Dear PCZ,
Would you be able to share the script of Dual Momentum Strategy? It is worth looking into it. Maybe collective knowledge may help to improve it.
Regards
You can find the implementation along with some comments and results here:
http://statsmage.com/dual-momentum-strategy-implementation/It seems that with the selected ETFs I get results quite similar to Antonacci's, although the allocations differ slightly. If you find any errors please let me know.
