5 assets
DMOM

Dual Momentum

Hypothetical backtest

Performance

May 31, 2007Sep 21, 2026

Growth of $100
+7.51%
CAGR
15.67%
Volatility
0.48
Sharpe
−33.70%
Max drawdown
233
Rebalances
4,858
Trading days

Holdings

Model output

Values

KeyValue
final decision
{
  "asset_held": "EFA",
  "efa_lookback_return": 0.203902,
  "spy_lookback_return": 0.194016,
  "abs_momentum_filter_triggered": false
}
QA notes
  • Input rebal_freq=monthly (~12 rebalances/yr) but the backtest measured 1.97/yr.
Implementation

Describe a strategy and get its tear sheet.

Start building