I’ve researched cross-sectional momentum and dual momentum strategies in the past, but never launched any because I couldn’t stomach the large drawdowns they suffered. Any hints as to what you use to switch into defensive mode?
I can’t remember the drawdown percentage as this research was in 2020. However, I’ve just redeveloped everything and your hints worked well, drawdowns are now within acceptable limits. So thanks for that. My plan is to paper trade the strategy for ~6months and then go live depending on results.
I’ve researched cross-sectional momentum and dual momentum strategies in the past, but never launched any because I couldn’t stomach the large drawdowns they suffered. Any hints as to what you use to switch into defensive mode?
I can’t remember the drawdown percentage as this research was in 2020. However, I’ve just redeveloped everything and your hints worked well, drawdowns are now within acceptable limits. So thanks for that. My plan is to paper trade the strategy for ~6months and then go live depending on results.
Nice work man! Keep us updated on how it goes!
What type of drawdowns was the system experiencing? Take a look at index price action and overall market breadth for the switch.
Kudos!!!
Thanks!