Attempt to replicate Dual Momentum Part 1

I recently just got the book of Gary Antonacci titled Dual Momentum Investing. Before reading the entire book, I usually cheat by checking out the table of contents and going directly to the chapter that catches my eye.

So I skipped to the chapter about relative momentum and absolute momentum. I recall seeing this in Betting On Harmonic's (BOH) model. Too bad I was too much of a newbie back then to fully appreciate it. On a side note, if you want to learn a systematic way of trading, I suggest you join BOH (but they recently increased their pricing, ouch!). 

Anyway, on to the replication. The first step is relative momentum which is to pick the best performing security out of a group. For this, I used sector analysis including the index. As expected, the Index had the highest momentum out of the group with a score of 16.76 (yay for Index tracking funds and ETFs!). 

The second step is to get absolute momentum and investing in a stock when its return is positive over a period of time....yeah...so I just used rate of change over a period of 12 months. These stocks need to have a higher score than 16.76. Dunno if its right but the testing is free anyway so let's get on with it!

Data used for portfolio creation was End-Of-Day (EOD) Feb. 6, 2018 and the shares were purchased at market open of Feb. 7, 2018 without regard for entry price nor looking at the charts except to check if the Index was above Moving Average 200 (this tells us if the market, in general, is bullish or bearish).

Capital is 100,000 allocating equal shares over 11 stocks. Why 11? Because 100k divided by 11 gives me approximately 9k pesos to allocate to each share and gives me leeway to go above the 8,000 peso "minimum" purchase amount against commissions, taxes, and fees as well as staying above 8k pesos when cutting losses. 

Rules are:

1. Portfolio transactions, such as buying and selling, will only happen once a week (Thursdays, since this is when I started this).
2. Cutloss: -6% or if the stock is no longer included in the top 11 rank.

This was what it looked like right before purchasing:

As of EOD Feb. 8, 2018, here are the results:

The 1.25% gain after 2 days was unexpected because it usually takes 3 weeks for blind entries like this to show gains, so it was a nice surprise. Other than TBGI at -5.6% so far so good. I'll update you next Thursday.

If you have suggestions on how to go about it, feel free to leave a comment below. Constructive criticism is always welcome.

Caveat and God Bless.