4.1.2
Dual-Momentum Sector Rotation
PYTHON PLUGIN
Etf
Momentum
Description
Strategy 4.1.2: Dual (absolute + relative) momentum rotation
Strategy Logic
Strategy 4.1.2: Dual Momentum Sector Rotation.
Combine absolute momentum (positive returns over lookback) and relative
momentum (rank among peers). Only go long a sector ETF if *both*
absolute return is positive AND the ETF ranks in the top-N.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_period | 63 | int |
| top_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |