The Global momentum strategies uses the trend following market timing algorithm (Regime_SP500) to enter and exit a trend using a custom made MACD-filter.
All of the global momentum strategies uses a weighted momentum filter, first described by indexswingtrader here, called 13612W-filter. My take on it is that I have removed the last part (12) – so the filtering criteria is using 136 as described in the link.
Brief overview of the strategy:
- For each day, calculate the custom made MACD-filter.
- If the calculation shows an upward (positive) trend for the index
- Calculate the 136W trend for each of the components in the (sunny) universe
- Choose the component with the best momentum
- Stick with it for the rest of the month, then calculate the 136W trend again
- If the calculation shows a downward (negative) trend for the index
- Calculate the 1 month momentum for each of the components in the (stormy) universe
- Choose the component with the best momentum
- Stick with it for the rest of the month, then calculate the 1 month momentum again.
Global Momentum (ETF)
The Global momentum uses an underlying index to enter and exit a bull/bear market.
In the stock market index bull market (Sunny) universe we have these ETF:s/Funds:
- SPY (S&P 500)
- VWO (FTSE Emerging Markets All Cap China A Inclusion Index Net TR US RIC)
- EFA (MSCI EAFE Index).
- Savings account (Federal Funds Effective Rate)
In the index bear market (Stormy) universe there is three options:
- SHY (1-3 Year Treasury Bond ETF – short duration – low risk)
- AGG (Core Total U.S. Bond Market ETF – Bloomberg Barclays U.S. Aggregate Bond Index – average risk)
- Savings Account – simplified using Federal funds effective rate.
Global Momentum (Swedish Funds)
In the stock market index bull market (Sunny) universe we have these ETF:s/Funds:
- Öhman Marknad Europa (Low cost European index fund)
- Öhman Marknad Pacific (Low cost emerging market index fund)
- Öhman Marknad USA – (Low cost US market index fund.
- Skandia Penningmarknadsfond – (More or less a low cost / low risk fund with short duration)
In the stock market index bearmarket (Stormy) universe we have these ETF:s/Funds:
- AMF Räntefond Lång (Low cost European index fund)
- Skandia Penningmarknadsfond (Low cost emerging market index fund)