Classic Dual Momentum – 12-Month Absolute Momentum - Antonacci

This indicator calculates the 12-month absolute momentum exactly as described in Gary Antonacci’s Dual Momentum framework.
It automatically adjusts the lookback period based on the chart’s timeframe:

Daily chart: 252 bars

Weekly chart: 52 bars

Monthly chart: 12 bars

Other timeframes: Estimated automatically using bar time difference

The script computes the 12-month rate of return and displays it as a color-coded column plot:

Green: Positive 12-month momentum

Red: Negative 12-month momentum

A customizable moving average is included to help visualize longer-term trends in the momentum signal.

How It’s Used (from Dual Momentum theory)

This indicator provides the absolute momentum filter used in classic Dual Momentum strategies:

If the 12-month return of an asset is above the risk-free return → trend is positive

If it is below the risk-free return → trend is negative

This absolute momentum check is a key component of the Global Equities Momentum (GEM) model presented in Gary Antonacci’s book Dual Momentum Investing.

Why This Indicator Exists

It gives traders a clean, accurate way to visualize the 12-month trend strength across any timeframe, without the distortions caused by bar length differences.