dual momentum

Posted on Jun 04, 2018 by Kris Longmore
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At Robot Wealth we get more questions than even the most sleep-deprived trader can handle. So whilst we develop the algo equivalent of Siri and brag about how we managed to get 6 hours downtime last night, we thought we'd start a new format of blog posts — answering your most burning questions. Lately our Class to Quant members have been looking to implement rotation-style ETF and equities strategies in Zorro, but just like your old high-school essays, starting is the biggest barrier. These types of strategies typically scan a universe of instruments and select one or more to hold until the subsequent rebalancing period. Zorro is my go-to choice for researching and even executing such strategies: its speed makes scanning even large universes of stocks quick and painless, and its scripting environment facilitates fast prototyping and iteration of the algorithm itself - once you've wrestled it for a while (get our free Zorro for Beginners video course here). I'm going to walk you through a general design paradigm for constructing strategies like this with Zorro, and demonstrate the entire process with a...

Posted on Apr 28, 2017 by Kris Longmore
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I recently read Gary Antonacci's book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was clear to me that this was an important book to share with the Robot Wealth community. It is important not only because it describes a simple approach to exploiting the "premier anomaly" (Fama and French, 2008), but because it is ultimately about approaching the markets with a critical, inquisitive mindset, while not taking oneself too seriously. I think we can all do with a dose of that sometimes. Gary's style is unique: this is the work of a free and critical thinker who is not afraid to question the status quo. While articulately drawing from a range of sources, from Shakespeare to Bacon and Einstein to Buffet (even Thomas Conrad's 1970 book Hedgemanship: How to Make Money in Bear Markets, Bull Markets and Chicken Markets While Confounding Professional Money Managers and Attracting a Better Class of Women, which has got to be the greatest title in the history of trading books), Gary comes across as playful and slightly eccentric (which is wonderfully refreshing...