Hi Mook_Yon!

A1) Thanks! laugh
A2) No, unfortunately I only went back to the end of 2008, since I did not experiment with other assets. It might be interesting to check the code before 2008!
A3) BarPeriod is set to 1 day since that is the most easily available data format. Since the time frame of momentum is one year, this should be fine graded enough. I did play around with the myDaysUpdate setting and 15 seemed to produce better results than 20 or 10. However, I did no rigorous statistical analysis to support this.
A4) The ATR TimePeriod and x3 coefficient are selected such that the stop loss does not interfere with any of the trades performed in the backtest. The logic is: the algorithm is supposed to work without stop loss, but we cannot be sure that the market will not completely collapse within a period of 15 days some time in the future. So we put a stop loss in place at a very far distance just in case. Ideally it will never be triggered.
A5) 0% closed by stop loss.
A6) Nope, since it is only a precaution, not an applied feature.

B) I'm not sure about the assets you describe. However, we can perform a backtest of DualMomentumV1.0 between 2009 up to today without leveraging. To do that, we just have to open AssetsZ9.csv file in History folder in the main Zorro installation directory and change all leverage fields from 2 to 1. And set e.g. StartDate=2000; in the script (it will only start in 2009 though, since the history of assets used starts at end of 2007).
The result is 8.83% CAGR which can be reconciled with the 7.85% by Antonacci (his value is a bit lower, since his trades have to endure more of the bearish period during the last big crisis).


Last edited by Hredot; 10/29/17 00:15.