@Hredot

Re your DualMomentumV1.0 script, I have a couple of Qs.
There are two classes (A) Technical, (B) Comparative.

A. TECHNICAL
(1) Kudos for making it public. Fascinating write-up. THX!
(2) How far back was this tested (vs. Z9) (did you succeed in starting earlier than 2008)?
(3) Have you optimized ‘myDaysUpdate’, BarPeriod, etc.?
(4) How did you select the Stop ATR TimePeriod, and the (x3) coefficient?
(5) What is the percentage of losing trades closed by the Stop Loss feature prior to reaching the rebalance event (@myDaysUpdate)?
(6) Did you try making the Stop trailing?

B. COMPARATIVE
We back tested a strategy similar to Antonacci's GEM, wo leverage and wo Stop Loss.

Every month (Jan 2008 thru Sep 2017) we sorted the recent 12 months returns of BIL, CWI, and SPY and invested long in the highest returning instrument (if BIL showed the best return, we invested in AGG). Our back tested CAGR was 5.7%, while Antonacci reported (here: https://www.optimalmomentum.com/gem_trackrecord.html) on 7.85% for the same period. IMHO, there is a significant gap than demands clarification.

I am interested to know if you were successful in replicating the results reported by Antoncci?

Rgds,