Welcome to the admw-modified repository! This open-source trading strategy is a Modified Accelerated Dual Momentum Weekly Portfolio Strategy with Filters, applied to a diversified set of ETFs. This strategy helps investors achieve optimal portfolio allocation using momentum-based signals and weekly adjustments.
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Momentum (Rates of Change)
- Uses 21-day, 63-day, and 126-day rates of change (ROC) to calculate momentum for each ETF.
- Averages these values to create a robust signal.
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Weekly Adjustments
- Trading decisions are made on the last trading day of each week.
- Positions are updated based on calculated momentum values.
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Filters
- Includes safety assets (e.g., TLT, UUP) to switch to during weak equity momentum.
- Long Equities: Choose the equity asset with the highest positive momentum (e.g., QQQE or EFA).
- Short Term Treasury Filter: equity assets not only need to show positive returns but higher returns than IEI
- Safety Assets: If equity momentum is weak, choose the safety asset with the highest momentum (e.g., TLT or UUP).
- Flat: Maintain no position if no assets meet the criteria.
- Calculates daily equity based on momentum-based signals.
- Generates a continuous equity curve for visualization.
- Starts with an initial balance of $10,000.
Ensure you have the following Python libraries installed:
numpypandasyfinancematplotlib
Install missing dependencies with:
pip install numpy pandas yfinance matplotlib-
Clone the repository:
git clone https://github.com/LibreTrading/admw-modified.git cd admw-modified -
Run the Python script:
python admw_modified_strategy.py
The script will:
- Download historical price data for the specified ETFs.
- Calculate momentum signals and determine weekly positions.
- Generate a plot of the equity curve and display key metrics.
- Momentum Calculations: Computes ROC-based momentum for each asset.
- Weekly Adjustments: Implements logic for weekly portfolio rebalancing.
- Visualization: Plots positions and equity curves for transparency.
- Performance Metrics: Outputs the final equity value after backtesting.
We welcome contributions from the community! Feel free to:
- Open issues for bugs or feature requests.
- Submit pull requests to improve the strategy or code quality.
This strategy builds upon the Accelerated Dual Momentum concept published by Swhanly from EngineeredPortfolio.com, based on Gary Antonacci's original Dual Momentum framework. We modified the frequency to weekly, applied it to different ETFs, and added additional filters.
If you need help automating this strategy, visit Plutarco
This project is open-source under the MIT License. See the LICENSE file for details.
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