The Magic of Dual Momentum

[@quakingoatz2656]

What settings and time frame did you use for the SROC?

[@VishnuKumar-07]

Thank you , nice video value for time spent

[@Jittsmehta]

Very nice and informative video. Where do you calculate SROC and what's the formula for that?

[@HelixTrader]

It's just an EMA of the Rate of Change. Ref: www.chart-formations.com/indicators/sroc

[@Jittsmehta]

@@HelixTrader Thanks for the reply. Is there any scanner available for sroc values for Indian stocks? I have made a scanner in Googlesheet wherein I have used sma instead of Ema. Will it make any impact on the outcome? I have taken ema(21) of today and have taken ema(21) of 50 period ago and calculated ROC. Am I right? What values are valid for long term investment? Pl enhance my knowledge. Thanks in advance. 🙏

[@Jittsmehta]

Further, I have modified my sroc instead of 50 days, I took averages of 30,90and 180 days ema values and calculated sroc. Is this the right approach? Please enlighten. 🙏

[@Jittsmehta]

@@HelixTrader Why is it called dual momentum?

[@Jittsmehta]

@@HelixTrader Normal ROC selections and SROC selections differ very much. Which will give best results and most beneficial in long term? Have you done any back test?

[@jvlm1993]

Nice video! Could you share the afl??

[@denischigirev3309]

The backtest is wrong! He even says it in the presentation: he does not use point-in-time data, therefore result is severely shifted upwards due to survivorship bias

[@athurgirard1790]

there are ways to measure the fallen angels of NQ. We could bring them back in the backtest i guess to see if when they fell apart the strategy holded them, but i personally think that's unlikely. Since : that strategy invest in strength, both relative and absolute, and on top of that filters out strength with 2 different layers (above 40 SROC and only top 12 picks), it does protect you a lot from the "about to die" stocks. And if even these pass the test and then fail, it's only 5%. I think a good to this strategy is to maybe add a correlation grading system ? so if APPL and SAMSUNG both got selected, we would have to make sure their correlation over the past N period (probably the same as SROC period for robustness). Just as a safe guard. Also worth diversifying across different sectors not just TECH, and maybe add some bonds into the risk off moments for the cash % of the portfolio

[@flavioraul0101]

Which is the SROC configuration?