For anyone interested, I came across this article on momentum investing with ETFs that uses weighted measures of momentum to determine allocation.
http://www.scribd.com/doc/91933741/Mome ... araldOswin
In addition, for those of you who make it to the end...is the author simply ranking the ETFs based on each of the 4 momentum determinants, then summing the weighted ranks to create the final rank?
Also, is the Return criteria more complicated than a rank of simple price appreciation?
Sorry, I'm not familiar with the code at the end.
Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
2 posts • Page 1 of 1