Home / Ideas / Accelerating Dual Momentum (ADM)
Accelerating Dual Momentum (ADM)
averaged short lookbacks over an international small-cap sleeve
ADM averages 1/3/6-month returns (an "accelerating" fast signal) to pick between US large caps and international small caps — a lower-correlated equity pairing than the usual large-cap-vs-large-cap — and steps into long-duration or inflation-protected Treasuries only when both trend negative; a distinct universe and lookback blend versus slower TAA models.
Universe
Risky = SPY vs SCZ (international small cap). Defensive = TLT or TIP, whichever has the higher 1-month return.
How it works
Monthly, compute each risky asset's momentum as the average of its 1/3/6-month total return; hold 100% of the higher-scoring risky asset if its score > 0, else hold the stronger of TLT/TIP; rebalance monthly.
Expected performance
Research-derived Sharpe estimate: 0.5–0.9.
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain ADM: monthly, avg(1/3/6-mo return) on SPY vs SCZ; hold higher if >0 else stronger of TLT/TIP; single asset
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Research & sources
- engineeredportfolio.com — engineeredportfolio.com
- allocatesmartly.com — allocatesmartly.com
More Dual-momentum / tactical asset allocation ideas
Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.