Thank you Hredot!

Coming from Value Investment background, after reading Antonacci’s Dual Momentum book, I desperately needed a “sanity check” method. I wished to use Zorro in order to reproduce, and validate Antonacci’s published back test performance.

Unfortunately, using your code, I could not yet validate or re-create Antonacci’s claim to fame (CAGR).

In his Dual Momentum Investing (chapter 8, under the subtitle “HOW TO USE IT”), Antonacci provides a detailed framework of the strategy: look back 12 months, rebalance monthly, at any rebalance invest the entire account balance in a single long position, use IVV or VOO for US stock, and VEU or VXUS for non-US, and finally BIL for checking T-bills (AGG, BND, or SCHZ should be purchased when BIL was the best performer).

Looking at you code, there are plenty of detours from Antonacci’s Dual Momentum framework: usually positions are gradually entered long, leverage is employed, multiple (best past performers) positions are held simultaneously, etc.

Back testing your (greatly done) replica of Z9 (with the initial Z9 asset list) though, produced very nice returns and forum members may consider using it live. Thanks for that!