This is a score metric used by the Accelerating Dual Momentum strategy.
According to the website you referenced when you created, the strategy is as follows:
Strategy Rules This strategy allocates 100% of of the portfolio to one asset each month.
1. On the last trading day of each month, calculate the “momentum score” for the S&P 500 ( SPY ) and the international small cap equities (SCZ). The momentum score is the average of the 1, 3, and 6-month total return for each asset.
2. If the momentum score of SCZ > SPY and is greater than 0, invest in SCZ.
3. If the momentum score of SPY > SCZ and is greater than 0, invest in SPY .
4. If neither momentum score is greater than 0, calculate the 1-month total return for long-term US Treasuries ( TLT ) and US TIPS (TIP). Invest in whichever has the higher return.
hola muchas gracias por su trabajo se que esto se debe mirar a principio de mes para ver que activo esta mas fuerte, pero me gustaria saber en que temporalidad debo tener el grafico en diario, en semanal o en mensual. Muchas gracias. Hello, thank you very much for your work. I know that this should be looked at at the beginning of the month to see which asset is stronger, but I would like to know in what temporality I should have the graph daily, weekly or monthly. Thank you so much.
eshwar13
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Hi Nooob,
Thanks for sharing this. Wanted to check if there 's a possibility to compute the momentum score for 2 assets with the same formula? Is there a way to check the momentum score of SPY and SCZ in the same chart?
noooob
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@eshwar13, If you can write a script, the security function will be useful.
Hello, thank you very much for your work. I know that this should be looked at at the beginning of the month to see which asset is stronger, but I would like to know in what temporality I should have the graph daily, weekly or monthly. Thank you so much.