12M Return Strategy by rahul_joshi_2
By rahul_joshi_2
Performance Metrics
- Author: rahul_joshi_2
- Symbol: OMXSTO:HMS
- Timeframe: 1 month
- Net P&L: +221,294.80 SEK (+221.29%)
- Win Rate: 57.1%
- Profit Factor: 2.937
- Max Drawdown: 125,281.80 SEK (32.98%)
- Total Trades: 14
Description
This strategy is based on the original Dual Momentum concept presented by Gary Antonacci in his book “Dual Momentum Investing.”It implements the absolute momentum portion of the framework using a 12-month rate of change, combined with a moving-average filter for trend confirmation.The script automatically adapts the lookback period depending on chart timeframe, ensuring the return calculation always represents approximately one year, whether you are on daily, weekly, or monthly charts.How the Strategy Works1. 12-Month Return CalculationThe core signal is the 12-month price return, computed as:(Current Price ÷ Price from ~1 year ago) − 1This return:Plots as a histogramTurns green when positiveTurns red when negativeThe lookback adjusts automatically:1D chart → 252 bars1W chart → 52 bars1M chart → 12 barsOther timeframes → estimated to approximate 1 calendar year2. Trend Filter (Moving Average of Return)To smooth volatility and avoid noise, the strategy applies a moving average to the 12M return:Default length: 12 periodsPlotted as a white line on the indicator panelThis becomes the benchmark used for crossovers.3. Trade Signals (Long / Short / Cash)Trades are generated using a simple crossover mechanism:Bullish Signal (Go Long)When:12M Return crosses ABOVE its MAAction:Close short (if any)Enter longBearish Signal (Go Short or Go Flat)When:12M Return crosses BELOW its MAAction:If shorting is enabled → Enter shortIf shorting is disabled → Exit position and go to cashShorting can be enabled or disabled with a single input switch.4. Position SizingThe strategy uses:Percent of Equity position sizingYou can specify the percentage of your portfolio to allocate (default 100%).No leverage is required, but the strategy supports it if your account settings allow.5. Visual SignalsTo improve clarity, the strategy marks signals directly on the indicator panel:Green Up Arrows: return > MARed Down Arrows: return < MAA status label shows the current mode:LONGSHORTCASH6. Backtest-ReadyThis script is built as a full TradingView strategy, not just an indicator.This means you can:Run complete backtestsView performance metricsCompare long-only vs long/short behaviorAdjust inputs to tune the systemIt provides a clean, rule-driven interpretation of the classic absolute momentum approach.Inspired By: Gary Antonacci – Dual Momentum InvestingThis script reflects the absolute momentum side of Antonacci’s original research:Uses 12-month momentum (the most statistically validated lookback)Applies a trend-following overlay to control downside riskRecreates the classic signal structure used in academic studiesIt is a simplified, transparent version intended for practical use and educational clarity.DisclaimerThis script is for educational and research purposes only.Historical performance does not guarantee future results.Always use proper risk management.