Reply To: Momentum Factor Back Test

Optuma Forums Optuma Scripting Momentum Factor Back Test Reply To: Momentum Factor Back Test

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Hi Daniel,

I think there’s a conflict between monthly data and monthly rebalancing, so change the Data Timeframe to 1 Day and it should work as expected.

If you wanted to add the filter you would use CLOSE()>MA(Month(PERIODAMOUNT=1), BARS=10, CALC=Close), and then you may see cash positions if that condition hasn’t been met by at least 8 of the ETFs (ie if only 6 are trading above their 10 month MA then 25% will be in cash).

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