In the manual it says Z8 reinvests profit raised to the power of 0.9 but it doesn't document whether Z9 profit is reinvested. Is it?


Also is there any way to change the period of the Z9 backtest? I'd really like to see how it performs during a downturn. I'm guessing it'll look roughly like https://robotwealth.com/dual-momentum-review/ but it'd be great to know for sure.

I figured out how to answer my own question here: All the history that's available will be used. VOO was introduced in 2010 and is the default S&P 500 ETF. If you swap it for an older one like SPY, you can backtest further back (mid 2008).

Unsurprisingly, the time around 2008 is quite flat because the algorithm uses a lot of bonds, as we expect it to.