 71
Dear PCZ,

Thank you. Let me try to learn R too.

Regards

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