Harvesting Momentum: Let's Kick Tires With AmiBroker [ Part II ]

In Part I of this series the frame work for a basic Tactical Asset Allocation strategy was discussed using two ETF's representing stocks (first SPY, later MDY) and bonds (TLT). Following on the daily signals of the first post, the continuation of this series will be all about the higher time frames, starting with weekly signals.

Engaging a strategy based on weekly signals might be the way to go for anybody who does not want to be in synch with the crowd, since everyone and his uncle is doing momentum on monthly basis these days. And as it happens, the AFL-code provided in the previous post is just as suitable for weekend traders too.

Weekly Periodicity

As a starting point, the weekly equivalent of 85 days for the momentum calculation is used: 17 weeks without any smoothing.

Portfolio Equity SPY - TLT (17 weeks), draw down periods in red

Profit table SPY - TLT (17 weeks)

SPY-TLT (17w)		2004 - 2013
Total Profit		211	%
CAR		12.05	%
MDD (trades)		-16.16	%
MDD (system)		-16.16	%
Calmar (0%)		0.75
Sharpe (0%)		0.76
Trades		43
Winners		58.14	%