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Dynamic Momentum

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The Dynamic Momentum Strategy (DYNMOM) is a proprietary timing algorithm that trades the SPY ETF. Its objective is to maximize the Sharpe ratio and avoid market corrections. Signals are generated monthly.

The current allocation is detailed below. Unlocking the protected content requires a subscription to Monthly Signals, Market Signals, or All-in-One. After each month’s last trading day, you can check for updates here. One subscription allows access to monthly updates for both HAA and DYNMOM. Follow @priceactionlab on X for updates and announcements.

Last update: January 31, 2024, after the close of the market.

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Year-to-date performance (no leverage):

RETURN YTD MAX. DRAWDOWN
DYNMOM 1.6% 0.0%

 

Performance of Dynamic Momentum (No leverage, backtest results, January 3, 2005–January 31, 2024)

In backtests, DYNMOM has avoided bear markets and large corrections while delivering a Sharpe ratio of 1. The annualized return is 9.2%, the maximum drawdown is 18%, and Sharpe is equal to 1. The analysis of the results shows that this strategy has avoided the 2008, 2018, 2020, and 2022 corrections. There have been 22 trades since 2005, and the win rate is 91%. The average profit/loss has been 8.6% with a 64% market exposure.

According to historical backtests, DYNMOM has the potential to reduce risks while improving performance based on risk-adjusted returns. The strategy’s high win rate, reduced market exposure, and high Sharpe and skew ratios can help decrease the probability of experiencing a significant loss.

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Disclaimer: Investing in any market, including exchange-traded products (ETPs, ETFs, and ETNs), could result in a total loss of capital. The dynamic momentum signals (signals) are provided for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness, or timeliness of the signals for any particular purpose. Under no circumstances should the signals be treated as financial advice. At times, we may hold positions, long or short, calls or puts, in several exchange-traded products listed in these reports. The author of this website is not a registered financial adviser. Before subscribing, please read our Disclaimer and Terms and Conditions.

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