Dual Momentum

Absolute + relative momentum: stocks vs intl vs bonds

Dual Momentum (Antonacci) 3Y

Total Return

+12.6%

Sharpe Ratio

0.06

Max Drawdown

-24.5%

Win Rate

52.8%

Alpha

-4.6%

Comp. Score *

0.05

Risk Parameters

Max Allocation3.4%

Stop Loss25.0%

Take Profit5.0%

Max DD Tolerance24.5%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry Rule0.5% below current price for buys

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks to average in

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPY	BUY	17%	17.9% below entry	3.6% above entry	4.8%	TV YH

▶ For Passive Investors (Buy & Hold)

Weak long-term profile. Not recommended for passive buy-and-hold. May still work as a tactical or hedged position — see main body.

Avg 5Y Return

22.1%

Avg 5Y Sharpe

0.08

Avg 5Y Max DD

-28.0%

10Y Return (2015-2024)

35.3%

10Y Sharpe

0.00

10Y Max DD

-30.6%

HODL Composite

0.08

Windows Tested

Consistency

57%