2Mês
Very interesting!
I have some questions about the math behind it:
- How exactly do you calculate the momentum score - e.g. sum[weights_time_window * normalized momentum_time_window]?
- How high do you weight which time windows?
- What method do you use to evaluate the momentum of the S&P 500 for the possible switch to cash?
I have some questions about the math behind it:
- How exactly do you calculate the momentum score - e.g. sum[weights_time_window * normalized momentum_time_window]?
- How high do you weight which time windows?
- What method do you use to evaluate the momentum of the S&P 500 for the possible switch to cash?
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2Mês
@McZed There is a very simple and proven methodology behind it. No special weighting is required to calculate the momentum score, I have tested a lot whether it would make more sense to weight the short or longer period higher or not. In the end, I have always achieved the best results when the average time period is 4.5 - 5 months. So simply use the sum of the monthly performance from 1,3,6,9 months - Since the use of possible SMA 100, 150,200 etc. provides the wrong signals for switching to cash when evaluating the momentum of the S&P 500, the same calculation of the momentum score applies here as mentioned above for the momentum evaluation.
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