--- In [email protected], Howard B <howardba...@...> wrote: > > Hi Samantha -- > > Thanks for the kind words about my book. > > Could you post the code for the momentum / ROC system you are referring to ? > > Thanks, > Howard >
Howard, Thanks for your prompt reply. I'm still a loser at AFL programming, but I can give you the system parameters in a few sentences - they are very simple. a) Trend-following with the 10 month SMA Buy rule: Buy when monthly price > 10 month SMA Sell rule: Sell and go to cash when monthly price < 10 month SMA Asset classes used: S&P500, MSCIA EAFE, 10-year treasuries GSCI commodity index and NAREIT real estate index. b) Momentum based on rolling 3/6/12 months returns Take the above five asset classes. Calculate monthly the average of the rolling 3-, 6- and 12-months returns for each one. Buy the top two asset classes with the highest averages. Both systems only require monthly rebalancing, so good for retirement portfolios, for example. They should deliver above market returns and lower volatility for any 5-year period consistently. Does this help you or do you need more from me? Thanks, Samantha
